亚洲量化策略：台湾/韩国强劲动能遭遇创纪录的集中度和相关性风险

Asia Quant Strategy: Taiwan/Korea strong momentum meetsrecord high concentration and correlation risk The relentless rally since April has increased concentration risk in Asian equities that we havenever seen before. In this short note, we show how more markets, sectors, stocks and factorsare moving together, creating risk of short-term reversal. Rupal Agarwal+65 6326 7641rupal.agarwal@bernsteinsg.com Asian markets are more concentrated than ever:The share of top 10 stocks is at recordhigh in both Asia ex Japan (21%) and Japan (27%), however the real concentration riskis in TW/KR where top 10 stocks account for 72% and 64% of market cap respectively.Concentration is equally high for top 5 names which are 66% and 55% respectively of theTW and KR markets. By contrast, India and China have seen share of their top 10 namesdecline over time from 41%/34% in 2018 to 29%/24% now. Cheng Zhang, CFA, CQF+852 2123 2636cheng.zhang@bernsteinsg.com Narrow rally with rising market correlation:The rally has been most narrow in Koreaand China where the cap-wtd index has sharply outperformed the eq-wtd index whileJapan rally looks quite broad with eq-wtd index leading. In recent months, Asian marketcorrelation with US has been inching up, with TW/KR/IN at near record high correlationwith US markets. Interestingly, crowding risk in top 10/top 5 names is not extreme yet,except in TW while in India, top10 names have fallen to record low crowding levels. Tech sector concentration and upgrades at record high:The tech sector, has alwaysbeen the dominant sector in Taiwan and Korea, but it now accounts for 85% of the market-cap in Taiwan and 56% in Korea ie. the highest ever. Interestingly, valuation is still not aconcern for Korea tech which trades at long-term average, though Taiwan tech is stretched,trading at +1.2SD. However, earnings expectations for both Korea and Taiwan tech are atrecord high levels and at risk of peaking. Intra-sector concentration on the rise:Asia tech sector correlation with all sectors has been rising but with Industrial and Discretionary, correlation has already crossed 85thpercentile. In Japan, concentration risk within sectors has increased, with top 10 namesaccounting for 80%-100% of the market-cap in Tech, Staples, Financials, Discretionary,Materials, Healthcare and Real Estate (not extreme in AxJ sectors). Performance-wise,top 10 names have been driving most of the sector performance for Asia Tech, Industrial,Consumer Discretionary, Utilities, Materials and for Japan Tech and Industrial. The rising stock and factor correlations:More and more stocks have been movingtogether across Asian markets, though the risk is most elevated in Korea where pair-wisestock correlation(42%) is just shy of 2009/2020 peak (51%). Stock correlation withinsectors is also rising but not at extreme levels yet. Factor correlations, however, havealready reached record high levels for TW. The momentum effect creates extreme dispersion:There has been a sharp momentumrally across Asian markets, led by KR/TW momentum, up 68%/42% YTD. This has created25yr high performance dispersion between Asia growth and low vol/value stocks and 10yrhigh dispersion in TW growth and value. Overall, while earnings are still supportive for bothKR/TW momentum; the risk of unwind has increased since the beginning of the year. DETAILS CONCENTRATION RISK AT RECORD HIGH IN KR/TW EXHIBIT 1:Concentration risk is the highest ever in Taiwan and Korea, where top 10 names account for 72%/64% oftheir market’s value. However, top 10 names significance has reduced in China and India, dropping from 34%/41%in 2018 to 24%/29% now respectively EXHIBIT 3:Interestingly, crowding risk is not that elevated in the top 10/top 5 stocks across markets, except Taiwanwhere crowding levels are inching towards record high. On the other hand, the top 10 names in India have nowdropped to extreme uncrowded levels. For top 5 stocks crowding, the dynamics have been similar, however, forKorea top 5 names, the crowding level are close to historical high Top 5/10 largest stocks crowding score on each MSCI Index universe Data till May 11th 2026. Eq-wtd. MSCI IndexSource: IBES, MSCI, FactSet, Bernstein analysis EXHIBIT 4:The rally has been quite narrow in markets like Korea and China where the cap-wtd index has donemuch better compared to eq-wtd performance. Interestingly, Japan rally looks broader with equal-wtd indexleading (and even TW) The chart shows cap-weighted and equal-weighted performance of MSCI Indices for different Asian markets Data till May 12th 2026. Returns in USDSource: MSCI, FactSet, Bernstein analysis RISING TECH SECTOR CONCENTRATION AND RISK OF UPGRADE CYCLE PEAKING EXHIBIT 6:Taiwan and Korea have always been the most exposed markets to the tech sector and that concentrationis now at record high. Tech sector now accounts for 85% of total market cap of Taiwan and 56% in Korea SECTOR LEVEL CORRELATION AND CONCENTRATION EXHIBIT 8:The tech sector co