亚洲量化策略：台湾与韩国动量反转风险高（15张关键图表佐证）

Asia Quant Strategy: The high risk of momentum reversal inTaiwan & Korea - 15 key charts for our thesis here)driven by extreme concentration in TW/KR and the tech sectorandthe combinationofvaluationbubble+unprecedentedbullishexpectationsforthemomentumtrade.Theextraordinarymomentumrally in Asia has become increasingly concentrated in Taiwanand Korea, where high-momentum stocks have delivered86% and 58% returnsYTDrespectively.SincelastweekAsiamomentumhasstartedshowingcracks,withKorea/Taiwanmomentumdown-13%/-4% respectively.We believe this isthe startof abroaderrotation awayfromwinners-werecommendaddingtheanti-momentum (value/lowvol)exposureacross the regionand even within tech.Foropportunities across Japan,ChinaandIndia, see-Japan Deck, China Aand Asia Quant Strategy Deck. +6563267641rupal.agarwal@bernsteinsg.com +85221232636cheng.zhang@bernsteinsg.com Unprecedentedearningsexpectations,peakvaluations,recordcrowdingand25yrhighdispersion makesmomentumtrade extremelyvulnerable:Momentumrally has been driven by a powerful earningsupgrade cycle that has nowreached atextremes.EarningsexpectationsforbroaderTaiwanmarketandTaiwanmomentumstocksare at record high, while Korea is just shy of 2009 peak.Atthe same time, valuation formomentum portfolios in both markets have already hit peak valuations.Even broadermarket valuations for KR/TW are stretched, with at or near record high PB, EV/EBITDA,been all about high vol/highgrowth stocks and lowvol stocks havefallen torecord lowmomentum while in Tw,momentum has createda decade high dispersion between growthand value(seehere).These extremes makemomentum susceptibleto an unwind. Tech sectorwhichhasbeentheepicenterofthemomentumtradeisshowingwarning signal:Asia tech high momentum stocks have delivered 61% alpha YTD and are nowtradingatoneofthehighestvaluationpremiumseeninthepasttwodecades (thoughrelativevaluation isnot extremeyet),while crowding has reached historical extremes andearnings revision momentum is sittingat record levels.Importantly,bothTaiwan andKoreatechnology sectors have alreadyentered valuationde-ratingphaseafter reaching recordhigh multiple while earnings expectations remain near all-time high. The combination ofpeak valuations,peak earnings expectations and peak positioning leaves very limited roomforfurther positivetailwind. Even within China tech,we see extreme dispersion creatingideal set-up for rotation trade, see here. The risk is amplified by unprecedented concentration.Taiwan andKorea are noweffectivelythepurest expression ofthe Aland semiconductortrade in Asia,withtech sectoraccounting for roughly 85% of Taiwan's market capitalization and 70% of Korea's, while thetop5stocks representing66%and71%of theirrespectivemarkets.Thefactorcorrelationmaking the same concentrated bet on a narrow group of Al-linked technologyleaders.As aresult, factor risk, sector risk, earnings risk and market risk have become tightly intertwined.Donote,this is nota bearishstancebuta call to diversify out ofthe extrememomentumexposureintothelaggardspace. momentumtradeisshowingsomecracksledbyKoreawheremomentumisdown-13% levels, raising risk of peak upgrades.The trade is already seeing valuation de-rating and is quite crowded,especiallyin Asia ex Japan ex ChinaAsia ex Japan 12m Fwd.Valuation -12mAsia ex Japan/China 12m Fwd. ValuationJapan 12m Fwd. Valuation -12m Price Data ill Jun 25th 2026Source: MSCl, FactSet, Bernstein analysis vol/growth stocks at recordhighmomentumand lowvol stocks atrecordlowmomentum.Theseextremesmakethetrade unsustainable record high levels,leaving limited room for continued upward revisions.Do note, L/S valuation dispersion wasmuch higher back in2000Asia Tech Price Momentum 12m -12mAsiaTechPrice Momentum12m-12mAsia Tech High vs Low Price Momentum Data as of Jun 25th 2026Source: MSCl, FactSet, Bernstein Analysis and 66% in TW market is now at record high.Tech sector now accounts for 85% of total market cap of Taiwan and 70% in Korea Earnings expectations for both Korea and Taiwan tech sector are at record high levels ie.having high risk ofpeaking12mFwd.PE --Korea Tech Sector12m Fwd.PE -- Taiwan Tech Sector Data as of Jun 25th 2026Source: MSCl, FactSet, IBES, Bernstein analysis Data as of Jun 25th 2026Source: MSCl, FactSet, IBES, Bernstein analysis pace of downgrades. Now upgrade cycle in TW is at record high while in KR it is just shy of 20o9 peakEq-wtd earnings revisions balanceby market Asia ex Japan - Earnings Data as of Jun 25th 2026Source: MSCI, IBES, FactSet, Bernstein Analysis riskpremiumhas nowfallentorecord lowlevels inJapan, KoreaandTaiwanAsia EquityRiskFn (Nominal) Data as of Jun 25th 2026Source: MSCI, IBES, FactSet, Bernstein Analysis APPENDIX Weacknowledgethecontributionof RuiShi References to"Bernstein"or the"Firm" in these disclosures relate to the following entities: Bernstein Institutional Services LLC (April 1, 2024 onwards), Sanford C. Bernstein & Co., LLC (pre April 1, 2024), Bernstein Autonomous LLP, BSG France