亚洲量化策略：台湾与韩行动力反转高风险——15个关键要点

Asia Quant Strategy: The high risk of momentum reversal inTaiwan & Korea - 15 key charts for our thesis Since last month, we have been flagging growing risk in Asian equities (see here, here,here) driven by extreme concentration in TW/KR and the tech sector and the combinationof valuation bubble+unprecedented bullish expectations for the momentum trade. Theextraordinary momentum rally in Asia has become increasingly concentrated in Taiwanand Korea, where high-momentum stocks have delivered 86% and 58% returns YTDrespectively. Since last week Asia momentum has started showing cracks, with Korea/Taiwan momentum down -13%/-4% respectively. We believe this is the start of a broader Rupal Agarwal+65 6326 7641rupal.agarwal@bernsteinsg.com Cheng Zhang, CFA, CQF+852 2123 2636cheng.zhang@bernsteinsg.com Unprecedented earnings expectations, peak valuations, record crowding and25yr high dispersion makes momentum trade extremely vulnerable:Momentumrally has been driven by a powerful earnings upgrade cycle that has now reached atextremes. Earnings expectations for broader Taiwan market and Taiwan momentum stocksare at record high, while Korea is just shy of 2009 peak. At the 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, Tech sector which has been the epicenter of the momentum trade is showingwarning signal:Asia tech high momentum stocks have delivered 61% alpha YTD and are now trading at one of the highest valuation premium seen in the past two decades (thoughrelative valuation is not extreme yet), while crowding has reached historical extremes andearnings revision momentum is sitting at record levels. Importantly, both Taiwan and Koreatechnology sectors have already entered valuation de-rating phase after reaching recordhigh multiple while earnings expectations remain near all-time high. The combination of The risk is amplified by unprecedented concentration.Taiwan and Korea are noweffectively the purest expression of the AI and semiconductor trade in Asia, with tech sectoraccounting for roughly 85% of Taiwan's market capitalization and 70% of Korea's, while thetop 5 stocks representing 66% and 71% of their respective markets. The factor correlationin TW is at record high while the stock correlation in KR is at record high (see here). Thismeans investors are no longer simply making a country allocation—they are increasingly DETAILS EXHIBIT 3:In Asia ex Japan ex China, momentum rally has created 25yr high dispersion within market with highvol/growth stocks at record high momentum and low vol stocks at record low momentum. These extremes makethe trade unsustainable EXHIBIT 9: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 70% in Korea EXHIBIT 13:Only KR/TW have been seeing upward revisions while all other Asian markets are seeing increasedpace of downgrades. Now upgrade cycle in TW is at record high while in KR it is just shy of 2009 peak Eq-wtd earnings revisions balance by market APPENDIX We acknowledge the contribution of Rui Shi DISCLOSURE APPENDIX I. REQUIRED DISCLOSURES 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 S.A. (April 1,2024 onwards), Sanford C. Bernstein (Hong Kong) Limited盛博香港有限公司,Sanford C. Bernstein (Canada) Limited, SanfordC. Bernstein (India) Private Limited (SEBI registration no. INH000006378), Sanford C. Bernstein (Singapore) Private Limited,Sanford C. Bernstein Japan KK(サンフォード・C・バーンスタイン株式会社)and analysts employed by Société GénéraleAfrica Technologies & Services to produce Bernstein research under a Global Services Agreement in place between Bernstein Bernstein is part of a joint venture between Société Générale (SG) and AllianceBernstein, L.P. (AB). Unless specifically notedotherwise, for purposes of these disclosures, references to Bernstein’s “affiliates” relate to both SG and AB and their respective RATINGS DEFINITIONS, BENCHMARKS AND DISTRIBUTION EQUITY RATINGS DEFINITIONS Bernstein brand The Bernstein brand rates stocks based on forecasts of relative performance for the next 12 months versus the S&P 500 forstocks listed on the U.S. and Canadian exchanges, versus the Bloomberg Europe Developed Markets Large and Mid Cap PriceReturn Index EUR (EDME) for stocks listed on the European exchanges and emerging markets exchanges outside of the AsiaPacific region, versus the Bloomberg Japan Large and Mid Cap Price Return Index USD (JPL) for stocks listed on the Japanese The Bernstein brand has three categories of ratings: •Outperform: Stock will outpace the market index by more than 15 pp•Market-Perf