Japan Style Guide: Factor leadership shifts again as dispersion moderates further

Japanese markets were mixed in September, with the Topix down 1.2%. From a style factor perspective, defensive factors generally performed better, though Momentum rebounded strongly after a lackluster August. The best performing style factors were Price Momentum, increasing 4.5%, and Float Adjust Market Cap which rose 3.9% for the month. Quality led declines, with Delta Quality plunging -13.1%. Low Risk factors also lagged, with Low Price Beta recording the second worst performance of the month, declining by -5.2%. Value factors were largely positive, led by Dividend Yield (+2.2%), while Growth was mixed. Macro factors' contribution to market variance declined modestly from 33% in August to 31% in September. Crude oil remained the largest individual macro driver, accounting for 18% of market variance, down 2ppt month over month. Gold's impact was unchanged at 7%, while US AAA spreads saw a small decrease to 4% of market variance. Japan's stock picking backdrop deteriorated for a second