美国股票因子洞察 - 2026年5月

Hit Refresh as Risk-on Returns Risk-on is backafterstrong earnings season as war worriesfade; we turn Positive Growth & Momo, Neutral Value & High-v-Low Vol, Negative Quality. We stay positive Large-v-Small,as small caps see weaker earnings revision & operatingleverage vs large caps, and see multiples expand in somesegments U.S. Equity StrategyRiddhiman Dass+1 212 526 0850riddhiman.dass@barclays.comBCI, US Venu Krishna, CFA+1 212 526 7328venu.krishna@barclays.comBCI, US What's changed: •Upgrade Growth to Positive•Downgrade Value to Neutral•Upgrade Momentum to Positive•Downgrade Quality to Negative•Upgrade High-over-Low Volatility to Neutral Rex Feng+ 1 212 526 6114rex.feng@barclays.comBCI, US Tianqi Feng+1 212 526 9179tianqi.feng@barclays.comBCI, US What's driving the change: •We upgrade Growth to Positive as risk-on sentiment has returned, Tech and AI earnings havesurprised strongly, and easing inflation expectations improve the relative backdrop forlonger-duration assets. Supportive positioning, with discretionary and systematic flows intolarge-cap Tech, reinforces near-term momentum. •We downgrade Value to Neutral as its defensive, anti-AI profile is less attractive in a risk-onmarket. Elevated long-end ratesofferonly partial support, while weak consumer sentimentweighs on Value’s consumer-heavy exposure, limiting upside catalysts. •We upgrade Momentum from Neutral to Positive as the rally has proven resilient amid therenewed risk-on environment. Concerns around crowded positioning are mitigated byfundamentals, with Momentum delivering the strongest earnings profile across factors,including NTM EPS growth above 100% YTD and forward earnings at the 93rd percentileversus history. Valuations remain supportive despite the price run, and favorable seasonalityinto May and June reinforces the case for a more constructive stance. •We downgrade Quality from Neutral to Negative as the market’s renewed optimism hasshiftedinvestor demand toward semiconductors, hardware, and more speculative AI-linkedexposures, leaving Quality’s defensive attributes out of favor. At the same time, Quality’s sales Barclays Capital Inc. and/or one of itsaffiliatesdoes and seeks to do business with companiescovered in its research reports. As a result, investors should be aware that the firm may have aconflict of interest that couldaffectthe objectivity of this report. Investors should consider thisreport as only a single factor in making their investment decision. Please see analyst certifications and important disclosures beginning on page 15.Completed: 12-May-26, 04:09 GMTReleased: 12-May-26, 04:15 GMTRestricted - External and earnings growth characteristics are historically subdued relative to other styles. Despiterecent price declines, valuations remain elevated, reinforcing our preference forgrowth-oriented and trend-following factors over Quality. •We upgrade High-over-Low Volatility to Neutral following a sharp rebound of roughly 31%from its YTD trough, supported by easing Iran-related energy concerns and the renewedrisk-on impulse driven by a strong 1Q26 earnings season and sustained AI infrastructurespending. While valuation is now stretched, with forward PE at the 71st percentile versushistory, fundamentals have improved meaningfully, with NTM EPS growth around 90% YTDand earnings finally catching up with prices. A mixed sector composition tempers conviction,leaving us less bearish but not constructive enough to turn positive. What stays the same?• We remain Positive on Large-over-Small, as large caps continue to show clear fundamentaladvantages, with stronger earnings revisions, materially higher operating leverage, andbetter margin dynamics than small caps. While small caps look cheaper on the surface, recentgains in key industries have been driven more by multiple expansion than earnings, leavingthem vulnerable if sentiment turns. With rates likely higher for longer and small-cap leveragestill elevated, our conviction remains strongest in mega caps, where hyperscaler-led AIinfrastructure spending continues to underpin earnings visibility. •We remain Neutral on Yield, as the return of risk-on sentiment continues to favor Growth andMomentum, leaving Yield’s defensive, bond-proxy appeal lessdifferentiated.Strong Aprilpayrolls (115k vs. 65k consensus) and a steady 4.3% unemployment rate have reducedexpectations for Fed easing, with only one cut now expected through 2027, weakening themacro case for cash-generative strategies. However, cheap valuations and light positioninglimit downside risk, supporting a neutral stance. US factor analysis and views: May 2026 Equity market performance in April 2026: •Risk assets posted an exceptional run in April, with the S&P 500 up more than 9% and BigTech rallying by over 16%, as Growth outperformed Value across both large and small caps. •The rally was supported by easing U.S.–Iran tensions, allowing equity sentiment to decouplefrom oil-related concerns despite ongoi