美国量化：标普500 - 骑乘人工智能独轮车

US I Quantitative Strategy USA Quant: S&P 500 - Riding the Al Unicycle suggests a broadbased support for the market, Al is driving c.80% of theS&P 500 returns this year. The Al basket is up 30% this year but is still thecheapest"sector"on PE/G (0.6x).Fundamentals are robust, with a 26-27FEPS CAGR of c.39% and double-digit upgrades. Momentum is the biggestbeneficiary of this, but our Al OWT ROIC stars and GARP portfolio, is alsooutperforming and have delivered most of the year-to-date gains, with Al servers, optics,and memory leadingsub-themes, while hyperscalers and chip designers lag. Excluding Al, the S&P 500 returns areonly up 2% in 2026.A"E"vs"P"breakdown of the Al basket shows that returns are underpinnedby"E"rather than a PE rerating,making it sustainable. of just 0.6x. Al revisions are robust with a 30% increase in 26F since mid-2025 (13%-Last 3M)Consensus expects an EPSCAGRof38.5%for2026-27,compared to11.9% for non-Alsectors. Revisions and growth muted ex-Al and commodities: S&P 500 2026F EPS has been upgradedby 6% over the past three months. However, excluding Al and commodities, the revisions werejust 0.3%, highlighting the large discrepancy between the popular themes and the rest of themarket. Similarly,growth for the rest of the S&P 500 is closerto 11%, versus 19% forthe overallindex. With the rest of S&P trading at >19x fwd PE, returns are understandably lagging. Arecord result season: In Q12026,86% of companies reported earnings beats and 82% salesbeats,a post-CovID record. However,beats were not rewarded (beyond Al),while misses werepenalized, indicating high investor expectations. On a more positive note, beats were followedbyupgrades,suggesting earnings risks arelowdespitethegeopoliticaluncertainty. Analyst sentimentalso improvedforearningscall:Analysis of approximately330 companiesQ12026 earnings calls shows 95% management optimism and 58% positive analystsentiment, up from 48% in Q4 2025. The US-lran conflict was cited as a negative factor by44% companies. We screen for companies with consistent beats during results, while currentlywitnessing upgrades post-results and positive analyst sentiment during the earnings calls Keyportfolio:Since ourlastupdate,theportfoliohas outperformedthe S&P50o indexby6.8%(14.6% OPF since launch). We update our portfolio, which includes two themes: 1) ROIC stars(moats), and 2) GARP with earnings momentum. Our portfolio is significantly OWT Al. Links to important reports: IranWar-StressTestingEarningsAl Beneficiariesvs Risk BasketsThe Quality PuzzleFed's Dual MandateWhat's in Style for 2026? DeshPeramunetilleke*|HeadofQuantitativeStrategy85237438056|desh.peramunetilleke@jefferies.com MaheshKedia,CFA*|Quantitative Strategist85237438057|mahesh.kedia@jefferies.com NicholasNg*IQuantitativeAssociate+85237438078Inicholas.ng@jefferies.com JefferiesQuantitativeStrategy*IJefferiesEquityResearchIquantstrategy@jefferies.com Jefferies A/ beneficiaries have outperformed the risk basket by 24% since end of Feb-2026.The overall markethadbroadlyflattenedoutlate2025amidaslowdowninMag7sentimentandthenfellafter the Us-lran war. However, sustained Al-related capex, blockbuster results, and easinggeopolitical risks have pushed it to new highs. Al remains a key market driver, accounting for>80%oftheS&P500'sreturnsthisyear,wellabovethe60%since2023.Returnsarebackedbystrong upgrades, suggesting a sustainable trend. Key points:AI has driven the majority of YTD'26 returns: Ex-Al, S&P 500 returns are only up by 2% this outperformed riskbaskets, drivingover80%oftheS&P500'sreturnsin 2026 amid strong upgrades andeasinggeopoliticaltensions date return is just 2%, with 38.7%ofthe index exposedtoAlthemesledbyhyperscalers, compute,andnetworking year. Currently, 38.7% of the S&P 500 index weight is exposed to Al, led by hypercalers,compute, and networking sub-themes. Al servers, optics, and memory sub-themes areleading this year, while hyperscalers and chip designers are lagging.S&P500Al valuation still reasonable:Despite the recent rally,the S&P500Albasket is still trading at just 24.9x forward PE, below the +1sd mark and at a PE/G of 0.6x. Ex-Al, S&P500 is trading above +1sd and at a PE/G of 1.6x.Memory and compute stocks are mostattractiveonPEG,while chipdesign and semicapexarerelatively expensiveAl growingat EPSCAGRof 35%+withstrong revisions:The S&P500AI2026FEPShas earnings growth,with2026EPSforecastsupover30%andaprojected EPS CAGR of 38.5%,farsurpassing non-Alsectors gone up by more than 30% since 2H'25, while the rest of the S&P 500 has started to movemarginally over the last two months.Conesnus AI 26-27F EPS CAGR stands at 38.5%,veruss 11.9%forthe ex-Albasket.Exhibit1:S&P500-YTD'26returncontribution breakdownExhibit 2:S&P500-Al exposurebreakdown (by weight) Jefferies Baskets report,AlbeneficiarieshaveoutperformedAlriskbasketby 24% driven bybothearnings andPErerating,while memory was drivenby earnings only OverallAlbasket returns havebeen driven mainly by earnin