广发基金：小盘风格领涨，如何看待当前位置风险？

Core Viewpoint - The article highlights the phenomenon of "index rising, but accounts not necessarily increasing," emphasizing the divergence in performance among different market segments, particularly the strong performance of small-cap stocks compared to large-cap indices [2]. Group 1: Market Performance - As of July 16, 2025, the performance of various indices shows significant divergence, with the Wind Micro Cap Index rising by 42% and the CSI 2000 by 18%, while the CSI 500 and CSI 300 only increased by 5% and 2% respectively [2]. - In the first half of 2025, the average return of quantitative private equity funds reached 13.5%, with the median return of CSI 2000 index enhancement strategies nearing 30% [2]. - From 2010 onwards, the annualized returns for the Wind All A and Micro Cap stocks were 4.1% and 30.4% respectively, indicating a better risk-reward ratio for small-cap stocks [2]. Group 2: Reasons for Small Cap Surge - The macroeconomic environment is characterized by a weak recovery, which historically favors small-cap stocks, as evidenced by their performance during periods of economic downturn [4]. - The current focus on "new quality productivity" initiatives, such as AI applications and low-altitude economy, positions small and medium-sized enterprises as key players in industrial innovation, supported by regulatory easing [4]. - The liquidity environment is conducive to small-cap performance, with a significant increase in trading volume and a daily average turnover of 1.37 trillion yuan as of July 16, 2025, reflecting a 63% year-on-year increase [5]. Group 3: Quantitative Investment Dynamics - Quantitative funds, while not exclusively focused on small-cap stocks, show a strong correlation with their performance, suggesting a potential bias towards small-cap investments [6]. - The characteristics of quantitative funds align well with small-cap stocks, as they tend to focus on high-frequency trading factors rather than low-frequency fundamental metrics [6][7]. - The high volatility and mispricing in small-cap stocks create an environment conducive to momentum and trend-following strategies employed by quantitative investors [7]. Group 4: Risk Assessment and Market Outlook - Despite rising concerns about potential pullbacks in small-cap stocks, the current market environment is deemed significantly different from previous liquidity crises, with reduced overcrowding and lower leverage in products linked to small-cap indices [8]. - The current level of liquidity remains ample, with supportive policies and reduced derivative risks, leading to a low probability of systemic risks in the market [9]. - The article suggests that merely relying on overcrowding indicators for trading decisions may lead to misjudgments, advocating for a cautious approach to participation in the small-cap market [9].