一年涨超96%！揭秘小盘增强“全天候超额”的量化内核

Core Insights - Small-cap stocks have emerged as the primary source of returns in the A-share market this year, with the China Securities 2000 Enhanced ETF (159552) leading the way with a year-to-date increase of 44.05% and a one-year increase exceeding 96% [1][4] - The enhanced ETF's superior performance is attributed to a quantitative strategy that systematically exploits pricing inefficiencies in small-cap stocks rather than relying on speculative bets on specific sectors [3][2] Performance Metrics - The China Securities 2000 Enhanced ETF has achieved a cumulative return of 88.45% since its inception, outperforming the China Securities 2000 index by 38.62% [1][3] - The index itself has seen a rise of over 68% since September 24, 2024, making it a key driver of the current market rally [9][10] Market Dynamics - The small-cap sector is benefiting from supportive policies aimed at specialized and innovative enterprises, with the China Securities 2000 index constituents being core representatives of small and micro enterprises [7] - High liquidity, with daily trading volumes averaging over 1 trillion, provides an ideal environment for quantitative strategies to effectively capture stock opportunities [8] - The structural characteristics of small-cap stocks, including high elasticity and growth potential, enhance their performance in a volatile market [9] Fund Flows and Investor Sentiment - On August 5, 2025, the China Securities 2000 Enhanced ETF experienced a net inflow of 72.93 million, indicating strong investor interest and confidence in the "small-cap + enhanced" strategy [11] - The ETF's assets have surged over 30 times this year, approaching 600 million, positioning it as the largest among similar enhanced ETFs [11]