怕“躲牛市”又怕追高？量化或是一种解法

Core Insights - The market has favored small-cap stocks this year, leading to strong performance from quantitative funds, with an average return of approximately 52% for over 500 quant funds established for more than a year, and only 14 funds reporting negative returns [2][3] Fund Performance - The Huatai-PB CSI 2000 Enhanced Index Fund has achieved a remarkable return of 104.57% over the past year, significantly outperforming its benchmark, which returned 31.82% [3] - The fund's holder count increased from 12,200 to 33,700, indicating strong market interest [4] Quantitative Strategy - The Huatai-PB team has developed short-term quantitative models tailored for small-cap indices like CSI 2000, which have shown success in recent market conditions [5][9] - The Huatai-PB CSI 2000 Enhanced Index A has delivered a year-to-date return of 47.63%, exceeding its benchmark by 15.87% [5] Model Development - The quantitative team has been cautious in deploying new strategies, ensuring that their short-cycle volume-price models are tested with proprietary funds before being applied to public offerings [9][10] - The combination of short-term and long-term quantitative models has allowed Huatai-PB to create a well-defined product matrix that caters to various market conditions [10][11] Market Trends - The small-cap sector, represented by the CSI 2000 index, has seen a cumulative increase of 81.26% since the market rally began in September 2024, outperforming larger indices [5] - The dual focus on capturing excess returns while adhering to investment discipline is crucial in a volatile market environment, positioning enhanced index funds as a significant component of long-term asset allocation [13]