Core Insights - Micro-cap stocks are characterized by low institutional participation, stable shareholding structures, low trading volumes, and significant potential for valuation recovery once they gain market attention [1][10]. Group 1: Characteristics of Micro-Cap Stocks - Micro-cap stocks refer to companies with small market capitalizations and relatively low liquidity, often described as "small stocks within small stocks" [1][10]. - These stocks typically have low institutional participation, making their prices less susceptible to large-scale trading impacts, resulting in relatively independent market sentiment [1][10]. - The shareholding structure tends to be stable, with existing shareholders less willing to sell when prices drop, and core shareholders often motivated to drive prices higher, creating a natural "safety cushion" [1][10]. - Trading activity is generally light, with daily transaction amounts often in the tens of millions, leading to prolonged undervaluation or neglect, which allows quantitative models to identify potential investment opportunities [1][10]. - The potential for valuation recovery is significant, as light selling pressure means that even a small influx of new capital can lead to rapid and substantial price increases [1][10]. Group 2: Investment Strategy - The essence of investing in micro-cap stocks lies in a "focus on attention" strategy, which differs from traditional value investing that emphasizes company fundamentals [2][11]. - This strategy is based on a quantitative logic that identifies long-term undervalued stocks with low attention but positive volume and price signals, allowing investors to position themselves before market interest increases [2][11]. - The investment focus is on the change in market attention rather than the long-term growth of the companies, requiring strong data processing capabilities and strict trading discipline to accumulate absolute returns [2][11]. Group 3: Implementation and Risk Management - The investment strategy relies on a rigorous system for stock pool construction, which involves excluding companies at risk of delisting or facing major public relations issues, and selecting stocks based on valuation and profitability metrics [3][12]. - Trading signals are monitored monthly for core adjustments, with daily adjustments based on trading signals to smooth volatility and ensure consistent returns while avoiding significant drawdowns [3][12]. - Multi-layered risk management is essential, including avoiding "valuation traps" and delisting risks at the individual stock level, and monitoring overall trading congestion and valuation changes at the sector level [4][14]. Group 4: Future Outlook and Considerations - The underlying logic of the micro-cap stock strategy remains robust, as there are many low-attention, stable small-cap companies in the market [6][16]. - However, the long-term performance of this strategy may face challenges, including limited strategy capacity as more funds enter similar strategies, potentially diluting excess returns [6][16]. - Potential regulatory changes, such as stricter delisting rules and T+0 trading, could fundamentally alter the micro-cap investment landscape [6][16]. - The choice of fund managers is critical, as their quantitative capabilities, risk management awareness, and ability to adapt strategies will determine the long-term success of micro-cap investment strategies [7][17].
投资微盘股，到底投资的是什么？中信保诚基金这样说