市场微观结构系列研究（一）：市值下沉背后的增量资金

Market Structure and Incremental Funds - Incremental funds are categorized into four types: margin balances, margin trading balances, ETF passive equity funds, and active equity funds[1] - In the 2014-2015 "liquidity" bull market, high-risk preference margin and margin trading funds dominated market pricing, favoring small-cap styles like CSI 1000 and CSI 2000[1] - During the 2019-2021 "core assets" bull market, active equity funds dominated market pricing, favoring large-cap styles like CSI 300 and SSE 50[1] 2014-2015 Market Dynamics - Economic downturn led to declining corporate profits, with GDP growth falling from 7.9% in Q3 2013 to 6.9% in Q4 2015[22] - Margin balances and margin trading balances surged by 276.38 billion yuan and 164.3 billion yuan, respectively, driving small-cap outperformance[27] - CSI 1000 and CSI 2000 outperformed with gains of 133% and 174%, respectively[30] 2019-2021 Market Dynamics - Economic recovery and improved corporate profits, with A-share ROE rising from a low in Q2 2020 to 10.1% in Q2 2021[35] - Active equity funds grew by 3.442 trillion yuan, surpassing other fund types, leading to large-cap outperformance[41] - CSI 300 and SSE 50 outperformed with gains of 68% and 54%, respectively[45] Post-"924" Market Dynamics - Since the "924" market, ETF and margin trading funds have been the main incremental funds, with ETF funds increasing by 790.3 billion yuan and margin trading balances by 454.5 billion yuan[54] - Small-cap styles like CSI 2000 and CSI 1000 outperformed with gains of 40% and 36%, respectively[61] - ETF funds show a preference for small-cap styles, with small-cap ETF growth at 28% compared to 22% for large-cap ETFs[55] Investment Recommendations - Maintain a "market cap down" strategy, focusing on small-cap investment opportunities due to the dominance of margin trading and ETF funds[66] - Large-cap styles may regain dominance if fundamental improvements are validated, favoring value-oriented active equity funds[66]