金圆统一证券-策略专题：指数增强投资之小市值投资策略-250409-去水印

Group 1 - The core viewpoint of the report emphasizes the persistent existence of size effects in stock investments, with varying performances of small and large-cap stocks across different evaluation periods [1] - The essence of the small-cap effect is attributed to investors' optimism regarding the growth potential of small-cap companies, making growth assessment a critical factor in small-cap investment strategies [1][8] - The report highlights the importance of considering valuation levels when investing in small-cap companies, utilizing price-to-earnings and price-to-book ratios as screening criteria [1][8] Group 2 - The report outlines the main steps for constructing a small-cap investment strategy, including defining the sample space, selection methods, sample size, stock weight allocation, and setting trading plans [1][10] - A comprehensive evaluation of the "small-cap investment strategy" based on backtested data shows an annual compound return rate of 39.7561%, an alpha value of 30.8232, and a maximum drawdown of 26.04%, indicating excellent strategy performance [1][21][34] - The report provides a detailed assessment of the strategy's performance against the benchmark index, revealing a significant cumulative excess return rate of 54178.2305% over the evaluation period [34][40]