策略周专题（2025年5月第2期）：大小盘风格分化或将收敛

Group 1 - The report indicates that the A-share market has shown an upward trend, with major indices such as the ChiNext Index, SSE 50, and CSI 300 leading in gains, while the STAR 50 and CSI 500 experienced slight declines [1][15][17] - Since early April, there has been a significant outperformance of small-cap indices compared to large and mid-cap indices, with the CSI 2000 and Wind Micro-cap Index rising by 16.4% and 22.1% respectively from April 8 to May 16 [2][20][26] - The report highlights that the small-cap indices have benefited from a rebound after a prior decline, as well as from improved market sentiment following substantial progress in US-China trade talks [2][26][27] Group 2 - Historical patterns suggest that the divergence between small and large-cap stocks may converge in the future, as market sentiment shifts from riskier small-cap stocks to more stable large-cap stocks during prolonged market rallies [3][34][36] - The report emphasizes that mid to long-term capital inflows into the A-share market are likely to favor large-cap stocks, as these are typically preferred by institutional investors seeking stability and predictable performance [3][35] - The report also notes that the profitability of large-cap stocks is currently stronger, with the ROE (TTM) for the CSI 300 and CSI 500 at 9.8% and 6.0% respectively, compared to lower figures for small-cap indices [3][37] Group 3 - The report suggests a potential rotation between defensive and growth styles in the market, with defensive sectors focusing on stable or high-dividend industries, while growth sectors emphasize thematic growth and independent cyclical industries [4][58][59] - It identifies specific industries to watch under different market sentiment scenarios, with utilities, banks, and construction being favored in a declining sentiment environment, while media, defense, and technology sectors may perform better if sentiment improves [4][59][60] - The report provides a scoring framework for industry allocation, indicating that public utilities and banks score highly under current conditions, suggesting a preference for these sectors in the near term [4][65]