中欧小盘成长：广度优势+暴露度可控，打造高性价比小盘基金：基金经理研究系列报告之八十五

1. Report Industry Investment Rating No relevant content provided. 2. Report's Core View - Small - cap style is a comfortable area for index - enhanced products, with current valuation quantiles and profit expectations being relatively advantageous. The small - cap index may have dual advantages in terms of profit and valuation, and small - cap quantitative funds have better excess return sustainability [1][6][16]. - The China Europe Small - Cap Growth Fund controls the position deviation, and its performance and win - rate are leading in the current year. Stock selection is the main source of excess returns [1]. 3. Summary According to the Directory 3.1 Small - cap Style: Comfort Zone for Index - enhanced Products, with Current Valuation Quantiles and Profit Expectations Relatively Advantageous 3.1.1 Small - cap Features: Multi - dimensional Growth, Rich Connotations, and Potential Dual Advantages in Profit Expectations and Valuations Compared to Large - caps - Since Q3 2024, small - cap indices such as CSI 1000 and CSI 2000 have performed prominently. In different quarters, different small - cap indices outperform the SSE 500 and SSE 300. For example, in Q4 2024, Q1 2025, and Q2 2025, CSI 2000 was dominant, while in Q3 2025, SSE 500 performed relatively well [6][7][8]. - In terms of industry structure, industries with high returns this year are mostly growth - oriented, and small - cap indices have a higher proportion in these industries. Industries with poor performance this year, such as banking and food and beverage, have a lower proportion in small - cap indices [10]. - Hot topics this year reflect the rich connotations of small - caps. The top three non - broad - based and non - Hong Kong - stock indices in terms of scale growth by Q3 2025 are mainly composed of small - and medium - cap stocks, providing diversified investment opportunities [11][12]. - Small - cap indices may have dual advantages in profit and valuation. The market generally expects small - and medium - cap indices to have outstanding growth in the next 1 - 2 years, and combined with their relatively low historical valuation quantiles, this indicates potential dual advantages [16]. 3.1.2 Fully Utilize Quantitative Advantages, with Better Excess Return Sustainability for Small - cap Quantification - As the index leans towards small - caps and the breadth becomes stronger, quantitative funds can more easily create excess returns. Taking data since 2020 as an example, the average annualized excess returns of SSE 50, SSE 300, SSE 500, and CSI 1000 index - enhanced funds are 0.50%, 1.64%, 2.77%, and 7.12% respectively [17]. - From historical data, investment opportunities in different sample pools change over time, but small - cap indices have long - term positive excess return investment opportunities. For example, CSI 1000 index - enhanced funds have achieved positive excess returns for the past five years [21][24]. 3.2 China Europe Small - Cap Growth: Breadth Advantage + Controllable Exposure, with Leading Performance and Win - rate This Year 3.2.1 Positioning Characteristics: All Aspects of Exposure are Relatively Controllable - Stock positions are relatively dispersed, with an actively - traded investment approach. The top ten holdings account for less than 15%, and the top thirty holdings account for less than 30% recently. The turnover rate is in the range of 6 - 10 times, and has remained above 9 times in recent periods [29]. - There is no excessive market - value sinking operation. Most of the holdings are small - market - value stocks, with stocks with a free - floating market value of less than 100 billion accounting for more than 90% in each period, and stocks with a market value of less than 2 billion accounting for less than 10% in H1 2025 [35]. - The proportion of GZSE 2000 component stocks is higher than the average of similar active equity products, and the deviation from the GZSE 2000 is relatively controllable. The industry deviation is also relatively small, with only some obvious deviations in individual industries in certain reporting periods [39][40][42]. 3.2.2 Performance: Leading in Similar Products in 2025 - Since its management, the product has stably outperformed the benchmark index. As of September 30, 2025, the cumulative return of China Europe Small - Cap Growth has reached 58.73%, while the benchmark has only risen by 17.37%. Since 2025, its performance has significantly exceeded the benchmark [46]. - This year, it has led in similar products. As of September 30, 2025, its return has reached 53.91%. It also has a prominent risk - return ratio, with an annualized Sharpe ratio of 2.65 and a Calmar ratio of 5.71, leading among similar products [49]. - It has significant advantages in drawdown control. In several market drawdowns since 2024, its drawdown has been significantly lower than the index and the average of similar products. For example, in February 2024, when the GZSE 2000 index fell 14.52% and the average drawdown of similar products was 14.74%, China Europe Small - Cap Growth only had a 13.27% drawdown, ranking in the top 9.0% of similar products [56][59]. - Quarterly, it has a considerable excess return and win - rate. In 9 out of 11 complete quarters since 2023, it has outperformed the GZSE 2000, with a win - rate of 81.8% and an average quarterly excess return of 2.94% [62]. - It also has an advantage in Alpha uniqueness. Compared with other GZSE 2000 index - enhanced products from 2024 to September 30, 2025, it is leading in both the win - rate of obtaining unique Alpha and the cumulative unique Alpha [65]. 3.2.3 Return Breakdown: Stock Selection Contributes Significantly to Returns - Using the Brinson model, it is found that stock selection is the main source of excess returns for China Europe Small - Cap Growth. Stock selection has made significant contributions to returns since its management, and trading can also contribute some excess returns [67]. - In terms of sector breakdown, innovation and technology, advanced manufacturing, and other sectors have made significant contributions to returns. The fund can obtain excess returns in most sectors through stock selection, especially in the advanced manufacturing sector [70]. 3.2.4 Product Feature Summary - There is no significant deviation in all aspects. Although it focuses on small - market - value stocks, it does not over - expose to micro - cap stocks. The industry exposure is relatively controllable, and the investment proportion in index component stocks is more than 50% in most reporting periods [74]. - The product performance is outstanding, with an impressive win - rate. As of September 30, 2025, its return has reached 53.91%, with an annualized Sharpe ratio of 2.65 and a Calmar ratio of 5.71. It has performed well in drawdown control since 2024 [74]. - Stock selection is the main source of excess returns. Stock selection contributes a large amount of excess returns, and trading also contributes some. Stock - selection returns come from multiple sectors, and the relative performance of stock selection in each sector is also good [74].