中小市值策略持续火热！百亿量化业绩“炸裂”，警惕回撤风险

Core Viewpoint - The small and mid-cap strategy has become a blue ocean for quantitative investment in 2023, particularly with the small-cap index enhancement strategy gaining significant attention in the market [1][4]. Group 1: Performance of Quantitative Private Equity - Several leading quantitative private equity products have achieved annual returns exceeding 20%, with some even reaching 30%, showcasing impressive excess returns [2][6]. - The average return for quantitative private equity firms with over 10 billion in assets reached 13.54% in the first half of the year, with all firms reporting positive returns [7][8]. Group 2: Market Dynamics and Strategy Shifts - The market has seen frequent style rotations since September 2024, with small and mid-cap stocks outperforming large-cap stocks, leading to a significant increase in the allocation of small-cap stocks by quantitative strategies [5][12]. - The CSI 2000 index has risen by 16.41% this year, significantly outperforming other indices, indicating a strong focus on small-cap stocks [5][6]. Group 3: Factors Driving Small-Cap Strategy Popularity - The small-cap strategy's success is attributed to a combination of market conditions, funding preferences, and technological advancements [10][11]. - The current market environment, characterized by wide fluctuations and increased stock volatility, provides ample trading opportunities for quantitative strategies [12]. - Supportive policies for "new productive forces" have made small-cap companies attractive for innovation, leading to a preference for high-tech, stable-return quantitative strategies [12][13]. Group 4: Risks and Adjustments - As small-cap stock valuations rise rapidly, the sustainability of the small-cap strategy faces challenges, with some quantitative firms tightening risk exposure and optimizing strategy models [3][15]. - The CSI 2000 index's price-to-earnings ratio stands at 135.1, indicating that current valuations are higher than 95% of historical levels, raising concerns about potential market corrections [16][18]. - Some quantitative firms have begun to diversify factors and reduce strategy homogeneity to maintain effective and stable returns amid increasing competition [18][19].