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 hot topic in quantitative investment this year, particularly with the small-cap index strategies gaining significant attention in the market [1][2]. Group 1: Performance of Small and Mid-Cap Strategies - Several leading quantitative private equity firms have reported annual returns exceeding 20%, with some reaching as high as 30%, showcasing impressive excess returns [2][5]. - The average return for quantitative private equity firms managing over 10 billion yuan was 13.54% in the first half of the year, with all firms achieving positive returns [5]. - The CSI 2000 index has seen a year-to-date increase of 16.41%, significantly outperforming other indices, indicating a strong performance of small-cap stocks [4]. Group 2: Factors Driving the Popularity of Small and Mid-Cap Strategies - The market environment has been conducive for small-cap strategies, with increased volatility providing ample trading opportunities [7]. - Current policies favoring "new productive forces" such as low-altitude economy and AI applications have positioned small-cap companies as key players in industrial innovation [8]. - The integration of AI in quantitative investment has enhanced strategy resilience and efficiency, particularly in factor discovery and portfolio optimization [9]. Group 3: Risks and Adjustments in Strategy - The rapid increase in valuations of small-cap stocks raises concerns about the sustainability of the small-cap strategy, as many stocks are now considered overvalued [11][12]. - Some quantitative private equity firms are optimizing their strategy models and tightening risk exposure in response to the crowded small-cap space [12]. - The current price-to-earnings ratio of the CSI 2000 index stands at 135.1, indicating that valuations are higher than 95% of historical levels, which could lead to significant pullback risks if market conditions change [12].