微盘指数创新高，量化指增的超额修复了吗？

Core Viewpoint - The article highlights the resurgence of small-cap stocks and micro-cap indices, driven by increased liquidity, favorable policies, and a shift in market focus towards high-value assets, particularly in sectors like AI and advanced manufacturing [2][12]. Group 1: Market Performance - In the past month, small-cap and micro-cap indices, such as the CSI 2000 and Wind Micro-Cap Index, have shown strong upward trends, becoming a prominent style direction in the market [2]. - The trading structure of the market is changing, with increased turnover rates and transaction proportions for micro-cap and small-cap stocks, indicating a shift of funds towards high-value assets [2]. Group 2: Quantitative Strategy Performance - Quantitative index-enhanced funds have shown significant recovery, with the CSI 1000 Index Enhanced Strategy Index rising by 6.56% and the CSI 500 Index Enhanced Strategy Index increasing by 6.3% in the past month [6]. - The effectiveness of quantitative stock selection factors has improved, with a notable recovery in excess returns as market conditions favor the return of style and fundamental factors [6][7]. Group 3: Characteristics of Recovery - The recovery in excess returns is broad-based, benefiting from the easing of previous constraints such as style reversals and liquidity segmentation [7]. - The sustainability of excess recovery has strengthened, with increased trading activity and volatility allowing for better differentiation among stocks [7]. - Leading institutions have demonstrated renewed flexibility in excess return capabilities, enhancing their models and risk control structures [7]. Group 4: Investment Insights - Investors are advised to seize opportunities presented by the strengthening small-cap style, particularly in micro-cap indices reaching new highs [12]. - Emphasis should be placed on the capabilities of models rather than short-term rankings, focusing on teams with rapid model iteration and mature risk control [12]. - Caution is recommended against products with high crowding, large scale, or rapid position changes, as the essence of index-enhanced strategies is to pursue low volatility and stable excess returns [12].