市场预期升波，2026年指增如何演绎？

Core Viewpoint - The A-share market in 2025 continues the long-term trend of declining volatility, characterized by "low trend, low amplitude" due to increased institutionalization and regulatory emphasis on high-quality development [2] Group 1: Market Volatility Analysis - The annualized daily volatility of major broad-based indices is below the five-year average, with the CSI 300's volatility dropping below 15% and the CSI 1000 index showing a significant decline from its 2024 peak [9][10] - The number of trading days with an absolute price change greater than 2% for the CSI 1000 index is only 21 days as of December 10, significantly lower than 60 days in 2024, indicating a convergence of daily price fluctuations [10] Group 2: Causes of Volatility Decline - The decline in volatility is attributed to multiple structural factors, including accounting standard adjustments that reduced the impact of equity volatility on insurance profits, allowing long-term funds to increase allocations to low-turnover, low-beta assets [13] - A decrease in tail risk events throughout the year has led to a continuous downward adjustment in the market's pricing of systemic risks, contributing to the low volatility environment [13] - Regulatory changes in public fund assessments have led to a trend towards passive management, resulting in smoother rebalancing and reduced industry divergence [13] Group 3: Impact on Investment Strategies - Low volatility environments compress the price differences of stocks, making it difficult for high-frequency and momentum strategies to perform well, while some trend-following strategies struggle to generate positive feedback [16] - Despite the compression of alpha in certain enhanced strategies due to low volatility, new structural opportunities arise, particularly in stable cash flow and low-volatility sectors, which are expected to sustain their value [17] - Small-cap and micro-cap assets, which remain under-covered by institutions, present significant alpha sources due to their lower pricing efficiency and higher volatility, making them attractive for enhanced strategies [17]