近两个月，A股市场经历了一场从"极致聚焦"到"动态均衡"的深刻转变。 前期一骑绝尘的科技成长主线 内部出现显著分化与高位震荡，交易拥挤度触及高位，而顺周期、消费及红利等风格板块则悄然回归。 市场未形成新的单一共识，指数于区间内反复拉锯，行业轮动速度显著加快。这种从结构性牛市向复杂 震荡市的切换，也似乎标志着投资策略可以从"单线押注"转向"多线布局"。 其实三季度以来，大盘成长风格席卷而来，微盘策略经受着较大跑输压力。因为当市场的主旋律切换 时，无论如何优化策略权重或收益，策略的底层因子与市场风格不匹配，就依然可能会阶段性跑输。因 此，许多投资者或许会问：在当下复杂多变的市场中，为何仍有必要关注微盘策略？ 关注微盘策略的两点核心必要性 我们认为，一方面，通过微盘策略，本质上不是争取Beta的机会（当然牛市这部分也存在一部分机 会），更稳妥的是承担Beta的波动，通过追求市场无效定价的超额收益。因为微盘股流动性较差、研究 覆盖较少，容易被市场错杀或资金炒作导致超卖或超买，通常其间蕴含的就是市场非理性带来的交易机 会。这份能在市场波动中提供一种差异化的收益可能，有望与主线形成有效互补。 另一方面，在当前多风格快速轮 ...

微盘股突变 12月12日，市场一度向强的方向发展，但尾盘受微盘股拖累再度走弱。微盘股指数下午两点之后跳水，一度跌1.4%，本月跌幅已经超6%。 从过去几年来看，微盘股每到年底或年初都会有较大异动。去年12月，该指数杀跌近8%，去年1月更是暴跌超21%。今天跌停或跌幅达10%以上的个股一度 超过20只，ST股更是大面积跌停，其中大部分有微盘股属性。 担心可能仍未消除！ 午后，A股市场一度冲高。但微盘股在下午两点过后也开启了显著杀跌之旅。万得微盘股指数一度杀跌超1.4%。不少上午存有一定涨幅的中小盘个股午后皆 出现显著杀跌。 那么，究竟发生了什么？一方面，过去几年，每到年底或年初，微盘股都会震荡加剧，2024年1月和12月微盘股都出现了惨烈杀跌。另一方面，可能与最近 市场的传闻有关。不过，有机构人士向券商中国记者透露，截至目前，相关机制暂无变动。 那么，当下应该是切换风格，还是坚定撤退呢？分析人士认为，从目前市场的成交量来看，只要小盘股不出现大幅度回撤，主题性的中大盘还是会有一定机 会。 据方正证券，大小盘切换行情经验有三大事实： (1)A股大小盘超额收益整体呈均值回归特征，2005年以来大小盘风格变化大体可分为 ...

Core Viewpoint - The article discusses the volatility of micro-cap stocks in the A-share market, particularly during the end of the year and early January, highlighting significant declines and the potential impact of market rumors [1][3]. Group 1: Market Performance - Micro-cap stocks experienced a sharp decline, with the micro-cap index dropping over 1.4% in the afternoon session, contributing to a monthly decline exceeding 6% [1]. - Historical data shows that micro-cap stocks tend to exhibit large fluctuations at the end of the year, with a nearly 8% drop in December last year and over a 21% plunge in January [3]. Group 2: Investment Strategy - Analysts suggest that the current market conditions may warrant a shift in investment strategy, indicating that as long as small-cap stocks do not experience significant pullbacks, there may still be opportunities in thematic mid-to-large cap stocks [4]. - According to Fangzheng Securities, the logic behind the rotation between large and small-cap stocks is not strongly driven by overall profitability differences, and liquidity conditions are not the decisive factor for style switching [5]. Group 3: Micro-Cap Stock Characteristics - The micro-cap index has significantly outperformed the market in recent years, attributed to its "contrarian stock selection" characteristics, although it is currently at historical highs with relative valuations still below historical extremes [5]. - Investment risks in micro-cap stocks primarily include credit risk and liquidity risk [5].

Quantitative Models and Construction Methods 1. Model Name: Diffusion Index Model - **Model Construction Idea**: The diffusion index is used to monitor the market's risk threshold and predict potential market movements based on historical and current data[5][17][40] - **Model Construction Process**: - The diffusion index is calculated based on the relative performance of micro-cap stocks over a specific time window. - The model uses three trading strategies: 1. **Left-Side Threshold Method**: Triggered an opening signal on September 23, 2025, when the index reached 0.0575[42] 2. **Right-Side Threshold Method**: Triggered an opening signal on September 25, 2025, when the index reached 0.1825[47] 3. **Dual Moving Average Method**: Gave a bullish signal on October 13, 2025[48] - The diffusion index's current value is 0.93, indicating a high level, with potential for high volatility in the coming week[39][40] - **Model Evaluation**: The model effectively identifies market risk thresholds and provides actionable trading signals based on historical data[5][17][40] 2. Model Name: Small-Cap Low-Volatility 50 Strategy - **Model Construction Idea**: Selects 50 stocks with small market capitalization and low volatility from micro-cap stock components to optimize returns[7][35] - **Model Construction Process**: - Stocks are selected based on their market capitalization and volatility metrics. - The portfolio is rebalanced bi-weekly. - The benchmark is the Wind Micro-Cap Stock Index (8841431.WI), with a transaction fee of 0.3% on both sides[7][35] - **Model Evaluation**: The strategy demonstrates strong performance in 2025, with a year-to-date (YTD) return of 81.53%, though it underperformed the benchmark by 1.01% this week[7][35] --- Model Backtesting Results 1. Diffusion Index Model - **Risk Threshold**: Triggered at 0.9, indicating a high-risk zone[5][17][40] - **Left-Side Threshold Method**: Opening signal at 0.0575 on September 23, 2025[42] - **Right-Side Threshold Method**: Opening signal at 0.1825 on September 25, 2025[47] - **Dual Moving Average Method**: Bullish signal on October 13, 2025[48] 2. Small-Cap Low-Volatility 50 Strategy - **2024 Return**: 7.07%, underperforming the benchmark by 2.93%[7][35] - **2025 YTD Return**: 81.53%, underperforming the benchmark by 1.01% this week[7][35] --- Quantitative Factors and Construction Methods 1. Factor Name: Leverage Factor - **Construction Idea**: Measures the financial leverage of a company to assess its risk and return potential[4][16][33] - **Construction Process**: Calculated as the ratio of total debt to equity. - **Factor Evaluation**: Ranked first in weekly rank IC with a value of 0.182, significantly outperforming its historical average of -0.005[4][16][33] 2. Factor Name: Free Float Ratio Factor - **Construction Idea**: Evaluates the proportion of freely tradable shares to total shares to gauge liquidity[4][16][33] - **Construction Process**: Calculated as the ratio of free float shares to total shares outstanding. - **Factor Evaluation**: Ranked second in weekly rank IC with a value of 0.138, outperforming its historical average of -0.012[4][16][33] 3. Factor Name: Turnover Factor - **Construction Idea**: Assesses trading activity by measuring the turnover of shares[4][16][33] - **Construction Process**: Calculated as the ratio of trading volume to total shares outstanding over a specific period. - **Factor Evaluation**: Ranked third in weekly rank IC with a value of 0.116, outperforming its historical average of -0.081[4][16][33] 4. Factor Name: Liquidity Factor - **Construction Idea**: Measures the ease of trading a stock without significantly impacting its price[4][16][33] - **Construction Process**: Calculated using bid-ask spreads and trading volume data. - **Factor Evaluation**: Ranked fourth in weekly rank IC with a value of 0.075, outperforming its historical average of -0.041[4][16][33] 5. Factor Name: Dividend Yield Factor - **Construction Idea**: Evaluates the dividend income relative to the stock price to assess income potential[4][16][33] - **Construction Process**: Calculated as the annual dividend per share divided by the stock price. - **Factor Evaluation**: Ranked fifth in weekly rank IC with a value of 0.064, outperforming its historical average of 0.022[4][16][33] --- Factor Backtesting Results Weekly Rank IC Values 1. **Leverage Factor**: 0.182 (historical average: -0.005)[4][16][33] 2. **Free Float Ratio Factor**: 0.138 (historical average: -0.012)[4][16][33] 3. **Turnover Factor**: 0.116 (historical average: -0.081)[4][16][33] 4. **Liquidity Factor**: 0.075 (historical average: -0.041)[4][16][33] 5. **Dividend Yield Factor**: 0.064 (historical average: 0.022)[4][16][33]

Core Viewpoint - The financing balance of the two markets has surpassed 2.3 trillion yuan, marking a historical high since 2015, indicating a significant increase in liquidity and investor risk appetite during the current bull market [2][3]. Group 1: Exposure of Micro-Cap Stocks - There is a noticeable differentiation in the exposure of quantitative long products to micro-cap stocks this year, with micro-cap indices significantly outperforming mid and large-cap stocks [4][5]. - The weighted discount rate of IC/IM stock index futures has remained high, suggesting an increased exposure of quantitative managers to micro-cap stocks [7]. - In the first quarter, the proportion of holdings in stocks below the 2000 index was about 20-40%, which may rise to over 50% in the third quarter [8]. Group 2: Reasons and Risks of Exposure to Micro-Cap Stocks - Historically, small-cap stocks have shown higher average annualized beta returns compared to large-cap stocks, attracting speculative interest from retail investors [9]. - The lower coverage of small micro-cap stocks by large institutional investors leads to higher mispricing probabilities, providing opportunities for quantitative models to identify undervalued targets [9]. - The current market liquidity favors micro-cap stocks, pushing their prices higher, especially during periods of weak economic data [9]. Group 3: Investor Strategies to Mitigate Risks - As long as micro-cap stocks maintain a strong market position, the likelihood of high exposure in quantitative long products remains significant [10]. - New investors may have concerns, but the current bull market is relatively rare, and any adjustments are expected to manifest as fluctuations rather than sharp declines [10]. - Quantitative long strategies differ from simple micro-cap strategies, focusing on identifying strong stocks and increasing exposure based on market conditions [10].

- Model Name: Diffusion Index Model; Model Construction Idea: The model monitors the critical points of future diffusion index changes; Model Construction Process: The model uses a table to monitor the future diffusion index change points. The horizontal axis represents the percentage change in stock prices from the current week, ranging from 1.1 to 0.9, indicating a 10% rise to a 10% fall. The vertical axis represents the length of the review period from the current week, with T ranging from 20 to 10, indicating the number of trading days from the current week, i.e., N from 0 to 10, N=20-T. For example, a horizontal axis value of 0.95 and a vertical axis value of 15 days is 0.21, indicating that if all stocks in the micro-cap index fall by 5% after N=5 days, the value of the micro-cap diffusion index is 0.21. The current value of the diffusion index is 0.76 (horizontal axis 20, vertical axis 1.00) [40][41][42] - Model Name: Initial Threshold Method (Left-Side Trading); Model Construction Idea: The model triggers a short position signal when the diffusion index reaches a certain threshold; Model Construction Process: The initial threshold method triggered a short position signal at the close of May 8, 2025, with a value of 0.9850 [45][46] - Model Name: Delayed Threshold Method (Right-Side Trading); Model Construction Idea: The model triggers a short position signal when the diffusion index reaches a certain threshold; Model Construction Process: The delayed threshold method triggered a short position signal at the close of May 15, 2025, with a value of 0.8975 [47][49] - Model Name: Double Moving Average Method (Adaptive Trading); Model Construction Idea: The model triggers a short position signal when the diffusion index reaches a certain threshold; Model Construction Process: The double moving average method triggered a short position signal at the close of August 4, 2025 [50][51] - Factor Name: Logarithmic Market Value Factor; Factor Construction Idea: The factor ranks stocks based on their logarithmic market value; Factor Construction Process: The factor is calculated by taking the logarithm of the market value of stocks and ranking them accordingly; Factor Evaluation: The factor performed well this week with a rank IC of 0.206, compared to a historical average of -0.033 [4][18][35] - Factor Name: Nonlinear Market Value Factor; Factor Construction Idea: The factor ranks stocks based on their nonlinear market value; Factor Construction Process: The factor is calculated by taking the nonlinear transformation of the market value of stocks and ranking them accordingly; Factor Evaluation: The factor performed well this week with a rank IC of 0.206, compared to a historical average of -0.033 [4][18][35] - Factor Name: Unadjusted Stock Price Factor; Factor Construction Idea: The factor ranks stocks based on their unadjusted stock price; Factor Construction Process: The factor is calculated by taking the unadjusted stock price of stocks and ranking them accordingly; Factor Evaluation: The factor performed well this week with a rank IC of 0.15, compared to a historical average of -0.014 [4][18][35] - Factor Name: Profitability Factor; Factor Construction Idea: The factor ranks stocks based on their profitability; Factor Construction Process: The factor is calculated by taking the profitability metrics of stocks and ranking them accordingly; Factor Evaluation: The factor performed well this week with a rank IC of 0.141, compared to a historical average of 0.022 [4][18][35] - Factor Name: Single Quarter ROE Factor; Factor Construction Idea: The factor ranks stocks based on their single quarter return on equity (ROE); Factor Construction Process: The factor is calculated by taking the single quarter ROE of stocks and ranking them accordingly; Factor Evaluation: The factor performed well this week with a rank IC of 0.137, compared to a historical average of 0.022 [4][18][35] - Diffusion Index Model, Rank IC: 0.76 [40][41][42] - Initial Threshold Method, Rank IC: 0.9850 [45][46] - Delayed Threshold Method, Rank IC: 0.8975 [47][49] - Double Moving Average Method, Rank IC: 0.76 [50][51] - Logarithmic Market Value Factor, Rank IC: 0.206 [4][18][35] - Nonlinear Market Value Factor, Rank IC: 0.206 [4][18][35] - Unadjusted Stock Price Factor, Rank IC: 0.15 [4][18][35] - Profitability Factor, Rank IC: 0.141 [4][18][35] - Single Quarter ROE Factor, Rank IC: 0.137 [4][18][35]

Core Viewpoint - The micro-cap stocks have gained significant attention in the market due to their strong performance and unique characteristics, contrasting with the broader market indices which have shown limited growth [1][2]. Group 1: Market Performance - As of August 8, the micro-cap index has increased by 56.68% year-to-date, while major indices like the Shanghai Composite and CSI 300 have only shown single-digit growth [1]. - Micro-cap stocks are characterized by a "slow rise and rapid fall" pattern, indicating their potential for significant upward movement when market conditions improve [1]. Group 2: Investment Opportunities - The investment landscape for micro-cap stocks has changed, with lower crowding and improved policy environments compared to previous years [2]. - The focus on technology and innovation has been emphasized, with funds like Huian Multi-Strategy Mixed Fund targeting micro-cap stocks that have strong technological attributes and can benefit from national policies promoting innovation [2]. - Recent ratings from various securities firms have recognized the Huian Multi-Strategy Mixed Fund as a top-performing fund, indicating confidence in its strategy and potential returns [2]. Group 3: Risks and Considerations - Investment in micro-cap stocks carries inherent risks, particularly liquidity risk and delisting risk, which investors need to be aware of [3]. - The potential for liquidity issues during market downturns and the risk of companies failing to meet listing requirements are significant concerns for investors in this segment [3].

Core Viewpoint - The recent surge in small and micro-cap indices has led to significant gains, prompting many funds to implement purchase limits to protect investors and manage stock price impacts [1][2][3] Group 1: Performance of Small and Micro-Cap Indices - Small and micro-cap indices, such as the CSI 2000 and Guozheng 2000, have outperformed major indices, with increases of 34.04% and 29.29% respectively since April 7 [2] - The "micro-cap stock" index has surged over 56%, indicating a strong upward trend in small-cap stocks [2] - Funds focused on small-cap stocks have shown impressive year-to-date performance, with some funds like Nuoan Multi-Strategy Fund rising over 60% [2] Group 2: Fund Purchase Limits - Due to limited capacity for small-cap stocks to absorb large amounts of capital, several funds have implemented purchase limits to prevent significant price impacts [2][3] - Notable funds such as Nuoan Multi-Strategy and CITIC Prudential Multi-Strategy have announced multiple purchase limit measures in recent months [2][3] Group 3: Strategy Adjustments by Funds - In response to increasing fund sizes, some fund managers are reducing their holdings in small-cap stocks and reallocating funds to larger-cap stocks [3][4] - For instance, CITIC Prudential Multi-Strategy Fund's assets grew from under 700 million to 1.199 billion, leading to a decrease in individual stock weightings [3] - Other funds, like the招商量化精选, have shifted their focus from small-cap stocks to larger companies, reflecting a broader strategy change [4] Group 4: Risks and Concerns - Fund managers have expressed concerns about liquidity risks associated with micro-cap stocks, emphasizing the need for caution [5][6] - The reliance on capital inflows and momentum effects in micro-cap stocks has raised alarms about potential rapid adjustments and tail risks [6]

Core Viewpoint - The article emphasizes the importance of scientific thinking and critical analysis in quantitative investment, highlighting the influence of philosopher Karl Popper on investment strategies and the development of models that seek to identify and exploit market inefficiencies. Group 1: Investment Philosophy - The essence of quantitative investment lies in modeling the securities market using scientific methods to identify reproducible patterns that can influence market behavior [16][6] - The investment approach is heavily influenced by Popper's philosophy of "conjecture and refutation," which encourages the search for rules in an uncertain world [7][56] - The focus on objective analysis helps avoid the pitfalls of linear thinking and cognitive biases that can obscure judgment [2][61] Group 2: Performance Metrics - The performance of the multi-strategy fund, specifically the Nuon Multi-Strategy Mixed Fund, achieved a return of 100.74% over the past year, while the Nuon CSI 300 Index Enhanced Fund outperformed the CSI 300 Index by 2.06% with a return of 15.42% [3][29] - The significant outperformance of the Nuon Multi-Strategy Fund compared to small-cap indices like the CSI 2000 indicates that the excess returns are not merely a result of small-cap exposure but rather from sophisticated modeling techniques [3][34] Group 3: Investment Strategies - The concept of "attention value" in the A-share market suggests that investors frequently shift their focus due to the inability of many companies to meet return expectations, which can be strategically exploited for excess returns in micro-cap stocks [26][4] - The investment strategy emphasizes the importance of understanding the underlying statistical patterns and market behaviors rather than relying solely on historical performance [20][22] Group 4: Machine Learning and Model Development - The transition from multi-factor strategies to machine learning models allows for the capture of non-linear patterns, leading to superior returns that exceed human cognitive limitations [3][30] - The use of machine learning in investment models is seen as a way to enhance predictive capabilities and adapt to rapidly changing market conditions [30][40] Group 5: Market Dynamics and Future Outlook - The article argues that the excess returns from micro-cap stocks in the Chinese market are unlikely to converge due to the unique market dynamics and investor behavior [34][35] - The focus on scientific and systematic approaches in investment is expected to reveal opportunities that are not crowded, as many competitors rely on outdated inductive reasoning [45][46]

Core Viewpoint - The A-share market is experiencing a volatile adjustment phase, with significant divergence among the three major indices, indicating a need for investors to focus on individual stock fundamentals and industry trends rather than relying solely on index movements [3][5]. Market Performance - The Shanghai Composite Index closed flat with a change of 0.00%, while the Shenzhen Component Index fell by 0.08%, and the ChiNext Index declined by 0.33%, highlighting a clear divergence in market performance [3]. - The micro-cap stock index rose over 2%, reaching a new historical high, suggesting a preference among some investors for small-cap stocks due to their high elasticity and easier capital mobilization [4]. Trading Volume and Market Sentiment - Trading volume in the Shanghai and Shenzhen markets decreased significantly compared to the previous trading day, indicating a cautious sentiment among market participants [5]. - The reduction in trading volume suggests a large divergence between buyers and sellers, which may limit the market's upward potential, although it could also indicate a period of consolidation before potential recovery [5]. Sector Performance - The market displayed a clear sectoral divergence, with the port, ST, mergers and acquisitions, and food sectors showing gains, while humanoid robots, small metals, liquor, and insurance sectors experienced declines [7][8]. - The port sector's rise is attributed to marginal improvements in foreign trade data and supportive policies for the logistics industry, while the ST sector's strength is linked to expectations of asset restructuring [7]. - The decline in the humanoid robot sector is primarily due to profit-taking after previous gains, while the small metals sector is affected by fluctuations in international commodity prices [8]. Future Outlook - Despite the current market's adjustment phase, there are still structural opportunities available, particularly in sectors with strong policy support such as new energy and digital economy [10]. - Investors are advised to consider stable, reasonably valued stocks in the consumer and pharmaceutical sectors while maintaining a cautious approach to manage market volatility [10].