- The report highlights the "WanDe Micro Cap Index" as a dynamic strategy index rather than a static one, with its returns driven by micro-cap style and daily rebalancing that generates a "reversal effect"[12] - The reversal effect is attributed to the liquidity spillover effect, which has been amplified by the shift in market participant structure since 2021, where individual investors gained pricing power over institutional investors, favoring smaller-cap stocks[12] - The report suggests that the trading heat for small-cap stocks is likely to continue in July, supported by marginal optimism in overseas markets and eased liquidity shocks from U.S. Treasury issuance[12] - The "Barra Style Factors" analysis indicates positive returns for fundamental-related factors, with a preference for value over growth, particularly BP value assets[23] - Transaction-related factors such as short-term momentum, long-term reversal, and low-volatility stocks are expected to deliver excess returns[23] - The report notes a shift in market preference from extreme small-cap styles to larger-cap styles, as evidenced by the positive returns of the size factor and the expanded drawdown of the non-linear size factor[23] - The weekly performance of style factors includes metrics such as turnover (0.2%), financial leverage (0.2%), earnings volatility (0.2%), and BP value (0.2%), among others[24] - Negative returns are observed for non-linear size (-0.2%) and volatility (-0.3%), indicating a divergence in market preferences[24]