Core Viewpoint - The article discusses the "barbell strategy" of combining dividend stocks and small-cap stocks, which has gained popularity in recent years, but warns of its potential weaknesses as more investors adopt it [2][3]. Summary by Sections Barbell Strategy Overview - The barbell strategy consists of dividend assets and small-cap stocks, which have significantly outperformed in the past [2]. - A recent report by Lin Rongxiong from Guotou Securities suggests that the barbell strategy may become ineffective, drawing parallels with the four phases of the Japanese stock market [3][4]. Historical Performance Analysis - The basic barbell strategy, using the CSI Dividend Index and CSI 2000 Index with a 50% allocation each, has shown an excess return of approximately 2.5 percentage points since 2016, but has not consistently outperformed during bull markets [5][7]. - The enhanced version of the barbell strategy, which assumes a 5% excess return from small-cap stocks, has increased annualized excess returns to nearly 5 percentage points, yet still underperformed in certain years [8][11]. Dividend Strategy Insights - The CSI Dividend Index has a geometric average return of 6.86%, significantly better than the overall market, driven by a disciplined "reverse investment" mechanism that helps investors avoid emotional trading [22][23]. - The appeal of the dividend strategy lies in its ability to provide stable returns and act as a defensive measure during market downturns [38]. Small-Cap Strategy Insights - The small-cap factor has historically been viewed as a source of excess returns, but recent studies suggest that its performance may be more of a temporary anomaly rather than a consistent advantage [25][28]. - The true value of small-cap stocks lies in their potential for generating alpha through quantitative strategies, rather than relying solely on beta [33][37]. Conclusion - The barbell strategy is characterized as a balanced approach, with dividends providing stability and small-caps offering growth potential through alpha generation [38][39]. - Accepting the strategy's occasional underperformance is essential for long-term asset appreciation and maintaining a calm investment approach [39].

Group 1 - The A-share market in the first half of 2025 experienced a rebound despite facing mid-term tariff shocks, with significant trading volume and volatility providing a favorable environment for quantitative strategies [3][6][14] - The return of small-cap stocks has set the tone for quantitative strategy performance, with the ChiNext and CSI 2000 indices outperforming larger indices like the CSI 300 [6][10][18] - The overall A-share environment has been friendly to quantitative strategies, characterized by significant volatility and trading volume exceeding one trillion, which supports high-frequency trading strategies [14][15] Group 2 - Alpha products and managers performed well in the first half of 2025, with most long products achieving positive returns, particularly in quantitative stock selection [16][17] - The average return for quantitative stock selection products exceeded 12%, benefiting from the favorable small-cap market environment [17][19] - New quantitative strategies are emerging, with the CSI 2000 index showing strong performance due to its small-cap focus and lower competition compared to traditional indices [28][29] Group 3 - The risk associated with small-cap stocks needs close attention, as they have shown extreme trading heat and significant divergence from larger indices, indicating potential for a market correction [32][39] - The macroeconomic environment, policy support, liquidity conditions, and technological advancements are driving the performance of small-cap stocks, but caution is warranted due to high valuations and the presence of loss-making companies [34][36][37] - The correlation between quantitative products and small-cap stocks suggests that while there are benefits, there is also a need for careful risk management to avoid potential downturns similar to past market events [40][41]

Report Industry Investment Rating - No relevant information provided Core Views - This week, major broad - based indices declined. The CSI 1000 index fell 1.04%, the CSI 2000 index dropped 1.09%, the STAR 50 index declined 1.11%, the CSI 500 index decreased 1.19%, the CSI All - Share index went down 1.21%, the SSE 50 index dropped 1.37%, and the ChiNext index fell 2.95%. The equity market as a whole oscillated downward, and the implementation of Trump's "reciprocal tariffs" led to a decline in overseas risk assets. There is downward pressure on domestic risk assets next week. Dividend - related assets are expected to be relatively resilient in the short - term [8]. - For equity strategies, a cautious and defensive approach is maintained. The implementation of "reciprocal tariffs" is unfavorable for risk assets. Although the crowded trading risk in the TMT sector has been lifted, the current valuation is still high, and there is a significant risk of retracement in the short - term. There is also pressure on the liquidity premium of small - cap stocks to narrow. It is recommended to prevent retracement risks in small - cap and TMT sectors and track their valuation digestion process [8]. - For option strategies, a neutral attitude is held. Financial option strategies can be standard - allocated. In the face of event shocks, volatility is likely to remain high. Selling option strategies carry high risks, while buying option strategies and option arbitrage strategies have trading opportunities [9]. Summaries According to Relevant Catalogs Equity Market Review - **Stock Market Review**: Broad - based indices declined this week, with reduced volatility and decreased market activity. Large - cap stocks saw a decline in trading volume, and 32.3% of industries had positive returns, with the public utilities sector leading [8]. - **Futures Market Review**: As of April 3, 2025, from the perspective of quarterly - contract hedging, the basis of IF widened, while the bases of IC and IM converged. The estimated impacts on the average returns of neutral products from each contract's hedging were 0.01%, - 0.01%, and - 0.08% respectively [8]. - **Option Market Review**: As of April 3, 2025, the implied volatility of each index increased this week, which is beneficial for the performance of buying option strategies and option arbitrage strategies [8]. Strategy Environment Monitoring - **Intraday Alpha Environment**: Overall, this week, the intraday liquidity and volatility of stocks decreased marginally, and there was a net outflow of funds, which is unfavorable for the accumulation of intraday Alpha [8]. - **Trading Alpha Environment**: The cross - sectional volatility decreased marginally, large - cap stocks outperformed, and the balance of margin trading decreased marginally. There is a need to prevent the risk of retracement due to cooling market sentiment [8]. - **Holding Alpha Environment**: The environment is unfavorable for the accumulation and stability of holding Alpha [8]. - **Index Futures Hedging Environment**: Currently, the basis fluctuation has decreased, but the annualized discount is still significant, which is unfavorable for hedging cost control [8]. Future Strategy研判 - **Stock Strategy**: A cautious and defensive strategy is maintained. The implementation of "reciprocal tariffs" is unfavorable for risk assets. Although the crowded trading risk in the TMT sector has been lifted, the current high valuation still poses a significant risk of retracement in the short - term. There is also pressure on the liquidity premium of small - cap stocks to narrow. It is recommended to prevent retracement risks in small - cap and TMT sectors and track their valuation digestion process [8]. - **Option Strategy**: A neutral attitude is held. Financial option strategies can be standard - allocated. In the face of event shocks, volatility is likely to remain high. Selling option strategies carry high risks, while buying option strategies and option arbitrage strategies have trading opportunities [9].