Core Viewpoint - The article discusses the rise of active quantitative funds in the A-share market, highlighting their ability to combine the advantages of both active and passive investment strategies, thus providing investors with opportunities for excess returns while maintaining a clear investment style [4][5][20]. Group 1: Active Quantitative Funds - Active quantitative funds have gained attention for their unique approach, which integrates mathematical models and vast data analysis, avoiding emotional trading and ensuring strict adherence to investment discipline [6][7]. - These funds offer a broader investment perspective, allowing for efficient stock selection across a larger pool, thus adapting better to rapid market changes [7][8]. - The article emphasizes the collaborative efforts of teams at Guangfa Fund, which have developed a multi-strategy investment system that combines subjective research with quantitative methods to enhance long-term excess returns [9][10]. Group 2: Guangfa Fund's Quantitative Strategy - Guangfa Fund has established a "multi-asset, multi-strategy, multi-team" framework for its quantitative business, with three core teams focusing on different aspects of quantitative investment [9][10]. - The Quantitative Investment Department, led by Zhao Jie, focuses on pure quantitative strategies, utilizing a factor library of approximately 600 effective factors to drive stable excess returns [10][12]. - The Active Quantitative Team, led by Yang Dong, bridges subjective and quantitative approaches, employing a human-machine collaboration model to capture stock alpha across various styles and industries [10][11]. - The Stable Strategy Department, led by Lin Yingrui, emphasizes risk control and value discovery, integrating active fundamental research with a scientific quantitative framework [11][12]. Group 3: Product Offerings and Performance - Guangfa Fund has launched a series of active quantitative products that cater to diverse investor preferences, focusing on style enhancement, industry themes, and risk management [13][17]. - The Small Cap Enhancement product, managed by Li Yuxin and Yi Wei, has achieved a return of 99.98% over the past year, showcasing a strong risk-return profile [14][16]. - The Growth Style Enhancement product, Guangfa Dongcai Big Data Selected, has delivered a return of 73.61%, leveraging internet big data to capture growth alpha [15][16]. - The Value/Dividend Style Enhancement products, such as Guangfa Stable Strategy and Guangfa High Dividend Preferred, have also shown significant returns, with the former achieving a 45.97% return over the past year [15][16]. Group 4: Future Outlook - The article posits that active quantitative investment will evolve from being a supplementary option in asset management to a primary strategy for navigating complex market trends [20][21]. - The integration of human insights with machine precision is expected to create a more robust investment approach, providing investors with a stable and predictable long-term investment path [21].

Core Viewpoint - The small-cap stocks have shown strong performance since the "9·24" market rally, leading to significant gains in related funds, with many products now entering purchase restrictions [1][4]. Group 1: Market Performance - Since the "9·24" rally, the small-cap index has surged by 120.96%, with a year-to-date increase of 55.71% despite a mid-June pullback [2]. - The average return of 39 small-cap funds reached 84.6%, with 12 funds exceeding a 100% net value increase [2]. - The ChiNext small-cap index and the Guozheng 2000 index have risen by 83% and 68%, respectively, ranking among the top two in performance among 20 Guozheng scale indices [2]. Group 2: Fund Restrictions - Currently, 21 small-cap funds are under purchase restrictions, accounting for nearly 54% of the total [4]. - The average scale of small-cap funds is below 4 billion yuan, with 32 funds having a scale under 1 billion yuan [4]. - The restrictions are attributed to the relatively weak liquidity of small-cap stocks compared to mid and large-cap stocks, which could impact trading costs if fund sizes grow too quickly [4]. Group 3: Market Drivers and Risks - The strong performance of small-cap stocks is driven by policy support, liquidity easing, valuation recovery, and capital speculation [3]. - There are concerns regarding the sustainability of small-cap stock gains, as the current market relies heavily on liquidity rather than earnings growth [5]. - The potential for increased trading costs and reduced strategy effectiveness as fund sizes expand poses risks to future performance [6].

Core Insights - Since the "9·24" market rally began, small-cap funds have averaged a return of over 84%, with more than half of these products now subject to purchase restrictions [1][4]. Performance Summary - The A-share market has seen a strong upward trend, with the Shanghai Composite Index surpassing the previous high of 3674 points set on October 8 last year, marking a nearly four-year high since December 14, 2021 [2]. - The micro-cap index has surged by 120.96% since September 24 last year, with a year-to-date increase of 55.71%. The ChiNext small-cap index and the Guozheng 2000 index have risen by 83% and 68%, respectively, ranking among the top two of 20 Guozheng scale indices [2]. - As of August 15, 39 small-cap funds have achieved an average return of 84.6%, with 12 funds seeing net value increases exceeding 100% [2]. Fund Restrictions - Currently, 21 small-cap funds are either suspended from new subscriptions or large subscriptions, accounting for nearly 54% of the total [4]. - The average fund size of small-cap funds is relatively small, with most below 4 billion yuan, and 32 funds having sizes under 1 billion yuan [4]. Market Dynamics - The strong performance of small-cap stocks is attributed to policy support, liquidity easing, valuation recovery, and capital speculation [3]. - Despite a recent pullback in June, small-cap stocks have continued to perform well due to policy dividends and liquidity support [3]. - There are differing opinions on the future performance of small-cap stocks, with some believing that the small-cap style will continue to dominate due to market sentiment and favorable liquidity conditions [4]. Valuation Concerns - Some analysts express skepticism about the sustainability of small-cap stock gains, citing high price-to-earnings ratios and a lack of earnings support for micro-cap stocks [5]. - The rise in small-cap stocks is primarily driven by liquidity rather than substantial earnings growth, raising concerns about potential valuation bubbles [6].

Core Viewpoint - Since the "9·24" market rally, small-cap funds have seen an average return of over 84%, with more than half of the products now subject to purchase restrictions [2][6]. Performance Summary - The A-share market has shown strong upward movement, with the Shanghai Composite Index surpassing the previous high of 3674 points set on October 8 last year, reaching a nearly four-year high since December 14, 2021 [4]. - The Wind data indicates that since September 24 last year, the Wind Micro-Cap Index has surged by 120.96%, with a year-to-date increase of 55.71%. The ChiNext Small Cap Index and the CSI 2000 Index have risen by 83% and 68%, respectively, ranking among the top two in performance among 20 national indices [4]. - As of August 15, 39 small-cap funds have achieved an average return of 84.6%, with 12 funds exceeding a 100% increase in net value [4]. Fund Purchase Restrictions - With rising net values, the number of small-cap funds imposing purchase restrictions has increased. Currently, 21 small-cap funds are either suspended from new subscriptions or large subscriptions, accounting for nearly 54% [7]. - The average fund size of small-cap funds is relatively small, with most below 4 billion yuan, and 32 funds having sizes under 1 billion yuan [8]. Market Dynamics and Future Outlook - The underlying logic for the excess returns of small-cap stocks is attributed to policy catalysts, liquidity easing, valuation recovery, and capital speculation. In a weak economic recovery environment, small and medium-sized enterprises are seen as innovation carriers [5]. - There are differing opinions on the future performance of small-cap stocks. Some believe that small-cap styles will continue to outperform due to market sentiment, liquidity environment, industry trends, and policy benefits [8]. - However, skepticism exists regarding the sustainability of small-cap stock gains, with concerns about high price-to-earnings ratios and the reliance on liquidity rather than earnings growth [9].

1. Report Industry Investment Rating There is no information provided in the content about the report industry investment rating. 2. Core Viewpoints of the Report - Since 2025, the contango of various stock index futures contracts has deepened significantly. As of May 30, 2025, the annualized basis rate of IM futures reached -16.59%, approaching the contango levels after the market decline on April 7, 2025, and during the rapid decline of small - cap stocks from late January to early February 2024 [3][10]. - The reasons for the deep contango of IM02 recently include increased hedging demand due to amplified volatility, profit - taking of long positions after the rebound of spot prices, and a possible significant decline in the scale of structured option products such as snowball - like products [3]. - The current crowding degree of small - cap stocks is relatively high, with high trading activity, elevated valuations, and an increasing number of days with large price fluctuations [3]. - To deal with the potential risks of small - cap stocks in fund investment, investors should identify products exposed to small - cap stocks in advance, pay attention to "pseudo - zero market - value exposure" products, and can choose balanced products with relatively large market - value holdings or products with good investment capabilities in adverse small - cap market environments [3][40]. 3. Summary According to the Directory 3.1 From the Deep Contango of IM to Analyze Small - Cap Stocks - Are Small - Cap Stocks Facing Crowding Risks Again? 3.1.1 IM Futures Contango Situation - The contango of various stock index futures contracts has deepened since 2025. By the end of May, the annualized basis of IH, IF, and IC reached -5.97%, -7.49%, and -12.59% respectively, with significantly higher contango levels compared to the beginning of the year. The annualized basis rate of IM futures was -16.59% as of May 30, 2025 [3][10]. 3.1.2 Reasons for the Deep Contango of IM Futures - **Increased hedging demand due to amplified volatility**: In early April, market volatility increased due to the trade war, with the 1 - month rolling annualized volatility of CSI 1000 exceeding 45%. The ample Alpha in the small - cap market also increased the attractiveness of neutral strategies and short - selling demand [15]. - **Changes in contract volume and structure**: After the index rebounded on April 7, the total futures contract holdings decreased rapidly, likely due to long - position profit - taking, which intensified the contango. As the delivery week approached, short - term contract contango was expected to converge quickly, leading to early roll - over of long - term hedging demand to buy forward contracts and intensifying the contango [18]. - **Decreased demand for structured option products**: Structured option products such as snowball - like products may face a significant decline in scale recently. The notional principal of over - the - counter derivatives linked to stock indices has decreased significantly since October 2024, from 90.963 billion yuan in September 2024 to 54.440 billion yuan in March 2025, which is consistent with the change in contango [21]. 3.1.3 Potential Impact of Deep Contango - Extreme contango or backwardation may be followed by index movements. Extreme backwardation may indicate market panic and could be followed by a rebound. In the past, when the CSI 1000 experienced a short - term decline of over 10% in 10 trading days, the current - quarter IM futures were in a deep contango situation [24]. 3.1.4 Crowding Degree of Small - Cap Stocks - **High trading activity**: Although the crowding degree of small - cap stocks decreased in May, trading activity remained high. The trading volume of CSI 1000 as a proportion of the total decreased from 23.2% in February 2025 to 19.3% in May 2025, and the turnover ratio also declined but remained at a similar level to December 2023. The trading activity of micro - cap stocks increased significantly recently [29]. - **Elevated valuations**: The valuations of small - cap indices are currently at relatively high levels. The PB ratio of the micro - cap stock index has increased significantly, similar to the trend at the end of 2023. The rolling excess return of the micro - cap index is also at a high level [33]. - **Increased frequency of large price fluctuations**: The number of days with large price fluctuations of micro - cap stocks has increased recently. Since 2025, the proportion of days with large upward price fluctuations has also been at a high level [34]. 3.2 How to Deal with Potential Downward Risks of Small - Cap Stocks in Fund Investment? 3.2.1 Dealing with Potential Downward Risks of Small - Cap Stocks in Fund Investment - **Identify exposed products**: Besides products with obvious long - term exposure to small - cap styles, some products that enhance returns by holding micro - cap stocks may also be affected by the decline of small - cap stocks. "Pseudo - zero market - value exposure" products also need attention [40]. - **Adjust fund selection**: Investors can choose balanced products with relatively large market - value holdings to hedge against potential risks, or prefer products with good investment capabilities in adverse small - cap market environments [40]. 3.2.2 Differences Among Small - Cap Style Products - **Degree of market - value sinking**: Different small - cap style products have different degrees of market - value sinking. For example, Noan Multi - Strategy has a more obvious market - value sinking, while others may have small adjustments in market - value styles [47]. - **Turnover rate**: The turnover rates of small - cap style products vary. GF Quantitative Multi - Factor has a relatively high turnover rate, while CITIC Prudential Multi - Strategy has a moderately low turnover rate [47]. - **Portfolio construction method**: Western Securities Event - Driven focuses on industry allocation and makes active industry adjustments, with more concentrated industry and stock holdings. Other products' fund managers make fewer industry adjustments and have more dispersed stock holdings [50]. - **Timing operations**: CITIC Prudential Multi - Strategy has a long - term tendency for timing operations and recently reduced its positions. Other products pay less attention to timing [50].

Group 1: Fund Market Overview - The report provides an overview of the public fund market following the Q1 2025 reports, highlighting approximately 40 new investment opportunities identified based on performance, net subscriptions, fund size, and investment direction [5][8]. - The report emphasizes a focus on humanoid robots and consumer-related active funds as key areas of interest for investors [5][8]. Group 2: Humanoid Robot Sector - The "Ping An Advanced Manufacturing Theme A" fund (019457) has a current size of 1.32 billion, with a year-to-date performance of 47.5% and a Q1 2025 net subscription rate of 1263.8%. The fund focuses on the humanoid robot industry, which is expected to have a longer development cycle and larger market capacity compared to smartphones and electric vehicles [9][10]. - The "Hua Fu Technology Momentum A" fund (007713) has a size of 850 million and a year-to-date performance of 36.9%, with a Q1 2025 net subscription rate of 562.1%. It continues to invest in humanoid robots, focusing on components such as sensors and control systems [10]. - The "Pu Yin An Sheng High-end Equipment A" fund (019864) has a size of 240 million and a year-to-date performance of 19.3%, with a Q1 2025 net subscription rate of 201.3%. The fund anticipates a concentrated competitive landscape for core components in humanoid robots, suggesting that only a few manufacturers will dominate the market [14]. Group 3: Consumer Sector - The "Peng Yang Consumer Quantitative Stock Selection A" fund (019777) has a size of 160 million, with a year-to-date performance of 5.4% and a Q1 2025 net subscription rate of 3.7%. The fund focuses on small-cap consumer companies with strong cash flow and growth potential, despite lacking market attention [16][18]. - The "Yin Hua Quality Consumption A" fund (009852) has a size of 680 million and a year-to-date performance of 22.3%, with a Q1 2025 net subscription rate of 45.2%. The fund's holdings balance traditional and new consumer stocks while also investing in stocks from the Beijing Stock Exchange [19]. Group 4: Other Notable Funds - The "Tong Tai Vision A" fund (008842) has a size of 330 million, with a year-to-date performance of 31.9% and a Q1 2025 net subscription rate of 466.2%. The fund emphasizes investments in stocks from the Beijing Stock Exchange and employs a quantitative multi-factor investment strategy [20]. - The "China Europe Convertible Bond A" fund (004993) has a size of 4.96 billion, with a year-to-date performance of 5.9% and a Q1 2025 net subscription rate of 79.7%. The fund aims to maintain a tool-like property and is positioned to capture opportunities in small-cap stocks [23].