：市场策略：看好小盘股

Financial Data and Key Metrics Changes - The 1-year Total Return Swap (TRS) Spread for CSI1000 is close to 1200 basis points, indicating a potential upside exposure of approximately 3 times for every 1 time downside on small caps [2][41]. Business Line Data and Key Metrics Changes - The analysis indicates that small caps have shown a decline in performance relative to large caps, with small caps underperforming by about 3% over the next three months according to the rotation model developed [41]. Market Data and Key Metrics Changes - Chinese small caps, represented by the CSI1000 index, have fallen 19% year-to-date, lagging large caps by 20% [60]. - The average market capitalization of CSI1000 constituents is approximately US$1.3 billion, with a balanced sector composition and significant exposure to manufacturing and technology [60]. Company Strategy and Development Direction - The company has developed a screening process for 30 high-quality China small caps, focusing on those with market capitalizations between US$500 million and US$5 billion, strong growth outlooks, and a history of surpassing earnings consensus [41]. - The portfolio of selected small caps is expected to grow earnings by 14% annually over the next two years, trading at 13.3 times forward P/E and 0.7 times forward PEG [41]. Management's Comments on Operating Environment and Future Outlook - Management notes that the small-cap premium has diminished in recent years, with small caps no longer consistently outperforming large caps since the market turmoil in 2014/15 [40]. - The current market sentiment is subdued, influenced by domestic regulatory risks and potential re-escalation of US-China tensions [41]. Other Important Information - The CSI1000 index is trading at 15.9 times 12-month forward P/E, which is 0.8 standard deviations below its historical average, indicating that valuations are not stretched if earnings can be delivered [71]. - Small caps are traded at a 40% discount relative to their regional peers in India and Japan, suggesting potential for catch-up rallies if market conditions improve [73]. Q&A Session Summary Question: What are the prospects for small caps in the current market? - The analysis suggests that small caps are likely to underperform large caps modestly in the near term, with potential risks stemming from regulatory policies and market sentiment [41]. Question: How does the current valuation of small caps compare to historical averages? - Small caps are currently trading at a significant discount compared to their historical averages, which may present opportunities for investors if earnings growth materializes [71][73].