小盘风格或有机会

Summary of Conference Call Records Industry or Company Involved - Focus on the small-cap stock market and investment strategies within the A-share market Core Points and Arguments 1. Small-Cap Stock Performance: In May, small-cap stocks outperformed with an absolute return of over 2 percentage points, confirming the accuracy of the model's predictions. The outlook for June leans further towards small-cap stocks due to macroeconomic factors, market sentiment, and market conditions [1][3][4] 2. Asset Allocation Views: The current stance is optimistic towards domestic commodity assets, neutral to optimistic on stock assets, and cautious on bonds. The macro expectation model indicates a cautious view on stocks, neutral on bonds, and optimistic on commodities [5][6] 3. Industry Rotation Model: The industry rotation model shows rapid market rotation, with a focus on liquidity, momentum, and research information. In May, the portfolio included banking, home appliances, comprehensive finance, non-ferrous metals, electronic science and technology chips, and steel, achieving a total return of 3.7%, outperforming the benchmark by 0.7% [7][8] 4. Recommended Industries for June: The recommended sectors for June include comprehensive services, consumer services, telecommunications, agriculture, forestry, animal husbandry, fishing, steel, and electronics. The comprehensive sector has a high liquidity score, while agriculture and steel have advantages in research information [7][8] 5. Active Quantitative Stock Selection Strategy: The small-cap stock selection strategy performed best in May, with a focus on growth and small-cap strategies. The low attention stock selection strategy yielded a return of 9.6%, while the new stock selection strategy returned 7.5% [2][10] 6. Investment Recommendations for June: The analysis suggests focusing on dividend and small-cap selection strategies due to their improved cost-effectiveness compared to growth strategies [11] Other Important but Possibly Overlooked Content 1. Market Sentiment Indicators: Indicators such as Tianhong Fund's fundraising amount, the proportion of stocks hitting new highs, and the options PCR are all favorable for small-cap stocks [3][4] 2. Risks to Monitor: Potential risks include policy changes, sentiment fluctuations, and crowded institutional holdings that could impact small-cap stock performance [4] 3. Quantitative Models Performance: The quantitative models developed by the team have shown varying degrees of success, with the reinforcement learning factor extraction model maintaining an 11% cumulative return, outperforming the benchmark by 3.5 percentage points [11][12]