There is still a full month to go before the end of the year, and the CSI 300 index has been **990%, and the whole year of 2023 will close down as a high probability event;A-shares** (CSI 300) closed down for the third consecutive year, setting a new record for the first time since the index's base date (31 December 2004).
Follow on the wind platformInvestment styleStatistics, **style**5349, mid-cap style**580, small-cap style**80 (excluding QDII, **long and short),**Style** accounts for 8902%；To add insult to injury, the Stock** Index (930950) has underperformed the CSI 300 Index (2022-21.) for two consecutive years80%/-21.63%, 2023 - 1240%/-9.90%）；Therefore, most of the public offering ** investors in the past three years have suffered unspeakably and suffered heavy losses.
Investors who invest in small-cap style** have made good gains in this bear market. August of this yearCSI 2000 IndexAfter the enactment, more investors began to pay attention to small caps;And the Wind platform has been released in 2021".Wind Micro Cap IndexRecently, it has finally attracted everyone's attention, and its 10-year increase of more than 18 times is even more jaw-dropping, and has become a hot topic of discussion on the snowball platform recently.
1. What is a microdisk?
1. China Securities Index Company does not have the concept of "micro-disk".
a**The market is generally divided into large and small caps according to the size index of CSI index companies. For example, the constituent stocks of the CSI 300 Index are ** shares, the constituent stocks of the CSI 500 Index are mid-cap stocks, and the constituent stocks of the CSI 1000 Index are small-cap stocksThe CSI 1000 Index was released in 2014, and the changes in market value and the large number of new issuances in the past 9 years have made the "CSI 1000" a "small-cap stock" that has long been unworthy of its nameAfter the release of the CSI 2000 in August this year, the market generally believed that these 2,000 constituent stocks were small-cap stocks.
CSI does not have the concept of "micro-cap", nor does it have a micro-cap index.
2. Wind platform definitionMicro-cap stocks
On March 8, 2021, the Wind platform released the "Wind Micro Cap Index". its give".Micro-cap stocks" is defined as:The market capitalization of all A-shares is in the bottom 400**, excluding ST, *ST, delisted stocks, and unopened targets of the initial listing.
On November 30, the total market capitalization of the constituent stocks of the micro-cap index was the largest at 248.9 billion yuan, the minimum 125.3 billion yuan,Average 214.2 billion yuan, median 21$8.1 billion.
3. Defined by China Securities Index CompanyMicrodisks
China Securities Index Co., Ltd. divides A-shares into **, mid-cap, and small-cap according to the scaleMicrodisks
Microdisks" is defined as:All ** with a cumulative circulating market capitalization accounting for more than 98%.
In addition to excluding ST, *ST and delisting**, China Securities also excluded (1) less than 3 months of listing (2) in the A-share sample spaceThe average daily turnover ranks in the bottom 5%.(3) Higher ESG tail risk (4) Losses in the past year and have been forecast to continue to lose this year**, so there are only 3,897 "A-share market-wide investability samples").
The total market capitalization of the constituent stocks of the CSI Micro Cap Index is 26513,The average total market capitalization is 319 billion yuan；The total circulating market value is 1,431.6 billion yuan, and the average circulating market value is 172.3 billion yuan.
The number of constituent stocks of the CSI Micro Cap Index is more than that of the Wind Tail Index, and the average total market capitalization is larger than that of the Wind Micro Cap Index。(It can be simply understood as ".")The last 800 micro disks and the last 400 micro disks of Wind micro disks
Second, the market performance of micro-disks
1. The smaller the scale, the better the income
The following table lists the annual returns of the super**, mid-cap, small-cap, small-cap, and microcap indices for a total of 11 years (less than 1 year this year) from 2013 to 2023.
After making this list, I was taken aback by myself.
(1) From the perspective of the winning rate, whether it is a five-year period or an eleven-year period, the smaller the scale, the higher the winning rate.
In the past five years, the Wind Micro Cap Index has all **, and the winning rate is 100%;CSI Micro Cap and CSI 2000 have four years**, with a winning rate of 80%;The CSI 100 and CSI 300 indices have a win rate of only 40%.
In the past 11 years, the Wind Micro Cap Index has had positive returns for 9 years, and only 2 years have had negative returns, with a winning rate of 8182%；The CSI Micro Cap Index has had a positive return for 8 years and a negative return for only 3 years, with a winning rate of 7273%；The super ** CSI 100 index has only 4 years of positive returns, and the winning rate is only 3636%；The CSI 300 Index has a 5-year positive return with a win rate of 4545%
(2) From the perspective of annual rate of return, the smaller the scale, the higher the return
In 8 of the 11 years, the Wind Micro Cap Index had the highest annual returns;The China Securities Micro Cap Index has 5 annual returns that are only lower than Wind Micro Cap, ranking second in terms of yield;The CSI 100 Index, the largest index, has had the lowest returns for five yearsThe annual return of the Wind Micro Cap Index has never been at the bottom, and the China Securities Micro Cap Index has only been at the bottom for 1 year (2017).
(3) In the same rise and fall4 pcsIn the middle of the year, the Wind Micro Cap Index still had the highest annual return for 3 years
For three years, all indices have positive returns, and the Wind Micro Cap Index has the highest return in two yearsIn 2018, all indices were **, with the Wind Micro Cap Index having the smallest decline and the highest relative return.
2. The difference between the returns of the China Securities Micro Cap Index and the Wind Micro Cap Index
2013.11.30-2023.11.The 300,000 micro cap index rose 196699%, the China Securities Micro Cap Index rose 23082%；Although they all significantly outperformed the CSI 300 index at 4257%, but the difference in returns between the two micro-cap indices is also huge. The main reasons are:
(1) The samples are quite different
The Wind Micro Cap Index sample is the 400 stocks with the smallest market capitalization**, and the CSI Micro Cap Index sample can be simply understood as the 800 stocks with the smallest free float market capitalization**;
The average size of the CSI Micro Cap Index is larger than that of the Wind Micro Cap Index
(2) The frequency of sample adjustment varies greatly
Although the sample size of the two indices is quite different, the sampling method is "".Scale last", so all are".Suck low and throw high"patterns, not other size indices".Suck high and throw lowmode. This is one of the main reasons why the returns of the two "micro-cap" indices are higher than the others.
Wind Microcap Index SampleUpdated daily, while the sample of the CSI Microcap Index isUpdated every 6 months；This should be the main reason for the difference in returns between the two micro-cap indices.
The frequency of "updating every 6 months" of the CSI microcap index sample is the same as that of most broad-based indices, and it is also more suitable for performance comparison
(3) Differences in weight allocation methods
The Wind Micro Cap Index is equally weighted, that is, the weight of the constituent shares of the market capitalization is the same;The CSI Micro Cap Index is weighted by scale, that is, the constituent stocks with large liquid market capitalization are weighted.
3. 7 micro disk styles** "real and fake micro disks" distinction
1. The investment style given by the platform
The wind platform will give a conclusion about the investment style of ** according to the position of **.
Although the investment style "nine-square grid" does not have a "micro-cap", it should first be a "small cap". According to the investment style given in the position data,South China TreasureWanjia quantitative Tongshun multi-strategywithThe best choice for the growth of the Eastern CrusadeAll are in the "mid-game" style.
2. Judging according to the scale of the holding value
The average market cap size of the constituents of the Wind Micro Cap Index is 214.2 billion yuan, the average market capitalization of the constituent stocks of the CSI Micro Cap Index is 319 billion yuan
Referring to the above data, judging whether the micro-disk is the most direct and effective from the ** shareholding ** and the average total market value scale.
As shown in the table below, the average total market value of the top 10 heavy positions announced in the three quarterly reportsSouth China TreasureWanjia quantitative Tongshun multi-strategywithOrient Securities Convergence GrowthThe average total market capitalization is 756.5 billion yuan, 928.7 billion and 1312.4 billion yuan, which is significantly higher than the two micro-cap indexes, and is in line with the "mid-cap" style judgment given by the wind platform.
However, the average total market value of the top 10 heavy positions of Huaxia New Splendid is as high as 468982, there are 9 ** with a market value of more than 100 billion yuan, up to 13 trillion, all of them".Ultra**”；However, the judgment given by the wind platform is "Small cap balance”。Therefore, the author has made detailed statistics based on all 108 positions announced in the **interim report:
The top 10 holdings are all over-**, accounting for 1426%；The last 26 ** are all **over**, accounting for 398%；* The total proportion of super ** is 1824%；
72 in the middle**, with a maximum total market capitalization of 77500 million yuan (only 1, in addition to the largest total market value of 39.)200 million yuan), minimum 153.5 billion yuanThe average total market capitalization is 24800 million yuanThis part** accounts for 8176%。Therefore, the Wind platform is right to judge it as a "small cap balance" style.
According to the distribution of the total market value of the position with a weight of more than 80%, it can be confirmed that the ** is ".Microdisks
3. Four "true" microdisks**: When will they become microdisks?
Jin Yuan Shun An Yuan Qi has always been a small-cap style；This is also the first "micro-cap" style to be excavated by investors**, and the performance during the bear market in the past three years has been excellent and highly sought after by investors. Back in August last year, it already ".Closed doors
Jin Yuan Shun An quality selectionSince the fourth quarter of last year, it has changed from ** style to small cap style. This year, it has been regarded by many investors as a substitute for "Jin Yuan Shun An Yuanqi", and the scale has risen sharply.
A new splendid view of ChinawithNoanado StrategyIt is judged that the change in investment style is based on the position data disclosed in the interim reportSmall cap balance"Style. In the interim report, Noamdo Strategy also confirmed the change in investment style"Ben** adjusted its strategy in mid-June, focusing on the strengthening of small-cap companies, and actively using quantitative methods to continuously find and explore undervalued opportunities in the market, especially many opportunities with low market attention and valuation that were wrongly killed in the market recession some time ago, in order to obtain excess returns. "ButA new splendid view of ChinaFour issues of the report have been published this yearThere is no mention of a change in investment style, just from the beginning of the quarterly report repeatedly mentioned it".Fixed increase strategy”；But from the 2022 annual reportPositions are highly concentrated(10 positions in total) to mid-2023Positions are highly diversified(All positions are 108, and the top ten net value accounts for 12.)6%), as well as a change in turnover rate (36945%) judging a dramatic change in investment style.
The starting point of the change in investment style can also be judged from the net value trend and performance return of ChinaAMC New Fairview and Noa Multi Strategy this year.
As shown belowA new splendid view of China, Jin Yuan Shun An Yuan Qi, Jin Yuan Shun An high-quality selection of three**Since the beginning of this year, the net value trend is completely consistent with the Wind Micro Cap Index；The performance of the three ** is: 28% is not much different;DescriptionHuaxia New Splendid has completed the change of position style at the beginning of this year
In the first half of the year, the net value trend of the Noa Multi Strategy was contrary to the Wind Micro Cap Index, and the return was negativeSince the end of June, its net value trend has been consistent with the Wind Micro Cap Index and the other three micro caps**, and the position adjustment is in place. The net value trend is completely consistent with the description of the ** in the 2023 interim report, "the strategy was adjusted in mid-June, focusing on the enhancement of small-cap companies".
Fourth, the micro disk ** detailed explanation
1. Basic information
The basic information has been shown earlier, and here are two points to emphasize:
One is scale
Jin Yuan Shun An Yuan QiSince its establishment, it has been deeply cultivated in microdisk, which can be said to be the "originator" of microdisk, and has now become the symbol of microdisk. After being widely recognized by investors last year and expanding rapidly, the first was closed and the subscription was stoppedThe current scale is 149.3 billion yuan, the largest of the four.
Jin Yuan Shun An quality selectionThe size of the 64.2 billion yuan, which is the fastest growing share among the four micro-disks. The share of this ** has grown rapidly quarter-on-quarter, from 4,345,856 in the 2022 annual report71, an increase to 375,009,958 in the third quarter94 copies,** Share growth of 853 times
The rapid growth of the ** share, on the one hand, thanks to the ".TransformationEarly；Among the three micro-disks that can be subscribed, this ** is the first to complete the transformation of investment style, and the transformation has been completed in the second half of last year;On the other hand, thanks to the fact that the same company's "Jinyuan Shunan Yuanqi" stopped subscribing, many investors regarded it as a substitute for "Yuanqi".
Noanado StrategyThe scale of the first scale has also grown rapidly after the completion of the transformation at the end of the second quarter, although the current scale is only 10.2 billion yuan, but its ** share disclosed in the third quarter was 375,009,95894 shares, which is 38,278,3929 of 56 copies8 times,The three-month share increased by 88 times,
A new splendid view of ChinaThe current size is 08.5 billion yuan, which is the only one of the four ** whose share has dropped significantly**.
The second is rating
The four ** Zhongjin Yuan Shun'an Yuanqi, Huaxia New Jinxiu, and Jin Yuan Shun'an high-quality selections areWind five-star rating；Noamdo strategy due to".TransformationNightThe investment strategy did not turn to "micro-disk" until the end of June, resulting in poor performance this yearWind has a three-star rating
2. Performance
(1) Performance in the second half of the year
The reason for comparing the performance in the second half of the year is that the transformation of the Noano strategy was not completed until mid-June, and the comparison as a "micro disk" is more meaningful.
For the five months from June 30 to November 30, the Wind Micro Cap Index was 2212%；has just completed the transformationThe Noando strategy was the best performer, up 1922%；followed by Jin Yuan Shun An Yuanqi and Huaxia New Jinxiu, with an increase of 14 respectively71% and 1390%；Finally, it is a high-quality selection of Jinyuan Shun'an, an increase of 980%；
All four ** underperformed the Wind Micro Cap Index.
(2) Phased returns
From the short-term phased returns of the four ** (nearly January, March, and June), their yields have a high consistency and little difference. Kim Won Shun An Premium Selection is slightly worse.
(3) Drawdown
The retracement trend and magnitude of the four micro-caps** from June 30 to November 30 were almost exactly the same, and they also maintained a high degree of consistency with Wind micro-cap stocks**.
3. Asset allocation
Jin Yuan Shun An Gong Yuan Qi and high-quality selection are all flexible allocation hybrid**, typical "stock + debt" allocation;The former has a stock-to-debt ratio of 7652%+12.70%, and the ratio of the latter to equity and debt is 7299%+19.65%；Huaxia New Splendid and Noan Multi Strategies are overweight**, with a configuration of more than 90% and a modest 9045% of the latter 9277%。
4. Industry configuration
The industry configuration of the four microdisks** is "consistent" high:
Power & UtilitiesReal estateTextile and garmentMechanicalBasic chemicalsBuilding materialsArchitectureCarsLight manufacturingand other nine major industries, the allocation ratio is relatively high. The total allocation ratios of Jinyuan Shun'an Yuanqi, Huaxia New Jinxiu, Nuoan Multi Strategy, and Jinyuan Shun'an Quality Selection in these nine industries are respectively. 35% and 5787%
2) The consistency of the configuration of the top three industries is highMechanicalThe industry is the first of the three ** and the second largest of the **;Basic chemicalsThe industry is the second largest of the three ** and the first largest of the first;Light manufacturingThe industry is the third largest of the three;
5. Comparison of heavy stocks
(1) Concentration of heavy stocks
The concentration of the four ** heavy stocks is relatively low, and the top ten heavy stocks with the highest total net value of Jin Yuan Shun An Yuanqi are only 1143%, and the lowest Jin Yuan Shun An Premium Selection is less than 5%, only 448%
(2) The winning rate of heavy stocks in the past three months
The highest winning rate is Jinyuan Shun'an High-quality Selection, with 7 of the 10 heavy stocks in the past three months, with a winning rate of 70%;Noamdo strategy has a 60% win rate;Jin Yuan, Shun, An, Yuanqi and Huaxia New Splendid both have a 50% winning rate
(3) Contribution rate of earnings of heavy stocks
Contribution rate of heavy stock income = net value ratio i * increase in the past three months i (i=1-10).
Noanado StrategyThe contribution rate of the earnings of heavy stocksHighest, up to 083%；Although the cumulative weight of heavy stocks is low (502%), but there are 3 heavy stocks that have risen significantly in the past three months: Riying Electronics 6790%, Rutong shares 4223%, 5222%；
A new splendid view of ChinaThe contribution rate of the earnings of heavy stocksMinimum, which is a negative return (-0.).48%);With a win rate of 50%, only 1 of the 5 positive return heavy stocks rose by more than 10%, while 4 of the five negative return heavy stocks fell by more than 10%, and 1 of them fell by as much as 2999%；
6. Holder structure
Jin Yuan Shun An Yuanqi and Nuo Anduo strategies are mainly held by individuals, and the proportion of individual holdings is more than 90%;The proportion of individuals and institutions held by Jin Yuan Shun An is similar, and the proportion of individuals is slightly higher (56.).82%）；Huaxia New Splendid is mainly held by institutions, accounting for 7647%。
7. Turnover rate
(1) Jin Yuan Shun An Yuan Qi
Jin Yuan Shun An Yuanqi has been managed by Miao Weibin since its establishment, and is the first manager to focus on micro-cap stock investment, and is a "value" investment (small-cap value style), with a low turnover rate, basically maintaining a top range of 100%-250%.
(2) Huaxia New Splendid and Noando strategies
Zhang Chengyuan's Huaxia New Splendid has seen a significant increase in turnover when it shifts from a "balanced" to a "small-cap balanced" investment styleWang Haichang only took over the Nuoando strategy in November 2022, and in the six months after taking over, the ** position has also undergone a transformation from others' "** balance" to his own "small cap balance" investment style, and the turnover rate is relatively high during the period.
(3) Jin Yuan Shun An high-quality selection
Zhou Boyang has been managing the ** since February 2018, and every time his investment style changes, the turnover rate has changed significantly (as shown in the figure below).Before the 2022 annual report, it was all "** style, from "value" to "growth" to "balance";In the fourth quarter of 2022, it began to change to a "small cap" (micro-cap) style, and the number of shares held has also increased significantly, and the turnover rate has increased.
5. Summary
Among the 7 microdisk styles in this evaluation**, there are4 "true" micro disks**: Jin Yuan Shun An Yuan Qi, Huaxia New Jinxiu, Nuo Anduo Strategy and Jin Yuan Shun An Quality Selection;
Jin Yuan Shun An Yuan Qi is an "old" micro-disk**；Huaxia New Fairlight, Sino Multi Strategy and Jinyuan Shun An Premium Selection are all newly "transformed";
3. Four microdisks**The consistency of industry allocation is high, and the top three industries are basically the same, all of which have high allocations in the nine major industries
4. The recent (second half) net value trend of the four micro-disks** tends to be consistent, and there is little difference in performance and drawdown;and consistent with the trend of Wind micro-cap stocks;
5. For friends who pay attention to microdisksJin Yuan Shun An Yuan QiAbsolutelyis preferred, but the ** is suspended;of the same companyJin Yuan Shun An quality selectionIt is gradually recognized by more investors;
The investment style of the ** manager of Huaxia New Splendid is changeable, and although the recent holdings are generally "micro-cap", they are still mixed with 36 super ** stocks, which are not pure;The investment strategy in the periodic report is described as "private placement" rather than "small cap";
Wang Haichang, the manager of Noa Multi Strategy, has been a manager for a short period of time (more than a year) and lacks investment experience, but his recent performance (in the second half of the year) is good, which is worth paying more attention to
Can the other three micro disks** become a replacement for Jin Yuan Shun An Yuanqi
1) From the correlation coefficient matrix.
Jin Yuan Shun An Quality Select, China New Splendid and Jin Yuan Shun An Yuanqi have a high correlation and a high correlation with the Wind Micro Cap IndexAs shown below
2) From the perspective of industry allocation, the industry configuration consistency of the four ** is high.
3) From the recent (second half) net value trend, the consistency is relatively high;**The consistency of amplitude and retracement trend is also relatively high.
Interested friends can continue to go deeper**.
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