为何微盘股基金仓位下降指数却不断新高？——微盘股指数周报 20250608

市场有风险，投资需谨慎研究所分析师:肖承志SAC登记编号:S1340524090001Email:xiaochengzhi@cnpsec.com近期研究报告《小盘股成交占比高意味着拥挤度高吗？——微盘股指数周报20250601》-2025.06.02《微盘股容易被忽略的“看空成本”——微盘股指数周报20250525》-2025.05.26《证监会修改《重组办法》，深化并购重组改革——微盘股指数周报20250518》-2025.05.19《微盘股会涨到什么时候——微盘股指数周报20250511》-2025.05.12《4月完美收官，5月看好高波成长——微盘股指数周报20250504》-2025.05.06《年报效应边际递减，右侧买入信号触发——微盘股指数周报20250427》-2025.04.27《基本面与量价共振，如遇回调即是买点——微盘股指数周报20250420》-2025.04.21《“完美买点”触发，后市积极看涨——微盘股指数周报20250413》-2025.04.14《4月是否还会有“最后一跌”？——微盘股指数周报20250406》-2025.04.07《为什么说本轮调整空间不会太大？——微盘股指数周报20250330》-2025.03.31《回调彰显健康行情，本轮跌幅不会太大——微盘股指数周报20250323》-2025.03.24《微盘领涨创下历史新高，4月临近仍有调整压力——微盘股指数周报20250316》-2025.03.17 金工周报投资要点万得微盘股指数阶段表现第1。微盘股周度因子表现扩散指数模型日历效应风险提示：政策风险；舆情风险；流动性风险。 目录1观点综述....................................................................................42万得微盘股指数阶段表现......................................................................72.1近一周万得微盘股指数上涨3.78%..........................................................72.2近一月万得微盘股指数上涨10.76%.........................................................72.3近一季万得微盘股指数上涨18.05%.........................................................82.4近一年万得微盘股指数上涨100.15%........................................................92.5万得微盘股历史年份走势.................................................................93微盘股本周因子表现.........................................................................113.1因子周度IC............................................................................113.2小市值低波50策略表现.................................................................114扩散指数观察...............................................................................134.1首次阈值法（左侧交易）................................................................144.2延迟阈值法（右侧交易）................................................................154.3双均线法（自适应交易）................................................................155微盘股相关基金本周表现.....................................................................176微盘股日历效应.............................................................................186.1日度效应...............................................................................186.2月度效应...............................................................................197万得微盘股指数成分股变动...................................................................217.1成分股调入、调出......................................................................218其他风险指标观察...........................................................................238.1总市值中位数...........................................................................238.2pb中位数..............................................................................238.3换手率.................................................................................248.4成交占比（泛微盘）....................................................................248.5成交占比（万得微盘股指数）............................................................258.6pb比值................................................................................258.7Top50基金相关系数和仓位...............................................................269风险提示...................................................................................279.1政策风险...............................................................................27 请务必阅读正文之后的免责条款部分2 请务必阅读正文之后的免责条款部分39.3流动性风险.............................................................................27图表目录图表1：A股38个宽基指数近一周涨跌幅....................................................7图表2：A股38个宽基指数近一月涨跌幅....................................................8图表3：A股38个宽基指数季度涨跌幅......................................................8图表4：A股38个宽基指数年度涨跌幅......................................................9图表5：微盘股大涨年份年度走势..........................................................9图表6：微盘股下跌年份年度走势.........................................................10图表7：微盘股小涨年份年度走势.........................................................10图表8：万得微盘股指成分股因子周度rankic...............................................11图表9：小市值低波50策略2024年以来表现...............................................12图表10：小市值低波50策略下期持股(20250606换仓).......................................12图表11：微盘股扩散指数透视表..........................................................13图表12：微盘股扩散指数走势............................................................14图表13：微盘股扩散指数首次阈值法（左侧交易）..........................................14图表14：微盘股扩散指数延迟阈值法（右侧交易）..........................................15图表15：微盘股扩散指数双均线法（自适应交易）..........................................16图表16：微盘股相关基金跟踪............................................................17图表17：万得微盘股指数不同时段的日度绝对收益..........................................18图表18：万得微盘股指数不同时段的日度超额收益..........................................19图表19：万得微盘股指数不同年份的月度绝对收益..........................................19图表20：万得微盘股指数不同年份的月度超额收益..........................................20图表21：万得微盘股指数本周调入成分股一览..............................................21图表22：万得微盘股指数本周调出成分股一览..............................................22图表23：万得微盘股指数成分股总市值中位数及其历史分位数................................23图表24：万得微盘股指数成分股pb中位数及其历史分