微盘股指数周报：调整仍不充分

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《短期上涨动能枯竭，控制仓位做好防御——微盘股指数周报20250615》-2025.06.16《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》-2025.06.09《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 金工周报⚫投资要点信号。⚫万得微盘股指数阶段表现排名第1。⚫微盘股周度因子表现⚫扩散指数模型⚫日历效应⚫风险提示： 目录1观点综述.................................................................................42万得微盘股指数阶段表现...................................................................62.1近一周万得微盘股指数下跌2.18%........................................................62.2近一月万得微盘股指数上涨0.8%.........................................................62.3近一季万得微盘股指数上涨10.92%.......................................................72.4近一年万得微盘股指数上涨89.99%.......................................................72.5万得微盘股历史年份走势...............................................................83微盘股本周因子表现......................................................................103.1因子周度IC.........................................................................103.2小市值低波50策略表现...............................................................104扩散指数观察............................................................................124.1首次阈值法（左侧交易）..............................................................134.2延迟阈值法（右侧交易）..............................................................144.3双均线法（自适应交易）..............................................................145微盘股相关基金本周表现..................................................................166微盘股日历效应..........................................................................176.1日度效应............................................................................176.2月度效应............................................................................187万得微盘股指数成分股变动................................................................207.1成分股调入、调出....................................................................208其他风险指标观察........................................................................228.1总市值中位数........................................................................228.2 pb中位数...........................................................................228.3换手率.............................................................................238.4成交占比（泛微盘）..................................................................238.5成交占比（万得微盘股指数）..........................................................248.6 pb比值.............................................................................248.7 Top50基金相关系数和仓位............................................................258.8全市场宽度监控......................................................................259风险提示................................................................................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39.1政策风险............................................................................279.2舆情风险............................................................................279.3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...................................................6图表2：A股38个宽基指数近一月涨跌幅...................................................7图表3：A股38个宽基指数季度涨跌幅.....................................................7图表4：A股38个宽基指数年度涨跌幅.....................................................8图表5：微盘股大涨年份年度走势.........................................................8图表6：微盘股下跌年份年度走势.........................................................9图表7：微盘股小涨年份年度走势.........................................................9图表8：万得微盘股指成分股因子周度rankic..............................................10图表9：小市值低波50策略2024年以来表现..............................................11图表10：小市值低波50策略下期持股(20250620换仓)......................................11图表11：微盘股扩散指数透视表.........................................................12图表12：微盘股扩散指数走势...........................................................13图表13：微盘股扩散指数首次阈值法（左侧交易）.........................................13图表14：微盘股扩散指数延迟阈值法（右侧交易）.........................................14图表15：微盘股扩散指数双均线法（自适应交易）.........................................15图表16：微盘股相关基金跟踪...........................................................16图表17：万得微盘股指数不同时段的日度绝对收益.........................................17图表18：万得微盘股指数不同时段的日度超额收益.........................................18图表19：万得微盘股指数不同年份的月度绝对收益.........................................18图表20：万得微盘股指数不同年份的月度超额收益.........................................19图表21：万得微盘股指数本周调入成分股一览.............................................20图表22：万得微盘股指数本周调出成分股一览.............................................21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......