策略环境跟踪月报：市场快速上涨之后，量化产品如何布局？

Market Overview - In September, the equity market experienced a rapid rebound after a period of decline, with the A-share market seeing significant increases in both confidence and trading volume due to unexpected policy measures from the government [14][17] - The major equity fund indices all recorded gains exceeding 10%, with the Wind Active Stock Fund and Wind Stock Fund Total Index achieving positive returns of 20.28% and 23.40% respectively in September 2024 [14][15] Equity Market Analysis - The equity market's risk appetite has notably increased due to policy stimuli, shifting the market style towards small-cap growth stocks, with active trading and a diverse range of market hotspots [17][18] - The proportion of rising constituent stocks has reached historical highs, indicating a strong index performance that may suppress excess returns from quantitative strategies [18][21] - For conservative investors, the volatility of hedging strategies is expected to decrease, leading to a stabilization of returns for neutral strategies, while aggressive investors may find index-enhanced products and smart beta strategies suitable for allocation [18][19] Commodity Market Analysis - The commodity market remains active, with varying efficiency across sectors, and a lack of established upward trends, suggesting that medium to long-term trend strategies may need to wait [17][20] - Short-term CTA strategies are expected to profit from market volatility, and the current liquidity in the commodity market supports arbitrage strategies [17][20] - In September, gold prices showed a general upward trend, supported by geopolitical tensions and ongoing demand for safe-haven assets, while the South China Commodity Index rose by 4.6% [14][16] Public Fund Performance Review - In September, the CSI 300 index enhanced products recorded a monthly increase of 20.97%, with strict constraint type products showing a monthly excess return of -1.75% [39] - The CSI 500 index enhanced products had a monthly increase of 23.80%, with strict constraint type products showing a monthly excess return of -2.38% [42] - The CSI 1000 index enhanced products also saw a monthly increase of 23.32%, with strict constraint type products showing a monthly excess return of -1.30% [45]