策略环境跟踪月报（2025年1月期）：量化舒适期，指数增强超额收益显著

• The report tracks the performance of public quantitative products, categorizing them into three types: Strict Constraint, SmartBeta, and Rotation. These categories are based on the deviation of industry and style configurations from benchmark indices, as well as the stability of these deviations[44][45][48] - For the CSI 300 Enhanced Index products, the monthly index return was 0.47%, with excess returns of 0.23% for Strict Constraint, 0.44% for SmartBeta, and 0.55% for Rotation strategies[45][47][48] - For the CSI 500 Enhanced Index products, the monthly index return was -2.16%, with excess returns of 3.71% for Strict Constraint, 3.95% for SmartBeta, and 3.67% for Rotation strategies[48][51][49] - For the CSI 1000 Enhanced Index products, the monthly index return was -3.74%, with excess returns of 6.00% for Strict Constraint, 6.83% for SmartBeta, and 6.22% for Rotation strategies[52][55][53] - The cumulative returns for CSI 300 Enhanced Index products were 22.23% for Strict Constraint, 15.09% for SmartBeta, and 19.63% for Rotation strategies. The annualized returns were 4.29%, 2.99%, and 3.83%, respectively[47][48][46] - The cumulative returns for CSI 500 Enhanced Index products were 17.61% for Strict Constraint, 25.10% for SmartBeta, and 16.49% for Rotation strategies. The annualized returns were 3.46%, 4.80%, and 3.25%, respectively[51][50][49] - The cumulative returns for CSI 1000 Enhanced Index products were 32.15% for Strict Constraint, 30.16% for SmartBeta, and 40.38% for Rotation strategies. The annualized returns were 6.25%, 5.90%, and 7.66%, respectively[55][54][53] - The report highlights that the current market environment is favorable for quantitative index enhancement products to achieve excess returns. Aggressive strategies like SmartBeta and Rotation are recommended for allocation during this period[56][44][45]