策略指数跟踪月报（2025年5月期）：关税风波引发权益市场下跌，量化策略超额表现优异-20250516

Group 1 - In April 2025, the equity market experienced a decline due to external shocks, leading to increased risk aversion and an overall market pullback [2][10] - The commodity market showed a mixed performance, initially declining before recovering, with significant internal sector differentiation [10][11] Group 2 - The public quantitative strategy performance statistics indicate that the CSI 300 index had a monthly decline of 3.00%, with strict constraint type excess returns of 0.21%, SmartBeta excess returns of 0.09%, and rotation type excess returns of 0.13% [3][13] - The CSI 500 index saw a monthly decline of 3.86%, with strict constraint type excess returns of -0.07%, SmartBeta excess returns of 0.31%, and rotation type excess returns of 0.29% [3][17] - The CSI 1000 index experienced a monthly decline of 4.44%, with strict constraint type excess returns of 1.12%, SmartBeta excess returns of 1.20%, and rotation type excess returns of 1.59% [3][22] Group 3 - In the private equity strategy sector, the long strategy for the CSI 300 index had the smallest decline at -2.64%, while the quantitative stock selection strategy yielded a return of -2.72% [4][30] - The absolute return strategies showed the best performance with the ETF arbitrage strategy achieving an annualized return of 14.46%, followed by the market neutral strategy with an annualized return of 6.17% [4][30] - The quantitative CTA strategy in the commodity and derivatives private equity strategies achieved an annualized return of 10.49%, while the futures arbitrage strategy had an annualized return of 6.07% [4][35]