Core Viewpoint - The deep discount of stock index futures has raised concerns in the market, impacting market-neutral strategy products and leading to net value declines, although quant hedge funds have managed to maintain overall excess returns this year [1][2]. Group 1: Market Conditions - Since April, the discount rates for IC (CSI 500 index futures) and IM (CSI 1000 index futures) have deepened, with IC reaching an annualized discount rate of 19.23% and IM at 22.36% as of April 16 [2]. - The significant drop in the CSI 500 and CSI 1000 indices on April 7, attributed to tariff shocks, resulted in extreme declines in stock index futures, causing a sharp increase in hedging costs for neutral products [2]. - The overall excess returns for quant strategies have improved compared to last year, despite increased market volatility and deepening discounts [2][4]. Group 2: Performance of Market-Neutral Strategies - As of April 18, the average return for 738 market-neutral strategy products since 2025 was 3.06%, but the average return over the past month dropped to 0.03%, with a slight recovery to 0.34% in the last week [3]. - Market-neutral products have maintained relatively stable operations since April, although new investors may face risks related to basis convergence [3][4]. - The overall return rate for market-neutral strategies this year is reported at 4%, with a yield of 0.47% since April [4]. Group 3: Risk Management and Strategy Optimization - Companies have implemented various methods for basis management and volatility response, including optimizing strategy models to enhance return stability [1][4]. - A multi-dimensional risk control system has been established, utilizing mixed hedging and automated dynamic management of basis [5]. - Recent upgrades to strategy frameworks have improved the ability to capture excess returns by integrating multi-frequency price and volume characteristics with AI models [5].

Market Overview - In March 2025, the equity market entered a correction phase, while the commodity market continued to experience fluctuations. Early March saw a continuation of optimistic risk appetite, but by mid-March, the market became more cautious due to earnings season and various disturbances following Trump's administration, leading to a market decline. The market style shifted from small-cap growth to large-cap value, with trading focus diversifying towards sectors like non-ferrous metals, consumer services, and defense [3][14]. Equity Market Performance - The public quantitative strategy performance showed varied results across different indices. For the CSI 300 index, the monthly return was -0.07%, with strict constraint strategies yielding an excess return of 0.57%, SmartBeta strategies at 0.85%, and rotation strategies at 0.70%. The CSI 500 index had a monthly return of -0.04%, with excess returns of 1.39% for strict constraint strategies, 1.82% for SmartBeta, and 1.64% for rotation strategies. The CSI 1000 index saw a monthly return of -0.70%, with excess returns of 1.58%, 2.02%, and 2.45% for the respective strategies [4][17][25]. Private Fund Strategy Performance - In March 2025, the best-performing private fund strategy was the CSI 1000 index strategy with an annualized return of 26.20%. The quantitative stock selection strategy followed with a return of 20.50%, while the CSI 500 index strategy achieved 16.24%. The CSI 300 index strategy lagged with a return of only 0.17%. In the relative value strategy, the convertible bond strategy performed well with a return of 22.67%, while the market-neutral strategy returned 10.22% and the ETF arbitrage strategy returned 3.66%. In the managed futures strategy, the options arbitrage strategy led with a return of 9.31% [5][29][32]. Market Environment Factors - The equity market in March experienced a style shift towards large-cap value, which increased the difficulty for quantitative strategies to achieve excess returns. The volatility in value-growth styles also heightened market instability, impacting the performance of quantitative strategies. Despite a decrease in market volatility and turnover rate, trading volume remained within a "comfortable zone" for quantitative strategies, suggesting a lower likelihood of significant declines in excess returns in the short term [6][30][34]. Commodity Market Analysis - The commodity market in March showed mixed performance influenced by overseas disturbances. The energy sector saw oil prices rise due to new production cuts from OPEC+ and increased sanctions on Iran and Venezuela. Conversely, the black metal prices declined due to unmet domestic demand. Gold prices surged significantly as a safe-haven asset amid uncertainties regarding international trade and economic outlooks [14][36]. Conclusion - Overall, the report indicates a complex market environment with shifting styles and varied performance across different strategies. The quantitative strategies face challenges due to increased volatility and changing market dynamics, while certain sectors within the commodity market present potential opportunities for investors [30][34][36].

Group 1 - The overall economic outlook indicates a divergence between the US and Europe, with the US showing signs of short-term cooling while maintaining a strong economic foundation, whereas Europe continues to struggle with weak economic performance [4][23]. - The US economy is experiencing a marginal slowdown, with GDP growth forecasts declining, particularly in private consumption and trade deficits, while private investment remains robust [5][22]. - Inflation in the US is showing signs of persistence, with CPI inflation rebounding over the past four months, indicating a potential for sustained inflation levels above 2% [9][12]. Group 2 - The European Central Bank (ECB) is expected to continue lowering interest rates, potentially reaching 2% this year, as the Eurozone economy remains weak and requires stimulus [23][25]. - Japan's economy is on a recovery path, with expectations of interest rate hikes above 1% this year, supported by rising wages and inflation [30][32]. - The global interest rate environment is likely to exceed market expectations, with the US Federal Reserve maintaining high rates and the ECB facing risks of inflation interrupting its rate-cutting path [35]. Group 3 - The Chinese economy is showing signs of recovery post-Spring Festival, with consumer spending rebounding and real estate sales improving in major cities [36][37]. - Credit growth in China has surged, with January seeing a record high in new loans, although the sustainability of this growth remains uncertain [48][54]. - Inflation data in China reflects seasonal trends, with CPI rising due to increased consumer spending during the holiday period, while PPI remains subdued due to seasonal production slowdowns [43][50]. Group 4 - The US stock market is under increasing pressure due to economic indicators showing a downturn, with S&P 500 profit growth forecasts declining [64]. - The outlook for US Treasury bonds suggests a volatile environment, with recommendations to favor short to medium-duration bonds due to the high coupon advantage [67][68]. - The currency market is influenced heavily by tariff policies, with the US dollar expected to remain strong despite potential short-term corrections [72][73].