Core Insights - The median excess return of index-enhanced products has significantly improved compared to last year [1] - The China Securities 1000 index-enhanced products have shown particularly outstanding excess returns, followed by the China Securities 500 index-enhanced products [1] Group 1: Market Dynamics - The strong performance of public index-enhanced products this year is attributed to two main factors: accelerated rotation among market sectors and overall activity in small-cap stocks [1] - There is a noticeable cycle of rotation between large-cap and small-cap stocks in the Chinese market, with the current small-cap advantage cycle starting in 2021 [1] Group 2: Investment Strategy - Future index profitability and growth potential should be considered for index allocation, alongside short-term factors such as valuation and market sentiment [1]

2025 年 05 月 16 日 证券研究报告 | 金融工程月报 关税风波引发权益市场下跌，量化策 略超额表现优异 策略指数跟踪月报(2025 年 5 月期) 分析师：程秉哲 分析师登记编码：S0890522110001 电话：021-20321297 邮箱：chengbingzhe@cnhbstock.com 分析师登记编码：S0890524100001 电话：021-20321081 邮箱：baiyifan@cnhbstock.com 销售服务电话： 021-20515355 益还能保持吗？—策略环境跟踪月报 (2025 年 4 月期)》2025-04-16 2、《小盘风格强势，为何公募指增超额较 少？—策略环境跟踪月报(2025 年 3 月 期)》2025-03-12 3、《当前是否是中性策略止盈的好时 机？—策略环境跟踪月报(2025 年 2 月 期)》2025-02-13 —策略环境跟踪月报（2025 年 1 月期）》 2025-01-15 5、《市场成交活跃，Alpha 策略收益修复 —策略环境跟踪月报》2024-12-10 投资要点 本月报统计时间为 2025.04.01 至 2025.04.3 ...

分析师：程秉哲 登记编号： S0890522110001 分析师：柏逸凡 登记编号：S0890524100001 投资要点 报告正文共计3483字 本月报统计时间为2025.04.01至2025.04.30。 2025年4月，权益市场在外部冲击下，避险情绪升温，整体回调；商品市场整体先抑后扬，市场 内部板块表现分化。 公募指数增强产品收益情况： 沪深300指数月度涨幅变化-3.00%，严格约束类月度超额收益 0.21%，SmartBeta类月度超额收益0.09%，轮动类月度超额收益0.13%。中证500指数月度涨 幅-3.86%，严格约束类月度超额收益-0.07%，SmartBeta类月度超额收益0.31%，轮动类月度超 额收益0.29%。中证1000指数月度涨幅-4.44%%，严格约束类月度超额收益1.12%，SmartBeta 类月度超额收益1.20%，轮动类月度超额收益1.59%。 私募策略指数收益情况： 权益类私募策略方面，多头策略方面，300指增跌幅最少，仅 为-2.64%，量化选股策略表现其次，区间收益率为-2.72%，主观多头策略表现不佳，区间收益率 为-3.95%；绝对收益类策略方面，ETF套 ...

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].