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行业轮动周报：资金博弈停牌个股大幅流入信创ETF，概念轮动速度较快-20250609
China Post Securities·2025-06-09 05:17
  • Model Name: GRU Factor Model; Model Construction Idea: The GRU factor model leverages transaction information to capture excess returns; Model Construction Process: The GRU factor model is built using minute-level volume and price data processed through a GRU deep learning network. The model dynamically adjusts based on historical training data to adapt to market conditions; Model Evaluation: The GRU factor model has shown strong performance in short cycles but is less effective in longer cycles[7][32][37] - Model Name: Diffusion Index Model; Model Construction Idea: The diffusion index model is based on the principle of price momentum; Model Construction Process: The diffusion index model tracks the momentum of industry indices. It ranks industries based on their diffusion index values, which are calculated from price trends. The model suggests industry allocations based on these rankings; Model Evaluation: The diffusion index model performs well in capturing upward trends but may fail during market reversals[6][26][36] Model Backtest Results - GRU Factor Model, Average Weekly Return: 0.82%, Excess Return over Equal-Weighted Index: -0.58%, Year-to-Date Excess Return: -4.71%[35] - Diffusion Index Model, Average Weekly Return: 2.22%, Excess Return over Equal-Weighted Index: 0.82%, Year-to-Date Excess Return: -0.81%[30] Factor Rankings - GRU Factor Rankings (as of June 6, 2025): Top 6 industries: Banking (1.41), Real Estate (1.21), Coal (1.08), Oil & Petrochemicals (0.61), Electric Utilities (0.42), Steel (-0.13); Bottom 6 industries: Electric Equipment & New Energy (-19.92), Media (-18.56), Comprehensive Finance (-17.89), Computers (-15.93), Non-Banking Finance (-15.92), Automotive (-14.28)[7][33] - Diffusion Index Rankings (as of June 6, 2025): Top 6 industries: Comprehensive Finance (1.0), Comprehensive (0.998), Non-Banking Finance (0.997), Banking (0.969), Media (0.953), Computers (0.942); Bottom 6 industries: Coal (0.166), Oil & Petrochemicals (0.268), Non-Ferrous Metals (0.566), Agriculture, Forestry, Animal Husbandry & Fishery (0.594), Electric Utilities (0.624), Building Materials (0.71)[6][27]