行业轮动周报：融资资金持续大幅净流入医药，GRU行业轮动调出银行-20250616

Quantitative Models and Construction Diffusion Index Model - Model Name: Diffusion Index Model [6][26] - Model Construction Idea: The model is based on the principle of price momentum, aiming to capture upward trends in industry performance. It selects industries with positive momentum for rotation. [26] - Model Construction Process: - The model calculates a diffusion index for each industry, which reflects the proportion of stocks within the industry exhibiting upward momentum. - Industries are ranked based on their diffusion index values, and the top industries are selected for portfolio allocation. [6][27] - Model Evaluation: The model has shown strong performance in capturing trends during momentum-driven markets but struggles during market reversals or when trends shift to mean-reversion. [26] - Testing Results: - 2025 YTD excess return: -0.44% [25][30] - June 2025 excess return: 1.20% [30] - Weekly average return: 0.21%, excess return over equal-weighted industry index: 0.37% [30] GRU Factor Model - Model Name: GRU Factor Model [7][32] - Model Construction Idea: This model leverages GRU (Gated Recurrent Unit) deep learning networks to process high-frequency price and volume data, aiming to identify industry rotation opportunities. [37] - Model Construction Process: - The model uses minute-level price and volume data as input features. - A GRU neural network is trained to predict industry factor scores, which are then used to rank industries for rotation. [37] - Model Evaluation: The model performs well in short-term trading environments but faces challenges in long-term trend-following scenarios, especially during extreme market conditions. [37] - Testing Results: - 2025 YTD excess return: -4.13% [32][35] - June 2025 excess return: 0.00% [35] - Weekly average return: 0.42%, excess return over equal-weighted industry index: 0.58% [35] --- Backtesting Results of Models Diffusion Index Model - YTD Excess Return: -0.44% [25][30] - June 2025 Excess Return: 1.20% [30] - Weekly Average Return: 0.21% [30] - Weekly Excess Return: 0.37% [30] GRU Factor Model - YTD Excess Return: -4.13% [32][35] - June 2025 Excess Return: 0.00% [35] - Weekly Average Return: 0.42% [35] - Weekly Excess Return: 0.58% [35] --- Quantitative Factors and Construction GRU Industry Factor - Factor Name: GRU Industry Factor [7][33] - Factor Construction Idea: The factor is derived from GRU neural network outputs, representing the relative attractiveness of industries based on high-frequency trading data. [37] - Factor Construction Process: - The GRU model processes minute-level trading data to generate factor scores for each industry. - Industries are ranked based on their factor scores, and the top industries are selected for portfolio allocation. [37] - Factor Evaluation: The factor effectively captures short-term trading signals but may underperform in broader market trends or during periods of concentrated market themes. [37] - Testing Results: - Top industries by factor score (as of June 13, 2025): Steel (2.42), Construction (1.47), Transportation (0.85), Real Estate (0.59), Utilities (-0.01), Oil & Gas (-1.52) [7][33] - Bottom industries by factor score: Food & Beverage (-49.88), Comprehensive Finance (-33.65), Consumer Services (-25.42), Media (-21.94), Automotive (-20.34), Non-Banking Finance (-18.36) [33] Diffusion Index Factor - Factor Name: Diffusion Index Factor [6][27] - Factor Construction Idea: The factor measures the proportion of stocks within an industry showing upward momentum, serving as a proxy for industry strength. [6] - Factor Construction Process: - Calculate the diffusion index for each industry based on the percentage of stocks with positive momentum. - Rank industries by their diffusion index values to identify the strongest performers. [6][27] - Factor Evaluation: The factor is effective in identifying momentum-driven industries but may lag during market reversals. [26] - Testing Results: - Top industries by diffusion index (as of June 13, 2025): Comprehensive Finance (1.0), Non-Banking Finance (0.997), Banking (0.97), Media (0.953), Computing (0.936), Retail (0.93) [6][27] - Bottom industries by diffusion index: Coal (0.166), Oil & Gas (0.297), Food & Beverage (0.323), Utilities (0.604), Real Estate (0.629), Building Materials (0.657) [27] --- Backtesting Results of Factors GRU Industry Factor - Top Industries by Factor Score: Steel (2.42), Construction (1.47), Transportation (0.85), Real Estate (0.59), Utilities (-0.01), Oil & Gas (-1.52) [7][33] - Bottom Industries by Factor Score: Food & Beverage (-49.88), Comprehensive Finance (-33.65), Consumer Services (-25.42), Media (-21.94), Automotive (-20.34), Non-Banking Finance (-18.36) [33] Diffusion Index Factor - Top Industries by Diffusion Index: Comprehensive Finance (1.0), Non-Banking Finance (0.997), Banking (0.97), Media (0.953), Computing (0.936), Retail (0.93) [6][27] - Bottom Industries by Diffusion Index: Coal (0.166), Oil & Gas (0.297), Food & Beverage (0.323), Utilities (0.604), Real Estate (0.629), Building Materials (0.657) [27]