行业轮动周报：ETF资金大幅净流入金融地产，石油油气扩散指数环比提升靠前-20250623

Quantitative Models and Construction Methods 1. Model Name: Diffusion Index Model - Model Construction Idea: The model is based on the principle of price momentum, aiming to capture upward trends in industry performance[27][28] - Model Construction Process: The diffusion index is calculated for each industry, ranking them based on their momentum. Industries with higher diffusion index values are considered to have stronger upward trends. The model selects industries with the highest diffusion index values for allocation. - Formula: Not explicitly provided in the report - Model Evaluation: The model has shown mixed performance over the years. It performed well in 2021 and 2022 but faced significant drawdowns in 2023 and 2024 due to market reversals and failure to adjust to cyclical changes[27] 2. Model Name: GRU Factor Model - 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 trends and generate excess returns[34][39] - Model Construction Process: The GRU network is trained on historical minute-level price and volume data to predict industry rankings. The model then allocates to industries with the highest GRU factor scores. - Formula: Not explicitly provided in the report - Model Evaluation: The model has shown strong adaptability in short-term cycles but struggles in long-term trends and extreme market conditions. It has faced challenges in capturing excess returns in 2025 due to concentrated market themes[34][39] --- Model Backtesting Results 1. Diffusion Index Model - 2025 YTD Excess Return: 0.37%[26][31] - June 2025 Excess Return: 1.99%[31] - Weekly Average Return (June 2025): -0.65%[31] - Weekly Excess Return (June 2025): 0.79%[31] 2. GRU Factor Model - 2025 YTD Excess Return: -3.83%[34][37] - June 2025 Excess Return: 0.25%[37] - Weekly Average Return (June 2025): -1.18%[37] - Weekly Excess Return (June 2025): 0.25%[37] --- Quantitative Factors and Construction Methods 1. Factor Name: Diffusion Index - Factor Construction Idea: Measures the momentum of industries by ranking them based on their upward trends[28] - Factor Construction Process: The diffusion index is calculated for each industry weekly. Industries are ranked based on their index values, with higher values indicating stronger momentum. - Example Values (as of June 20, 2025): - Top Industries: Comprehensive Finance (1.0), Non-Bank Finance (0.973), Banking (0.97)[28] - Bottom Industries: Coal (0.174), Food & Beverage (0.313), Oil & Gas (0.387)[28] - Factor Evaluation: The factor effectively captures upward trends but may underperform during market reversals[27][28] 2. Factor Name: GRU Factor - Factor Construction Idea: Utilizes GRU deep learning to analyze high-frequency trading data and rank industries based on predicted performance[34][39] - Factor Construction Process: The GRU network processes minute-level price and volume data to generate factor scores for each industry. Industries are ranked based on these scores. - Example Values (as of June 20, 2025): - Top Industries: Coal (3.48), Non-Bank Finance (3.15), Utilities (2.65)[35] - Bottom Industries: Communication (-17.95), Media (-15.45), Defense (-11.87)[35] - Factor Evaluation: The factor is effective in short-term trend identification but struggles with long-term stability and extreme market conditions[34][39] --- Factor Backtesting Results 1. Diffusion Index Factor - Top Weekly Changes (June 20, 2025): - Oil & Gas: +0.09 - Textiles: +0.044 - Metals: +0.036[30] - Bottom Weekly Changes (June 20, 2025): - Agriculture: -0.229 - Defense: -0.086 - Building Materials: -0.078[30] 2. GRU Factor - Top Weekly Changes (June 20, 2025): - Non-Bank Finance: Significant increase - Consumer Services: Significant increase - Comprehensive: Significant increase[35] - Bottom Weekly Changes (June 20, 2025): - Communication: Significant decrease - Electronics: Significant decrease - New Energy Equipment: Significant decrease[35]