市场情绪监控周报（20250728-20250801）：深度学习因子7月超额1.59%，本周热度变化最大行业为建筑材料、建筑装饰-20250804

Quantitative Models and Construction Methods - Model Name: DecompGRU Model Construction Idea: The model improves the GRU baseline by introducing two simple de-mean modules to enhance the interaction between temporal and cross-sectional information[14] Model Construction Process: 1. The DecompGRU model architecture is based on GRU with added de-mean modules for trend decomposition[14] 2. Two versions of the model are trained using different loss functions: IC and weighted MSE[14] 3. The IC-based model and MSE-based model are used to score stocks, and the top 200 stocks are selected for portfolio construction[8][14] Evaluation: The model effectively captures temporal and cross-sectional interactions, leading to improved stock selection performance[14] Model Backtesting Results - DecompGRU Model: - Cumulative absolute return: 24.54% - Excess return relative to WIND All A equal-weight index: 9.80% - Maximum drawdown: 10.08% - Weekly win rate: 72.22% - Monthly win rate: 100%[10] - ETF Rotation Portfolio (Based on DecompGRU Scores): - Cumulative absolute return: 12.97% - Excess return relative to WIND ETF index: 8.65% - Maximum drawdown: 6.16% - Weekly win rate: 68.42% - Monthly win rate: 75%[12] Quantitative Factors and Construction Methods - Factor Name: Total Heat Indicator Factor Construction Idea: The indicator aggregates stock-level attention metrics (views, favorites, clicks) to represent market sentiment at broader levels (indices, industries, concepts)[17][18] Factor Construction Process: 1. Calculate the sum of views, favorites, and clicks for each stock[18] 2. Normalize the sum as a percentage of the total market activity on the same day[18] 3. Multiply the normalized value by 10,000 to derive the final indicator, with a range of [0, 10,000][18] Evaluation: The factor serves as a proxy for sentiment-driven mispricing, particularly effective at the stock level[18] Factor Backtesting Results - Broad Index Heat Rotation Strategy: - Annualized return since 2017: 8.74% - Maximum drawdown: 23.5% - 2025 YTD return: 18.8% - Benchmark return: 17.1%[27] - Concept Heat BOTTOM Portfolio: - Annualized return: 15.71% - Maximum drawdown: 28.89% - 2025 YTD return: 27%[44] Additional Observations - Broad Index Heat Changes: - Largest increase: CSI 500 (+10.21%) - Largest decrease: CSI 2000 (-6.02%)[27][29] - Industry Heat Changes: - Top 5 positive changes: Building Materials (+83.5%), Building Decoration, Social Services, Steel, Food & Beverage - Top 5 negative changes: Light Manufacturing (-32.5%), Textile & Apparel, Automotive, Real Estate, Utilities[38] - Concept Heat Changes: - Top 5 concepts: Dairy (+233.5%), Football (+194.9%), NMN (+115), Short Drama Games (+113.6%), Rent-Sale Rights (+109.6)[39][47][48]