行业轮动周报：净流出较多-20250825

Quantitative Models and Construction 1. Model Name: Diffusion Index Industry Rotation Model - Model Construction Idea: This model is based on the principle of price momentum, aiming to capture upward trends in industries through a diffusion index[24][25]. - Model Construction Process: The diffusion index is calculated for each industry, reflecting the proportion of stocks within the industry that exhibit upward momentum. The index ranges from 0 to 1, where higher values indicate stronger upward trends. The model selects industries with the highest diffusion index values for rotation. - Formula: Not explicitly provided in the report - Model Evaluation: The model has shown mixed performance over the years. It performed well in capturing trends during certain periods (e.g., pre-September 2021) but struggled during market reversals or when trends shifted to mean-reversion patterns[24]. 2. Model Name: GRU Factor Industry Rotation Model - Model Construction Idea: This model leverages GRU (Gated Recurrent Unit) deep learning networks to process high-frequency volume and price data, aiming to identify industry rotation opportunities[37]. - Model Construction Process: The GRU network is trained on historical minute-level data to predict industry factor rankings. The model then selects industries with the highest predicted factor scores for rotation. - Formula: Not explicitly provided in the report - Model Evaluation: The GRU model has demonstrated strong adaptability in short-term scenarios but has underperformed in long-term or extreme market conditions. Its reliance on high-frequency data makes it sensitive to market noise[37]. --- Model Backtesting Results 1. Diffusion Index Industry Rotation Model - Annualized Excess Returns: - 2021: +25% (pre-September), followed by significant drawdowns later in the year - 2022: +6.12% - 2023: -4.58% - 2024: -5.82% - 2025 (YTD as of August): +2.71%[24][28] - Monthly Performance (August 2025): - Average Return: +4.18% - Excess Return (vs. Equal-Weighted Industry Index): +0.78%[28] 2. GRU Factor Industry Rotation Model - Annualized Excess Returns: - 2025 (YTD as of August): -8.59%[31][34] - Monthly Performance (August 2025): - Average Return: +1.80% - Excess Return (vs. Equal-Weighted Industry Index): -1.58%[34] --- Quantitative Factors and Construction 1. Factor Name: Diffusion Index - Factor Construction Idea: Measures the proportion of stocks within an industry exhibiting upward momentum, serving as a proxy for industry-level price trends[25]. - Factor Construction Process: - The diffusion index is calculated weekly for each industry. - Industries are ranked based on their diffusion index values, with higher values indicating stronger momentum. - Example Rankings (as of August 22, 2025): - Top Industries: Comprehensive Finance (1.0), Comprehensive (1.0), Steel (1.0) - Bottom Industries: Coal (0.262), Electric Utilities (0.587), Real Estate (0.694)[25][26]. 2. Factor Name: GRU Industry Factor - Factor Construction Idea: Derived from GRU deep learning models, this factor captures industry-level signals based on high-frequency trading data[37]. - Factor Construction Process: - The GRU model processes minute-level volume and price data to generate factor scores for each industry. - Industries are ranked based on their GRU factor scores. - Example Rankings (as of August 22, 2025): - Top Industries: Building Materials (3.32), Electronics (2.36), Non-Banking Finance (1.97) - Bottom Industries: Electric Utilities (-25.33), Banking (-24.29), Pharmaceuticals (-20.97)[32]. --- Factor Backtesting Results 1. Diffusion Index - Weekly Rankings (August 22, 2025): - Top Industries: Comprehensive Finance (1.0), Comprehensive (1.0), Steel (1.0) - Bottom Industries: Coal (0.262), Electric Utilities (0.587), Real Estate (0.694)[25][26]. 2. GRU Industry Factor - Weekly Rankings (August 22, 2025): - Top Industries: Building Materials (3.32), Electronics (2.36), Non-Banking Finance (1.97) - Bottom Industries: Electric Utilities (-25.33), Banking (-24.29), Pharmaceuticals (-20.97)[32].