市场情绪监控周报（20250915-20250919）：本周热度变化最大行业为房地产、煤炭-20250921

• The report introduces a "Total Heat Index" for monitoring market sentiment, which aggregates the browsing, self-selection, and click counts of individual stocks, normalized by their market share on the same day, and then multiplied by 10,000, with a value range of [0,10000][7] - The "Total Heat Index" is used as a proxy variable for "emotional heat" to track the sentiment of broad-based indices, industries, and concepts[7] - The report constructs a simple rotation strategy based on the weekly heat change rate (MA2) of different broad-based indices, buying the index with the highest heat change rate at the end of each week, and staying out of the market if the highest change rate is in the "others" group[12][15] - The rotation strategy based on the heat change rate (MA2) has an annualized return of 8.74% since 2017, with a maximum drawdown of 23.5%, and a return of 32.7% in 2025[15] - The report also constructs two simple portfolios based on the heat change rate of concepts: a "TOP" portfolio consisting of the top 10 stocks with the highest total heat in the hottest concepts, and a "BOTTOM" portfolio consisting of the bottom 10 stocks with the lowest total heat in the hottest concepts[29] - The "BOTTOM" portfolio historically achieved an annualized return of 15.71% with a maximum drawdown of 28.89%, and a return of 40.9% in 2025[31] - The "Total Heat Index" for broad-based indices includes the heat of the CSI 300, CSI 500, CSI 1000, and CSI 2000 indices, as well as an "others" group for stocks not included in these indices[8][9] - The weekly heat change rate (MA2) for the main broad-based indices shows that the CSI 500 had the highest increase of 3.33%, while the CSI 300 had the largest decrease of 4.11%[15] - The weekly heat change rate (MA2) for the Shenwan primary industries shows that the real estate industry had the highest increase of 48.8%, while the defense industry had the largest decrease of -31.0%[26] - The weekly heat change rate (MA2) for the Shenwan secondary industries shows that the top 5 industries with the highest positive change rates are house construction II, film and cinema, paper, coal mining, and home appliance parts II[26] - The weekly heat change rate for concepts shows that the top 5 concepts with the highest positive change rates are house inspection, underground pipelines, car dismantling, prefabricated buildings, and Shanghai state-owned enterprise reform[27][29] - The current valuation historical percentiles (rolling 5 years) for the main broad-based indices are 81% for the CSI 300, 99% for the CSI 500, and 94% for the CSI 1000[36] - The Shenwan primary industries with current valuations above the 80th historical percentile include power equipment, electronics, computers, light manufacturing, defense, pharmaceuticals, retail, building materials, banking, coal, and basic chemicals[37] - The Shenwan secondary industries with current valuations above the 80th historical percentile include chemical pharmaceuticals, aerospace equipment, wind power equipment, steel raw materials, biological products, semiconductors, large state-owned banks, environmental protection equipment, general retail, airports, components, clothing and textiles, automotive services, tourism and scenic spots, commercial vehicles, rubber, building materials, real estate services, professional chains, diversified finance, animal health, electronic chemicals, optical and optoelectronics, chemical fibers, digital media, other electronics, glass and fiberglass, automation equipment, and games[40]