行业轮动周报：融资资金持续净流入电子，主板趋势上行前需耐住寂寞-20250928

• The report introduces the Diffusion Index Industry Rotation Model, which tracks industry trends based on momentum strategies. The model has been monitored for four years, with notable performance in 2021 when it captured industry trends effectively, achieving an excess return of over 25% before experiencing a significant drawdown due to cyclical stock adjustments. In 2025, the model suggested allocating to industries such as comprehensive, non-ferrous metals, communication, banking, media, and retail trade[24][28] - The Diffusion Index Industry Rotation Model ranks industries weekly based on diffusion index values. As of September 26, 2025, the top six industries were communication (0.949), non-ferrous metals (0.927), banking (0.897), electronics (0.864), automotive (0.859), and comprehensive (0.811). The bottom six industries were food and beverage (0.153), non-bank finance (0.212), coal (0.342), construction (0.348), real estate (0.362), and consumer services (0.415)[25][26][27] - The GRU Factor Industry Rotation Model utilizes GRU deep learning networks to analyze minute-level price and volume data. It has shown strong adaptability in short cycles but performs less effectively in long cycles. The model has been operational since 2021, achieving significant excess returns initially. However, in 2025, the model faced challenges in capturing excess returns due to concentrated market themes and speculative trading[31][37] - The GRU Factor Industry Rotation Model ranks industries weekly based on GRU factor values. As of September 26, 2025, the top six industries were steel (3.15), real estate (2.6), building materials (2.08), petroleum and petrochemicals (1.85), transportation (0.81), and electric power and utilities (0.01). The bottom six industries were computing (-32.91), media (-29.46), communication (-17.57), food and beverage (-13.4), pharmaceuticals (-13.36), and non-ferrous metals (-12.73)[6][13][32] - The Diffusion Index Industry Rotation Model achieved an average weekly return of -0.00%, with an excess return of 0.78% compared to the equal-weighted return of CICC primary industries. Since September, the model has recorded an excess return of -1.10%, and a year-to-date excess return of 3.68%[23][28] - The GRU Factor Industry Rotation Model recorded an average weekly return of -0.61%, with an excess return of 0.17% compared to the equal-weighted return of CICC primary industries. Since September, the model has achieved an excess return of 0.07%, and a year-to-date excess return of -7.53%[31][34]