行业轮动周报：贵金属回调风偏修复，GRU行业轮动调入非银行金融-20251027

• The diffusion index model has been tracking out-of-sample performance for four years, with notable results in 2021 when momentum strategies captured industry trends, achieving excess returns of over 25% before a significant drawdown in September due to cyclical stock adjustments. In 2022, the strategy maintained stable returns with an annual excess return of 6.12%. However, in 2023, excess returns declined to -4.58%, and in 2024, a major drawdown occurred after September due to the model's focus on upward trends, missing rebound industries, resulting in an annual excess return of -5.82%[24][28] - The diffusion index model suggests allocating to industries such as non-bank finance, construction, and defense military, which showed significant week-on-week improvement in rankings. The top six industries based on diffusion index rankings as of October 24, 2025, are non-bank finance (0.988), banking (0.967), steel (0.952), communication (0.946), comprehensive (0.913), and non-bank finance (0.9)[25][26][27] - The GRU factor model, based on minute-level volume and price data processed through GRU deep learning networks, has shown strong performance in short cycles but weaker performance in long cycles. The model has been effective in capturing trading information since 2021, achieving significant excess returns. However, since February 2025, the model has faced challenges in generating excess returns due to market focus on thematic trading[31][37] - The GRU factor model ranks industries based on their GRU factor scores. As of October 24, 2025, the top six industries are non-bank finance (1.13), banking (1), electric power and utilities (0.54), textile and apparel (0.03), automotive (-0.58), and machinery (-0.73). Industries with the lowest GRU factor scores include food and beverage (-17.79), non-ferrous metals (-10.81), basic chemicals (-8.82), agriculture (-8.76), coal (-6.57), and building materials (-6.48)[6][13][32] - The GRU factor model's weekly industry rotation suggests allocating to non-bank finance, electric power and utilities, textile and apparel, transportation, steel, and petrochemicals. For the week ending October 24, 2025, the model achieved an average return of 1.89%, underperforming the equal-weighted return of the CSI first-tier industries by -0.77%. For October, the model's excess return is 1.80%, while the year-to-date excess return stands at -6.41%[6][34][39]