市场情绪监控周报（20251110-20251114）：本周热度变化最大行业为综合、纺织服饰-20251116

• 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 multiplied by 10,000, with a value range of [0,10000][8] - The "Total Heat Index" is used as a proxy variable for "emotional heat" to track the sentiment of broad-based indices, industries, and concepts[8] - The report constructs a simple rotation strategy based on the weekly heat change rate (MA2) of 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 "other" group[14] - The rotation strategy based on the heat change rate (MA2) of broad-based indices has an annualized return of 8.74% since 2017, with a maximum drawdown of 23.5%, and a return of 40.9% in 2025[17] - The report constructs two simple portfolios: a "Heat TOP" portfolio, which selects the top 10 stocks with the highest total heat from the top 5 concepts with the largest heat change rate each week, and a "BOTTOM" portfolio, which selects the bottom 10 stocks with the lowest total heat from the same concepts[32] - The "BOTTOM" portfolio historically achieves a certain excess return, with an annualized return of 15.71% and a maximum drawdown of 28.89%, and a return of 43.9% in 2025[34] - The "Total Heat Index" for broad-based indices includes the heat of the constituent stocks of the CSI 300, CSI 500, CSI 1000, and CSI 2000 indices, as well as the heat of stocks not included in these indices (the "other" group)[9] - The weekly heat change rate (MA2) of the "other" group is calculated and smoothed, and its relationship with the equal-weighted returns of the four broad-based indices is analyzed[12] - The weekly heat change rate (MA2) of the CSI 2000 index increased by 11.95% compared to the previous week, while the CSI 500 index decreased by 12.1%[17] - The weekly heat change rate (MA2) of the top 5 first-level industries with positive changes are comprehensive, textile and apparel, retail, food and beverage, and environmental protection, while the top 5 industries with negative changes are communication, electronics, defense and military, computer, and non-bank finance[28] - The weekly heat change rate (MA2) of the top 5 second-level industries with positive changes are pharmaceutical commerce, TV broadcasting II, beverage and dairy, power grid equipment, and hotel and catering[28] - The top 5 concepts with the largest heat change rate are dairy, artificial meat, organic silicon, fluorine chemical, and perovskite battery[29] - The historical valuation percentiles (rolling 5 years) of the CSI 300, CSI 500, and CSI 1000 indices are 85%, 97%, and 96%, respectively, as of November 14, 2025[42] - The first-level industries with current valuations in the top 80% historical percentiles since 2015 include comprehensive, power equipment, banking, light industry manufacturing, retail, electronics, steel, computer, pharmaceutical and biological, building materials, coal, defense and military, environmental protection, and basic chemicals[43] - The second-level industries with current valuations in the top 80% historical percentiles since 2015 include comprehensive, aerospace equipment, large state-owned banks, software development, biological products, steel raw materials, wind power equipment, chemical pharmaceuticals, environmental protection equipment, general steel, clothing and home textiles, tourism and scenic spots, rubber, airports, professional chains, decoration and building materials, semiconductors, lighting equipment, digital media, chemical fibers, other electronics, internet e-commerce, commercial vehicles, automotive services, diversified finance, and coal mining[45]