- Model Name: Five-Dimensional Industry Rotation Model; Model Construction Idea: Based on the Dongwu Financial Engineering multi-factor selection system, the model is constructed from the micro-level of individual stocks, dividing micro-factors into five categories: volatility, fundamentals, volume, sentiment, and momentum[6]; Model Construction Process: The model uses style indicators to classify stocks within industries, constructing intra-industry dispersion and traction indicators to synthesize final industry factors. The five-dimensional industry rotation model includes volatility, fundamentals, volume, sentiment, and momentum[6]; Model Evaluation: The model effectively captures industry style differences and integrates multiple factors to enhance industry rotation strategies[6] - Model Name: Five-Dimensional Industry Rotation Model Performance Tracking; Model Construction Idea: The model's performance is tracked by constructing a scoring system based on excess returns and average industry rankings of the long group over a look-back period from 2025/03/01 to 2025/08/31[7]; Model Construction Process: The scoring system includes a return capability score and a stability score, with recent performance showing volatility and volume factors performing the best[8][9] - Model Name: Five-Dimensional Industry Rotation Model Backtest Performance; Model Construction Idea: The model's backtest performance is evaluated over the period from 2015/01/01 to 2025/08/31[11]; Model Construction Process: The model's performance metrics include annualized return, volatility, information ratio (IR), monthly win rate, and maximum drawdown. The model's long-short strategy in Shenwan first-level industries shows an annualized return of 21.44%, volatility of 10.84%, IR of 1.98, monthly win rate of 71.95%, and maximum drawdown of 13.30%[11]; Model Evaluation: The model demonstrates strong performance in terms of return and risk-adjusted metrics[11] - Model Name: Five-Dimensional Industry Rotation Model Long-Only Performance; Model Construction Idea: The model's long-only performance is evaluated by comparing it to an equal-weighted industry portfolio over the period from 2015/01/01 to 2025/08/31[12]; Model Construction Process: The long-only strategy shows an annualized return of 10.52%, volatility of 6.58%, IR of 1.60, monthly win rate of 70.49%, and maximum drawdown of 9.36%[12]; Model Evaluation: The long-only strategy provides a significant excess return over the equal-weighted industry portfolio[12] - Model Name: Five-Dimensional Industry Rotation Model Index Enhancement Strategy; Model Construction Idea: The model is applied to enhance the CSI 300 index by selecting the top five industries as enhancement industries and excluding the bottom five industries each month[21]; Model Construction Process: The enhanced CSI 300 portfolio is rebalanced monthly, with the weights of excluded industries redistributed to the enhancement industries[21]; Model Evaluation: The index enhancement strategy effectively improves the performance of the CSI 300 index[21] Model Backtest Results - Five-Dimensional Industry Rotation Model, Annualized Return: 21.44%, Volatility: 10.84%, IR: 1.98, Monthly Win Rate: 71.95%, Maximum Drawdown: 13.30%[11] - Five-Dimensional Industry Rotation Model Long-Only, Annualized Return: 10.52%, Volatility: 6.58%, IR: 1.60, Monthly Win Rate: 70.49%, Maximum Drawdown: 9.36%[12] - Five-Dimensional Industry Rotation Model Index Enhancement, Annualized Return: 8.59%, Volatility: 7.37%, IR: 1.17, Monthly Win Rate: 69.11%, Maximum Drawdown: 12.65%[22]

- Model Name: Five-Dimensional Industry Rotation Model; Model Construction Idea: Based on the Dongwu Financial Engineering multi-factor stock selection system, the model is constructed from the micro-level of individual stocks, dividing micro-factors into five categories: volatility, fundamentals, trading volume, sentiment, and momentum[6]; Model Construction Process: The model uses style indicators to classify stocks within industries, constructing intra-industry dispersion and traction indicators to synthesize final industry factors. The five-dimensional industry rotation model includes volatility, fundamentals, trading volume, sentiment, and momentum factors[6]; Model Evaluation: The model effectively captures industry style differences and integrates multiple factors to enhance industry rotation strategies[6] - Model Name: Five-Dimensional Industry Rotation Model for CSI 300 Index Enhancement; Model Construction Idea: The model applies the five-dimensional industry rotation model to enhance the CSI 300 index by selecting top and bottom industries monthly[21]; Model Construction Process: At the end of each month, the top five industries are selected as enhanced industries, and the bottom five industries are excluded. The weights of excluded industries are proportionally reassigned to the enhanced industries, forming a new CSI 300 enhanced portfolio with monthly rebalancing[21] Model Backtest Performance - Five-Dimensional Industry Rotation Model, Annualized Return: 22.01%, Annualized Volatility: 10.78%, IR: 2.04, Monthly Win Rate: 73.55%, Maximum Drawdown: 13.30%[11][15] - Five-Dimensional Industry Rotation Model (Long-Only), Annualized Return: 10.71%, Annualized Volatility: 6.59%, IR: 1.63, Monthly Win Rate: 71.07%, Maximum Drawdown: 9.36%[15][16] - Five-Dimensional Industry Rotation Model for CSI 300 Index Enhancement, Annualized Return: 8.61%, Annualized Volatility: 7.41%, IR: 1.16, Monthly Win Rate: 68.85%, Maximum Drawdown: 12.65%[22] Factor Backtest Performance - Volatility Factor, Annualized Return: 11.57%, Annualized Volatility: 10.12%, IR: 1.14, Monthly Win Rate: 60.32%, Maximum Drawdown: 14.27%[15] - Fundamentals Factor, Annualized Return: 6.80%, Annualized Volatility: 12.14%, IR: 0.56, Monthly Win Rate: 56.35%, Maximum Drawdown: 26.32%[15] - Trading Volume Factor, Annualized Return: 8.83%, Annualized Volatility: 11.72%, IR: 0.75, Monthly Win Rate: 60.32%, Maximum Drawdown: 18.40%[15] - Sentiment Factor, Annualized Return: 8.01%, Annualized Volatility: 12.86%, IR: 0.62, Monthly Win Rate: 64.29%, Maximum Drawdown: 14.79%[15] - Momentum Factor, Annualized Return: 11.54%, Annualized Volatility: 10.67%, IR: 1.08, Monthly Win Rate: 60.80%, Maximum Drawdown: 13.52%[15]