RegimeRank: An Interpretable Regime-Aware Ranking Model for Industry Rotation

The paper proposes RegimeRank, an interpretable industry ranking model that frames industry rotation decisions as a task of ranking industry actions by future risk-adjusted active returns, using the forward-looking industry benchmark Sharpe ratio as the measurement metric. The model represents fundamental and technical signals through expert-defined time-series features, uses cross-attention to condition on learned macro factors, then models cross-industry dependencies through self-attention, while using expected gradient attribution to identify the contribution of individual signal-transformation pairs.