RegimeRank Interpretable Industry Rotation Ranking Paper Released
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Kelvin J. L. Koa and co-authors released RegimeRank, an interpretable ranking model for industry rotation, accepted as an oral presentation at ICAIF 2026. The model frames industry-rotation decisions as ranking industry actions by their future risk-adjusted active return, using the forward industry-benchmark Sharpe ratio as the target. Expert-defined time-series features represent fundamental and technical signals; cross-attention conditions them on learned macro factors, self-attention captures cross-industry dependencies, and expected-gradient attribution identifies the contribution of individual signal–transform pairs. RegimeRank was evaluated on weekly S&P 500 data from 2002 to 2024 using combinatorial leave-one-out cross-validation.
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- arXiv q-finRegimeRank: 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.
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