商品量化CTA周度跟踪-20250415

Group 1: Industry Investment Rating - No relevant information provided Group 2: Core Viewpoints - The proportion of long positions in commodities has increased, with little change in the cross - sectional ranking of sectors. The momentum of precious metals has rebounded and remains at the stronger end of the cross - section. Specifically, the short - term momentum of precious metals has rebounded, and silver has a larger marginal rebound. The divergence in the position volume of the non - ferrous sector has narrowed, with tin and aluminum relatively strong. In the black sector, the term structure shows an expected decline, and the position volume factor of iron ore has decreased significantly, making iron ore relatively weak in the cross - section. The internal divergence of the energy - chemical sector has narrowed, and the momentum of energy varieties has stabilized. Among agricultural products, soybean oil and palm oil are relatively weak in the term cross - section, while soybean meal is relatively strong [3] Group 3: Summary by Related Content 1. Performance Data - Last week and current month's returns of different factors: The last - week and current - month returns of factors such as demand, inventory, and spread are presented. For example, the last - week return of demand is 0.20% and the current - month return is 0.48%, and the last - week return of spread is - 0.15% and the current - month return is 0.61% [4] - Factor performance of different sectors: The performance of momentum time - series, momentum cross - section, term structure, and position volume factors in different sectors like black, non - ferrous, energy - chemical, agricultural products, equity index, and precious metals sectors are shown. For instance, in the black sector, the momentum time - series factor is 1.46, and the position volume factor is 0.33 [5] 2. Strategy Net Value and Signal Analysis - Methanol: Last week, the demand factor of the strategy net value increased by 0.20%, the spread factor decreased by 0.15%, and this week's comprehensive signal is long. Fundamental factors show that the arrival volume of imported methanol signals long on the supply side, the raw material procurement volume of methanol - to - olefin enterprises signals long on the demand side, the port inventory signals long on the inventory side, and the methanol 5 - 9 spread signals short but with a low contribution, making the spread side neutral - short [7] - Float Glass: Last week, the supply factor of the strategy net value weakened by 0.30%, the demand factor decreased by 0.28%, the inventory factor decreased by 0.17%, and the synthetic factor weakened by 0.36%. This week's comprehensive signal is short. Fundamental factors indicate that the weekly output of float glass enterprises is flat, making the supply side neutral; the sales volume of commercial housing in 30 large - and medium - sized Chinese cities decreased, making the demand side turn short; the inventory of float glass enterprises is high, making the inventory side short; the Guangzhou - Wuhan regional spread signals short, while the Wuhan - Shahe regional spread signals long, with similar contributions [8] - Iron Ore: Last week, the supply and spread factors of the strategy net value remained unchanged, the iron ore factor increased by 2.51%, and the synthetic factor increased by 0.79%. This week's comprehensive signal turns long. Fundamental factors show that the cumulative year - on - year increase in iron ore production signals long on the supply side; the global output of WSA crude steel has rebounded this month, signaling long on the demand side; the inventory of iron ore concentrates in 45 ports has decreased this week, keeping the inventory side short; the price of Atlas iron powder for sale at Rizhao Port has rebounded, making the spread side turn neutral [8] - Lead: Last week, the supply factor of the strategy net value strengthened by 0.65%, the demand factor strengthened by 0.63%, the inventory factor strengthened by 0.70%, the spread factor remained unchanged, and the synthetic factor strengthened by 0.47%. This week's comprehensive signal remains short. Fundamental factors indicate that the price of SMM domestic lead concentrates has rebounded, making the supply side turn neutral - long; the export volume of Chinese lead alloys in April has decreased compared to March, keeping the demand side short; the registered lead warrants at the LME have rebounded, making the inventory side turn neutral - short; the processing fee of SMM domestic lead concentrates has continued to decline, making the spread side turn short [11]