商品量化CTA周度跟踪-20250513

Report Summary 1. Report Industry Investment Rating - No information provided on the industry investment rating [1][2] 2. Core Viewpoints - The proportion of commodity short positions increased slightly, with the chemical sector rising, but the factor strength of precious metals and agricultural products decreased compared to last week. The relatively strong sectors in cross - section are non - ferrous and chemical, while the relatively weak one is the black sector [3] 3. Summary by Related Content Commodity Overall Situation - Gold's time - series momentum declined, and the trading volume of Shanghai Gold decreased marginally, while silver changed relatively little. The non - ferrous sector showed some divergence in trading volume but significant cross - sectional differentiation, with copper and tin being relatively strong. In the black sector, the divergence of term structure narrowed, the trading volume factor of iron ore declined, and the momentum factor had poor continuity. In the energy and chemical sector, the cross - sectional momentum of chemicals was still higher than that of energy products. For agricultural products, the trading volume of oil and meal decreased marginally, but soft commodities increased slightly [3] Strategy Net Value and Signal Analysis - Methanol: Last week, the supply factor strengthened by 0.19%, and the inventory factor declined by 0.18%. This week, the comprehensive signal is long. Fundamentally, the methanol import volume gives a long signal on the supply side; the capacity utilization rates of glacial acetic acid, formaldehyde, and methanol - to - olefin plants decreased, making the demand side neutral to bearish; the port continued to accumulate inventory, making the inventory side neutral to bearish; the East China basis of methanol and the 9 - 1 spread give long signals, making the spread side neutral to bullish [5] - Float Glass: Last week, the inventory factor decreased by 0.17%, and the synthetic factor weakened by 0.13%. This week, the comprehensive signal is neutral. Fundamentally, the operating rate of float glass enterprises changed little month - on - month, keeping the supply side neutral; the transaction area of commercial housing in third - tier cities gave a short signal with a low contribution, making the demand side neutral; the weekly enterprise inventory of Chinese float glass increased, changing the inventory side from long to neutral; the main continuous basis factor continuously gave short signals with low strength, and the spread side remained neutral [7] - Iron Ore: Last week, the supply weakened by 0.36%, the inventory factor and spread factor remained unchanged, and the synthetic factor weakened by 0.07%. This week, the comprehensive signal remains long. The arrival volume of Rizhao Port iron ore increased compared to last week, keeping the supply side signal long. The monthly output of WSA blast furnace pig iron in China decreased compared to last month, changing the demand side signal to neutral. The inventory of 45 ports of iron ore concentrate increased this week, keeping the inventory side neutral. The price of Atlas iron powder for sale at Rizhao Port increased, changing the spread side signal to long [8][9] - Aluminum: Last week, the supply factor strengthened by 0.22%, the demand factor strengthened by 0.20%, the inventory factor strengthened by 0.23%, the spread factor strengthened by 0.19%, and the synthetic factor strengthened by 0.21%. This week, the comprehensive signal remains short. The processing fee of domestic lead concentrates continued to decline, keeping the supply side signal short. The export volume of Chinese starting lead - acid batteries in May decreased compared to April, changing the demand side signal to neutral. The LME lead inventory continued to decline, keeping the inventory side short. The 0 - 1 spread continued to decline, changing the spread side signal to neutral [9] Performance Data | Category | Last Week's Return (%) | Current Month's Return (%) | | --- | --- | --- | | Supply | 0.19 | - 0.14 | | Demand | 0.00 | - 0.62 | | Inventory | - 0.18 | 1.00 | | Spread | 0.00 | - 0.15 | | Aggregate of Major Categories | 0.00 | - 0.41 | [4]