商品量化CTA周度跟踪-20250520

Report Industry Investment Rating - Not provided in the content Core Viewpoints - The proportion of short positions in commodities increased slightly. The chemical sector rebounded slightly, while the black and non - ferrous sectors declined. Currently, the relatively strong sectors in cross - section are chemicals and precious metals, and the relatively weak one is the black sector [2]. - In terms of strategy net worth, for methanol, the supply factor strengthened by 0.02% last week, the synthetic factor decreased by 0.11%, and this week's comprehensive signal is neutral. For float glass, the inventory factor strengthened by 0.15% last week, the synthetic factor increased by 0.11%, and this week's comprehensive signal is short. For iron ore, the supply factor strengthened by 0.80% last week, the inventory factor remained unchanged, the spread factor strengthened by 0.91%, the synthetic factor strengthened by 0.60%, and this week's comprehensive signal turned short. For lead, the supply factor weakened by 0.16% last week, the demand factor weakened by 0.21%, the inventory factor weakened by 0.16%, the spread factor weakened by 0.21%, the synthetic factor weakened by 0.19%, and this week's comprehensive signal remains short [2][4]. Summary by Related Content Commodity Market Conditions - Precious metals: Gold's time - series momentum stabilized, and the trading volume of Shanghai gold increased marginally. Silver changed relatively little [2]. - Non - ferrous metals: There were certain differences in trading volume, but the cross - section showed significant differentiation, with copper being relatively strong [2]. - Black metals: The differentiation of term structure narrowed, the trading volume factors of iron ore and rebar declined, and the long - term momentum factor decreased [2]. - Energy and chemicals: The cross - section momentum of chemicals in the energy - chemical sector was still higher than that of energy products [2]. - Agricultural products: The trading volume of oilseeds and meals remained at a low level, and soft commodities were relatively strong in the term - structure cross - section [2]. Factor Signals and Fundamentals Methanol - Strategy net worth: Last week, the supply factor strengthened by 0.02%, the synthetic factor decreased by 0.11%, and this week's comprehensive signal is neutral [2]. - Fundamental factors: The domestic capacity utilization rate and import volume of methanol both decreased, and the supply side is bullish [2]. Float Glass - Strategy net worth: Last week, the inventory factor strengthened by 0.15%, the synthetic factor increased by 0.11%, and this week's comprehensive signal is short [4]. - Fundamental factors: The operating rate of float - glass enterprises increased slightly, the supply side is neutral; the number of commercial - housing transactions in third - tier cities increased significantly, but the contribution of this factor is low, and the demand side remains neutral; the weekly enterprise inventory of Chinese float glass continued to increase slightly, and the inventory side continues to be short; the profits of float glass made from pipeline gas and steam - coal declined, and the profit side is slightly bearish [4]. Iron Ore - Strategy net worth: Last week, the supply factor strengthened by 0.80%, the inventory factor remained unchanged, the spread factor strengthened by 0.91%, the synthetic factor strengthened by 0.60%, and this week's comprehensive signal turned short [4]. - Fundamental factors: The arrival volume at Rizhao Port decreased compared with last week, and the supply - side signal turned short; the domestic production of blast - furnace pig iron continued to decline this month compared with last month, and the demand - side signal turned short; the inventory of iron concentrate powder at 45 ports continued to rise, and the inventory side remained neutral; the price of Atlas iron powder sold at Rizhao Port continued to rise, and the spread - side signal turned neutral [4]. Lead - Strategy net worth: Last week, the supply factor weakened by 0.16%, the demand factor weakened by 0.21%, the inventory factor weakened by 0.16%, the spread factor weakened by 0.21%, the synthetic factor weakened by 0.19%, and this week's comprehensive signal remains short [4]. - Fundamental factors: The domestic lead - concentrate processing fee continued to decline, and the supply - side signal remains short; the export volume of Chinese starting - type lead - acid batteries in May continued to decrease compared with April, and the demand - side signal remains neutral; the cancelled warrants of lead at the LME continued to rise, and the inventory side remains short; the profit of recycled lead increased, and the spread - side signal turned bullish [4].