商品量化CTA周度跟踪-20250527

Report Summary 1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints - The proportion of short positions in commodities has slightly increased, with a significant decline in the black sector. Currently, the relatively strong sectors in cross - section are precious metals and soft commodities, while the relatively weak one is the black sector [3]. - In terms of strategy net worth, different commodities have different factor performance and comprehensive signals. For example, methanol's comprehensive signal is long this week, while glass, iron ore, and lead's comprehensive signals are neutral [5][8][10]. 3. Summary by Commodity Commodity Overview - The momentum of the black sector continues to decline. Gold's time - series momentum stabilizes, and the trading volume of Shanghai Gold marginally rebounds. The non - ferrous sector shows some divergence in trading volume, with copper being relatively strong and zinc relatively weak. In the energy and chemical sector, the cross - sectional momentum of chemicals is still higher than that of energy products. In the agricultural products sector, the trading volume of oilseeds and meals remains low, and soft commodities are relatively strong in the term structure [3]. Methanol - Strategy net worth: Last week, the supply factor weakened by 0.38%, the demand factor strengthened by 0.52%, and the synthetic factor increased by 0.04%. This week, the comprehensive signal is long [5]. - Fundamental factors: The domestic capacity utilization rate of methanol has decreased, but imports have increased. The supply - side long - strength has weakened. The operating load of methanol - to - olefins plants has increased, and the demand - side has changed from short to neutral. The inventory in inland and ports is lower year - on - year, and the inventory - side is long. The import profit of methanol and the regional price difference factor between Inner Mongolia and Shandong have released long signals, and the price - difference side is neutral to long [5]. Float Glass - Strategy net worth: Last week, the inventory factor strengthened by 0.10%, and the synthetic factor increased by 0.07%. This week, the comprehensive signal is neutral [8]. - Fundamental factors: The operating rate of float glass enterprises has increased slightly month - on - month, and the supply - side remains neutral. The number of commercial housing transactions in 30 large - and medium - sized Chinese cities has increased, and the demand - side is neutral to long. The weekly enterprise inventory of Chinese float glass has changed from inventory accumulation to slight inventory reduction, and the inventory - side has changed from short to neutral. The profit of float glass made from pipeline gas and steam coal has slightly declined, and the profit - side remains neutral. The main - continuous basis - Wuhan Changli has released a short signal, but the contribution of this factor is low, and the price - difference side is neutral [8]. Iron Ore - Strategy net worth: Last week, the supply factor strengthened by 0.13%, the inventory factor remained unchanged, the price - difference factor weakened by 0.07%, and the synthetic factor weakened by 0.01%. This week, the comprehensive signal has changed to neutral [10]. - Fundamental factors: The arrival volume of iron ore at Rizhao Port has increased compared with last week, and the supply - side signal has changed to long. The output of WSA blast - furnace pig iron in China this month has continued to decline compared with last month, and the demand - side signal remains short. The inventory of iron ore concentrates in 45 ports has declined, and the inventory - side remains neutral. The price of Atlas iron powder for sale at Rizhao Port has continued to rise, and the price - difference side signal remains neutral [10]. Lead - Strategy net worth: Last week, the supply factor strengthened by 0.02%, the demand factor remained unchanged, the inventory factor strengthened by 0.03%, the price - difference factor strengthened by 0.01%, and the synthetic factor strengthened by 0.02%. This week, the comprehensive signal remains neutral [10]. - Fundamental factors: The domestic lead concentrate processing fee of SMM has continued to decline, and the supply - side signal remains short. The export volume of Chinese lead alloys in May has continued to decrease compared with April, and the demand - side signal remains neutral. The lead inventory in the London Metal Exchange has continued to rise, and the inventory - side has changed to long. The profit of SMM recycled lead has continued to rise, and the price - difference side signal has changed to neutral [10].