Group 1: Overall Market Conditions - The proportion of long positions in commodities has rebounded, with the precious metals and energy sectors rising, and the non - ferrous sector slightly falling. Currently, the relatively strong sectors are agriculture and energy, while the non - ferrous sector is relatively weak [2] Group 2: Sector - Specific Analysis Precious Metals - The time - series momentum of gold has significantly rebounded, and the trading volume of Shanghai silver has slightly increased, with a significant repair of short - cycle momentum [2] Non - Ferrous Metals - The overall trading volume in the non - ferrous sector has decreased, and the cross - sectional divergence has narrowed. Except for copper, varieties such as zinc and nickel have declined [2] Black Metals - The divergence in the term structure of the black sector has narrowed. The position factors of iron ore and rebar have weakened marginally, and volatility has decreased [2] Energy and Chemicals - The short - cycle momentum of the energy and chemical sector has rebounded as a whole, but the trading volume has not increased significantly [2] Agricultural Products - The trading volume of oils has slightly rebounded. Palm oil remains relatively strong in the cross - section of the term structure, with a signal to go long on the oil - meal ratio [2] Group 3: Factor Analysis Factor Returns - Last week, the supply factor increased by 0.04%, the demand factor decreased by 0.45%, the inventory factor decreased by 0.44%, the spread factor increased by 0.04%, and the synthetic factor decreased by 0.55%. This week, the comprehensive signal is long [2] Fundamental Factors - For methanol, the import volume has slightly decreased, the domestic plant operating rate has slightly increased, and the supply side remains neutral; the device loads of methanol - to - olefins and acetic acid have increased, and the demand side has turned long; the inventory in inland areas and ports has continued to increase, and the inventory side is slightly bearish; the futures and spot prices of methanol have risen significantly, and the spread side is long [2] Group 4: Commodity - Specific Analysis Glass - Last week, the inventory factor weakened by 0.42%, and the synthetic factor decreased by 0.32%. This week, the comprehensive signal is long. The supply side is long, the demand side is slightly bearish, the inventory side has weakened to neutral, and the spread side is slightly long [3] Iron Ore - Last week, the supply factor remained unchanged, the inventory factor weakened by 0.02%, the spread factor strengthened by 0.01%, and the synthetic factor weakened by 0.01%. This week, the comprehensive signal has turned bearish. The supply side has turned bearish, the demand side remains neutral, the inventory side has turned bearish, and the spread side remains neutral [3] Shanghai Lead - Last week, the supply factor weakened by 0.39%, the demand factor remained unchanged, the inventory factor weakened by 0.19%, the spread factor weakened by 0.28%, and the synthetic factor weakened by 0.22%. This week, the comprehensive signal remains bearish. The supply side remains bearish, the demand side remains neutral, the inventory side has turned bearish, and the spread side remains bearish [3]
商品量化CTA周度跟踪-20250617
Guo Tou Qi Huo·2025-06-17 11:43