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商品量化CTA周度跟踪-20250826
Guo Tou Qi Huo·2025-08-26 14:23

Report Overview - Report Title: Commodity Quantitative CTA Weekly Tracking [1] - Report Author: Research and Development Department of Guotou Futures, Financial Engineering Group [2] - Report Date: August 26, 2025 [2] Investment Rating - No investment rating information is provided in the report. Core Viewpoint - The proportion of long positions in commodities increased this week, with concentrated changes at both ends of the sectors. The factor intensity of the black sector significantly rebounded, and the internal differentiation of the agricultural and energy-chemical sectors continued to widen. Currently, the relatively strong sectors in cross-section are chemicals and black, while the relatively weak sector is energy. [3] Summary by Commodity Sector Overall Market Conditions - Gold's time-series momentum stabilized, but the internal differences in the precious metals sector continued to expand, with silver outperforming gold. - The position factor of the non-ferrous sector marginally rebounded, and the cross-sectional differentiation narrowed. - In the black sector, the momentum factor marginally rebounded, and iron ore was stronger than rebar in the term structure. - The cross-sectional momentum of the energy-chemical sector was differentiated, with chemicals at the stronger end and energy at the weaker end. - In the agricultural sector, the positions of oilseeds and meals both rebounded, and the short-term momentum of palm oil recovered. [3] Sector-specific Performance | Sector | Momentum Time-series | Momentum Cross-section | Term Structure | Position | | --- | --- | --- | --- | --- | | Black | 0.21 | -0.29 | 0.85 | 1.25 | | Non-ferrous | 0.06 | 0.93 | -2.2 | -0.64 | | Energy-chemical | -0.37 | 0.57 | 0.02 | 0.16 | | Agricultural | 0.75 | -0.67 | 0.93 | 1.37 | | Stock Index | 0.31 | -0.1 | -0.32 | 0.48 | | Precious Metals | 0 | - | - | -0.15 | [3] Summary by Strategy and Fundamental Factors Methanol - Strategy Net Value: Last week, the supply factor decreased by 0.22%, the inventory factor decreased by 0.18%, and the synthetic factor weakened by 0.11%. This week, the comprehensive signal is short. - Fundamental Factors: The arrival volume of imported methanol decreased month-on-month, weakening the short strength on the supply side and turning it neutral; the operating rates of traditional downstream formaldehyde and acetic acid plants both decreased, making the demand side neutral to bearish; port inventories continued to increase, and the inventory side remained bearish; the spot prices of methanol in Shanxi and southern Shandong released bullish signals, but the factor contribution was not high, and the spread side was neutral to bullish. [3] Glass - Strategy Net Value: Last week, the inventory factor increased by 0.55%, the spread factor weakened by 0.10%, the profit factor decreased by 0.11%, and the synthetic factor strengthened by 0.26%. This week, the comprehensive signal is long. - Fundamental Factors: The number of commercial housing transactions in third-tier cities released a bearish signal, but the factor intensity was not high, making the demand side neutral; the inventory of Chinese float glass enterprises slightly increased, making the inventory side neutral; the profit loss of pipeline gas-made float glass slightly narrowed, making the profit side neutral; the spot price of float glass in the Hubei market released a bullish signal, making the spread side bullish. [5] Iron Ore - Strategy Net Value: Last week, the supply factor weakened by 0.03%, the inventory factor increased by 0.22%, the spread factor decreased by 0.2%, and the synthetic factor weakened by 0.03%. This week, the comprehensive signal turned long. - Fundamental Factors: The arrival volume of iron ore at northern ports significantly decreased, turning the supply-side signal to bullish; the daily average port clearance volume decreased, and the consumption of imported sintering ore powder by steel mills slightly declined, turning the demand side to bearish feedback, but the signal remained neutral; the average available days of imported iron ore for steel mills decreased, and the inventory accumulation speed of major ports slowed down, weakening the bearish feedback on the inventory side and turning the signal to neutral; the freight rate from Tubarao, Brazil, to Qingdao decreased, and the spread-side signal remained bullish, but the intensity slightly weakened. [7] Lead - Strategy Net Value: Last week, the supply factor strengthened by 0.07%, the spread factor decreased by 0.06%, and the synthetic factor remained the same as last week. This week, the comprehensive signal turned long. - Fundamental Factors: The loss of SMM recycled lead widened, and the price of domestic lead concentrate declined, turning the supply-side signal to neutral; both LME lead inventory and SHFE warehouse receipts showed a de-stocking trend last week, turning the inventory-side signal to bullish; the average price of SMM lead ingots and the spot price of silver declined, weakening the bullish feedback on the spread side and turning the signal to neutral. [7]