商品量化CTA周度跟踪-20251014

Report Summary 1. Report Industry Investment Rating - No information provided about the industry investment rating in the report. 2. Core Viewpoints - This week, the proportion of short positions in commodities increased slightly, mainly due to the decline in the factor strength of the black and chemical sectors. Currently, the precious metals sector is relatively strong in cross - section, while the chemical and black sectors are relatively weak [3]. - The comprehensive signals of methanol, float glass, iron ore, and lead are short, neutral, neutral, and short respectively this week, based on the performance of various factors such as supply, demand, inventory, and price difference [5][8][11][18]. 3. Summary by Related Content Commodity Sector Analysis - Precious Metals: Gold's time - series momentum increased marginally, while silver's momentum weakened marginally, and the cross - sectional difference gradually narrowed [3]. - Non - ferrous Metals: The position factor of the non - ferrous metals sector rebounded marginally, and copper was relatively strong in the cross - section [3]. - Black Metals: The long - cycle momentum factors of coking coal and coke declined, and the position of iron ore remained low [3]. - Energy and Chemicals: The cross - sectional momentum differentiation in the energy and chemical sector widened, and ethylene glycol and PTA were relatively weak in the cross - section [3]. - Agricultural Products: The short - cycle momentum factors of soybean oil and palm oil remained low, and the momentum of soybean meal was relatively strong in the cross - section [3]. Strategy Net Value and Fundamental Factors - Methanol: Last week, the supply factor decreased by 0.19%, the demand factor weakened by 0.18%, the inventory factor decreased by 0.37%, the price difference factor strengthened by 0.25%, and the synthetic factor decreased by 0.37%. Fundamentally, the supply side is short, the demand side is short, the inventory side's long - position strength weakens, and the price difference side is neutral to long [4][5]. - Float Glass: Last week, the inventory factor decreased by 0.86%, the price difference factor strengthened by 0.77%, and the synthetic factor weakened by 0.35%. Fundamentally, the supply side is neutral, the inventory side is long, the profit side is short, and the price difference side is short [8]. - Iron Ore: Last week, the supply factor weakened by 0.39%, the inventory factor increased by 0.47%, the price difference factor decreased by 0.31%, and the synthetic factor weakened by 0.08%. Fundamentally, the supply side signal changed from short to neutral, the demand side signal changed from long to neutral, the inventory side signal remained neutral, and the price difference side signal remained neutral [10][11][13]. - Lead: Last week, the supply factor decreased by 0.18%, the demand factor weakened by 0.17%, the inventory factor decreased by 0.13%, the price difference factor weakened by 0.1%, and the synthetic factor decreased by 0.14%. Fundamentally, the supply side signal remains short, the inventory side signal remains short, and the price difference side's short - position feedback weakens but the signal remains short [15][18].