黑色板块短周期动量下降：商品量化CTA周度跟踪-20251209

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints of the Report - This week, the proportion of long positions in commodities decreased slightly. The factor intensity of the black and chemical sectors declined, while the non - ferrous sector increased slightly. The cross - sectionally stronger sector is non - ferrous, and the weaker ones are chemicals and agricultural products. The overall signal for commodities this week is a combination of long and short positions in different sectors and factors [3]. 3. Summary by Related Catalogs Commodity Overall Situation - The proportion of long positions in commodities decreased slightly this week. The factor intensity of the black and chemical sectors declined, and the non - ferrous sector increased slightly. The cross - sectionally stronger sector is non - ferrous, and the weaker ones are chemicals and agricultural products [3]. Specific Sector Analysis Non - ferrous Metals - Gold's time - series momentum declined, silver's trading volume remained at a high level, and the cross - sectional divergence widened. The short - term momentum of the non - ferrous sector increased marginally, the cross - sectional momentum divergence narrowed, and copper and zinc were strong while tin was weak in the cross - section [3]. Black Metals - The term structure showed narrowing divergence. The trading volumes of coking coal and coke remained at low levels, and the short - term momentum of iron ore reversed and declined [3]. Energy and Chemicals - The long - term momentum factor declined, and ethylene glycol was at the short end of the cross - section [3]. Agricultural Products - The cross - sectional divergence of oilseeds and meals narrowed, and the trading volume of soybean oil decreased marginally [3]. Strategy Net Worth and Fundamental Factors Commodities - The demand factor weakened by 0.01%, the inventory factor increased by 0.36%, the synthetic factor strengthened by 0.01%, and the comprehensive signal this week was short. For methanol, the domestic production capacity utilization rate was flat, the demand side's long - position strength weakened to neutral, the inventory side signaled short - positions, and the spread side was slightly long [3]. Float Glass - Last week, the inventory factor decreased by 0.39%, the profit factor strengthened by 0.74%, and this week's comprehensive signal was long. The supply, demand, and inventory sides signaled long - positions, the spread side was neutral, and the profit side continued to signal short - positions [9]. Iron Ore - Last week, the supply factor decreased by 0.22%, the comprehensive factor weakened by 0.04%, and this week's comprehensive signal changed from long to short. The supply, demand, inventory, and spread sides all had changes in their signals, with the overall trend turning bearish [11]. Lead - Last week, the supply factor increased by 0.02%, the demand factor weakened by 0.46%, the inventory factor decreased by 0.5%, the spread factor weakened by 0.33%, the synthetic factor decreased by 0.32%, and this week's comprehensive signal remained short. The supply side's long - position feedback further weakened, the inventory side's short - position feedback weakened, and the spread side's short - position signal intensity increased [11].