农产品板块内部分化扩大：商品量化CTA周度跟踪-20251216

Report Summary 1. Core View - The proportion of long and short positions in commodities remained basically unchanged this week. The factor strength of precious metals remained high, while that of non - ferrous and agricultural products decreased. The precious metals sector was relatively strong, and the agricultural and chemical sectors were relatively weak. The internal differentiation of the agricultural products sector widened [2]. - For different commodities, the performance of various factors and comprehensive signals varied. For example, in methanol, the demand factor weakened, the inventory factor increased, and the synthetic factor strengthened, with a bullish comprehensive signal this week. In iron ore, the comprehensive signal changed from bearish to neutral, and different fundamental factors had different trends [4][13]. 2. Industry Investment Rating No information about industry investment rating is provided in the report. 3. Summary by Commodity Methanol - Strategy Net Value: The demand factor weakened by 0.07%, the inventory factor increased by 0.12%, and the synthetic factor strengthened by 0.05%. The comprehensive signal this week was bullish. - Fundamental Factors: The arrival volume of imported methanol decreased, with a slightly bullish supply; the capacity utilization rate of methanol - to - olefin enterprises decreased, and the acetic acid device operation increased, with a neutral demand; methanol ports and inland areas both destocked last week, with a bullish inventory; the bullish strength of the methanol regional spread factor weakened, with a neutral spread [4]. Iron Ore - Strategy Net Value: The supply factor decreased by 0.08%, the inventory factor increased by 0.67%, and the comprehensive factor strengthened by 0.2%. The comprehensive signal changed from bearish to neutral this week. - Fundamental Factors: Shipments from BHP and Vale increased, and the arrival volume at northern ports rose, with a weakening bullish feedback on the supply side and a neutral signal; the consumption of sintering ore powder by steel mills and the daily port clearance volume both increased slightly, with an enhanced bullish feedback on the demand side and a bullish signal; the inventory of sintering ore powder in steel mills accumulated, and the average available days of imported iron ore increased, with an enhanced bearish signal on the inventory side; the freight rate decreased, and the spot price center moved down, with an enhanced bearish feedback on the spread side and a neutral signal [10][13]. Aluminum - Strategy Net Value: The demand factor strengthened by 0.38, the inventory factor decreased by 0.13%, the spread factor strengthened by 0.45%, and the synthetic factor increased by 0.18%. The comprehensive signal remained bearish this week. - Fundamental Factors: The spot price of silver increased, and the supply - side signal changed from neutral to bearish; the LME lead and SHFE warehouse receipts both accumulated, with an enhanced bearish feedback on the inventory side and a neutral signal; the lead refined - scrap price spread narrowed, and the bearish signal strength of the spread side weakened [13]. Float Glass - Strategy Net Value: The supply factor decreased by 0.46%, the demand factor weakened by 0.49%, the profit factor strengthened by 1.07%, and the synthetic factor decreased by 0.32%. The comprehensive signal was bearish this week. - Fundamental Factors: The operating rate of float glass enterprises remained the same as last week, with a neutral supply; the inventory of glass production enterprises continued to decrease, with an increased bullish strength on the inventory side; the spot price of Hubei glass released a bearish signal, with a bearish spread; the daily after - tax gross profit loss of pipeline - gas - made float glass intensified, with a continued bearish profit [15]. 4. Factor Performance and Returns Overall Factor Returns | Factor | Last Week's Return (%) | This Month's Return (%) | | --- | --- | --- | | Supply | 0.00 (in some cases - 0.46, - 0.08) | Ranging from - 0.36 to 0.56 | | Demand | - 0.07 (in some cases - 0.49) | Ranging from - 0.88 to 1.25 | | Inventory | 0.12 (in some cases 0.00, 0.67) | Ranging from - 0.21 to 1.45 | | Spread | 0.00 | Ranging from - 0.26 to 0.82 | | Profit | 1.07 | 1.82 | | Grand Total | 0.05 (in some cases - 0.32, 0.20) | Ranging from - 0.36 to 0.72 |[3][7][10] Factor Performance by Sector | Sector | Momentum Time - Series | Momentum Cross - Section | Term Structure | Position Volume | | --- | --- | --- | --- | --- | | Black | 0 | 0.09 | 0 | - 0.08 | | Non - ferrous | 0.05 | - 0.21 | 0.52 | 1.13 | | Energy and Chemical | - 0.02 | 0.18 | 0.37 | 0.69 | | Agricultural Products | 0.13 | 0.35 | 0.41 | - 0.19 | | Stock Index | - 0.71 | 0.46 | - 0.63 | 1.06 | | Precious Metals | 0.12 | | | 0.88 |[5]