有色截面动量分化：商品量化CTA周度跟踪-20251223

Report Overview - The report is titled "Commodity Quantitative CTA Weekly Tracking" by Guotou Futures Research Institute's Financial Engineering Group, dated December 23, 2025 [1][2] Industry Investment Rating - Not provided in the given content Core Viewpoints - This week, the proportion of long positions in commodities increased slightly, with the factor strength of precious metals remaining high and that of the agricultural products sector decreasing slightly. The precious metals and non - ferrous metals sectors are relatively strong in the cross - section, while the agricultural products sector is relatively weak [3] Summary by Commodity Category Overall Commodity Situation - The proportion of long positions in commodities increased slightly this week. Precious metals factor strength remained high, and the agricultural products sector decreased slightly. The relatively strong cross - sectional sectors are precious metals and non - ferrous metals, while the agricultural products sector is relatively weak [3] Specific Commodity Analysis Metals - Precious Metals: The time - series momentum of gold increased slightly, and the marginal increase in silver's trading volume was greater, remaining in a relatively strong range. The divergence at both ends of the cross - section widened [3] - Non - Ferrous Metals: The short - cycle momentum of the non - ferrous metals sector rebounded, the divergence of the term structure narrowed, and both copper and tin were relatively strong in the cross - section [3] - Black Metals: The time - series momentum showed a marginal decline. The trading volumes of iron ore and rebar remained neutral, while those of coking coal and coke remained at a high level [3] Energy and Chemicals - The short - cycle momentum factor of the energy and chemicals sector rebounded, and soda ash was at the short end of the cross - section [3] Agricultural Products - The cross - sectional divergence of oilseeds and meals narrowed. Although the downward trend at the time - series momentum level weakened marginally, the trading volume was at a recent low [3] Strategy Net Worth and Fundamental Factors Methanol - Last week, the inventory factor weakened by 0.02%, and the synthetic factor decreased by 0.02%. This week, the comprehensive signal is long. On the fundamental factors, import methanol arrivals and domestic road freight prices sent long signals on the supply side; the raw material procurement volume of domestic methanol - to - olefins enterprises decreased, sending a short signal on the demand side; methanol ports continued to destock last week, and the long signal on the inventory side continued; the spot price of inland methanol fell, while that of port methanol was relatively strong, and the spread side was neutral [5] Float Glass - Last week, the supply factor increased by 1.51%, the demand factor strengthened by 1.62%, the inventory factor weakened by 0.13%, the spread factor increased by 0.29%, and the profit factor strengthened by 0.21%. The synthetic factor increased by 1.38%. This week, the comprehensive signal is short. On the fundamental factors, the start - up of float glass enterprises was flat month - on - month, the supply side was neutral; the number of second - tier city commercial housing transactions increased, the demand side was slightly long; float glass enterprises in Hebei and Hubei slightly accumulated inventory, the long strength on the inventory side weakened and turned neutral; the daily after - tax gross profit loss of pipeline - gas - made float glass increased, and the short signal on the profit side continued [8] Iron Ore - Last week, the inventory factor decreased by 0.59%, and the comprehensive factor weakened by 0.19%. This week, the comprehensive signal remained neutral. The supply side turned to a short feedback but the signal remained neutral; the demand side's long feedback weakened and the signal turned neutral; the inventory side's signal changed from short to neutral; the short feedback on the spread side weakened slightly and the signal remained neutral [10] Aluminum - Last week, the supply factor increased by 0.6%, the demand factor strengthened by 0.56%, the spread factor increased by 0.51%, and the synthetic factor strengthened by 0.42%. This week, the comprehensive signal changed from short to long. The supply side signal changed from short to neutral; the inventory side signal changed from neutral to long; the spread side signal changed from short to long [10]