商品量化CTA周度跟踪：有色截面动量分化-20251223

Report Overview - Report Title: Commodity Quantitative CTA Weekly Tracking [1] - Report Date: December 23, 2025 [2] - Research Team: Guotou Futures Research Institute, Financial Engineering Group [2] Industry Investment Rating - No industry investment rating information is provided in the report. Core Viewpoints - The proportion of long positions in commodities increased slightly this week. The factor strength of precious metals remained high, while that of the agricultural products sector decreased slightly. The precious metals and non - ferrous sectors were relatively strong in cross - section, the black and energy sectors were above the neutral range, and the agricultural products sector was relatively weak [3]. - In the methanol strategy, the inventory factor weakened by 0.02% last week, the synthetic factor declined by 0.02%, and the comprehensive signal this week is long. In the float glass strategy, the synthetic factor increased by 1.38% last week, and the comprehensive signal this week is short. In the iron ore strategy, the comprehensive factor weakened by 0.19% last week, and the comprehensive signal this week remains neutral. In the lead strategy, the synthetic factor strengthened by 0.42% last week, and the comprehensive signal this week changed from short to long [5][8][10] Section Summaries Commodity Market Overview - The proportion of long positions in commodities increased slightly this week. Precious metals and non - ferrous sectors were strong in cross - section, agricultural products were weak. Gold's time - series momentum rose slightly, silver's position increased more marginally. In the non - ferrous sector, short - cycle momentum recovered, and the term structure differentiation narrowed. In the black sector, time - series momentum showed a marginal decline. In the energy and chemical sector, short - cycle momentum factors recovered. In the agricultural products sector, the cross - section differentiation of oilseeds and meals narrowed [3] Performance of Different Factors - Methanol: Last week, the inventory factor weakened by 0.02%, the synthetic factor declined by 0.02%. The import methanol arrival volume and domestic road transport prices sent long signals on the supply side; the raw material procurement volume of domestic methanol - to - olefins enterprises decreased on the demand side; the methanol port continued to destock on the inventory side; the domestic methanol spot price fell while the port price was strong on the spread side [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%, the profit factor strengthened by 0.21%, and the synthetic factor increased by 1.38%. The supply side is neutral, the demand side is slightly long, the inventory side turns neutral, and the profit side remains short [8] - Iron Ore: Last week, the inventory factor declined by 0.59%, and the comprehensive factor weakened by 0.19%. The supply side turns to short feedback but the signal remains neutral, the demand side's long feedback weakens and turns to neutral, the inventory side's signal turns from short to neutral, and the spread side's short feedback weakens slightly and the signal remains neutral [10] - Lead: 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%. The supply side signal turns from short to neutral, the inventory side signal turns from neutral to long, and the spread side signal turns from short to long [10] Data Tables - Commodity Factors Performance Table: It shows the last week's and current month's returns of supply, demand, inventory, spread, and the cumulative returns of major categories [4] - Factor Index Table for Different Sectors: It presents the time - series momentum, cross - section momentum, term structure, and position volume of black, non - ferrous, energy and chemical, agricultural products, stock index, and precious metals sectors [6]