商品量化CTA周度跟踪：有色板块截面动量反转-20251230

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - This week, the long - short ratio of commodities has changed little. The factor strength of the non - ferrous and precious metals sectors has declined slightly, while that of the agricultural products sector has risen slightly. The cross - sectionally strong sectors are non - ferrous and black, and the weak one is agricultural products. [3] - In terms of strategy net worth, the supply factor strengthened by 0.02% last week, the demand factor weakened by 0.03%, the inventory factor increased by 0.05%, and the synthetic factor increased by 0.04%. This week, the comprehensive signal is long. [5] 3. Summary by Relevant Catalogs 3.1 Commodity Sector Analysis - Non - ferrous and Precious Metals: The short - cycle momentum of the non - ferrous sector continues to rise, with a certain reversal in the term structure. The positions of silver have decreased marginally. Gold's time - series momentum has increased slightly. [3] - Black Sector: The time - series momentum of the black sector shows a marginal increase, the cross - sectional differentiation has narrowed, and the positions of coking coal and coke are still at a high level. [3] - Energy and Chemical Sector: The short - cycle momentum factor of the energy and chemical sector has recovered, and soda ash is at the cross - sectional short end. [3] - Agricultural Products Sector: The cross - sectional differentiation of oilseeds and meals has narrowed, the overall time - series momentum has recovered, but the positions have not changed significantly. [3] 3.2 Factor Performance and Signal Analysis - Factor Performance: Last week, the supply factor strengthened by 0.02%, the demand factor weakened by 0.03%, the inventory factor increased by 0.05%, and the synthetic factor increased by 0.04%. In the fundamentals, the arrival volume of imported methanol increased, the long - strength of the supply side weakened and turned neutral; the capacity utilization rate of the glacial acetic acid industry increased, the demand side was long; the inventory of methanol in East China ports released a long signal, but the strength weakened; the spot prices of methanol in the inland and coastal areas were differentiated, and the spread side was neutral. [5] - Comprehensive Signals: Different commodities have different comprehensive signals. For example, for methanol, this week's comprehensive signal is long; for iron ore, this week's comprehensive signal turns long; for Shanghai aluminum, this week's comprehensive signal turns from long to short; for float glass, this week's comprehensive signal is long. [5][13][15] 3.3 Specific Commodity Analysis - Methanol: The arrival volume of imported methanol has increased, the long - strength of the supply side has weakened and turned neutral. The capacity utilization rate of the glacial acetic acid industry has increased, the demand side is long. The inventory of methanol in East China ports has released a long signal, but the strength has weakened. The spot prices of methanol in the inland and coastal areas are differentiated, and the spread side is neutral. [5] - Iron Ore: The shipment volume from BHP has decreased slightly, the port arrival volume has dropped, the supply side has a long feedback, and the signal remains neutral. The blast furnace operating rate of steel enterprises continues to decline, but the decline rate has narrowed, the demand - side long feedback continues to weaken, and the signal remains neutral. The average available days of imported iron ore for steel mills have decreased, the inventory of domestic sintering ore powder continues to be destocked, the inventory side has a long feedback, and the signal remains neutral. The spot price center has risen, and the spread side signal turns long. [13] - Shanghai Aluminum: SMM's recycled lead losses have narrowed, the price of imported lead concentrate has increased, and the supply - side signal has changed from neutral to short. LME lead inventory has been destocked, and the long - signal strength on the inventory side has increased. The spread between the near and far months of LME lead has narrowed, the long feedback on the spread side has weakened, and the signal has changed from long to neutral. [13] - Float Glass: The operating rate of float glass enterprises has decreased slightly month - on - month, and the supply side has turned long. The transaction volume of commercial housing in first - and second - tier cities has increased, and the demand side is long. Float glass enterprises in Shandong and Guangdong have slightly destocked, and the inventory side continues to be long. The daily after - tax gross profit of float glass made from pipeline gas continues to be in a loss, and the profit side continues to be short. [15]