对近期重要经济金融新闻、行业事件、公司公告等进行点评：晨会纪要-20260109

Group 1: Core Insights - The report emphasizes the classification of factors in commodity futures into six categories, including momentum, term structure, volume-price, positions, inventory, and volatility, forming a comprehensive analysis framework from market sentiment to fundamental supply-demand dynamics [2]. - The empirical results indicate that the term structure factor, particularly the roll yield, is the most robust predictor of alpha returns, while the inventory factor shows significant potential as a contrarian indicator, especially in extreme supply-demand conditions [3][4]. - The report highlights the frequency dependence of factor effectiveness, suggesting that different strategies should be employed based on the time dimension, with specific combinations of factors recommended for monthly and weekly strategies [5]. Group 2: Factor Selection - For monthly strategies, effective combinations include roll yield, contrarian inventory levels, and liquidity factors, along with some effective momentum factors [5]. - Weekly strategies should focus on roll yield and contrarian inventory levels as core components, supplemented by skewness and volatility estimation factors [5]. - The report notes that all momentum factors become ineffective at the weekly frequency, underscoring the necessity of dynamically adjusting the factor library based on trading frequency [5].