化工板块期限结构分化：商品量化CTA周度跟踪-20260113

Report Overview - Report Title: Commodity Quantitative CTA Weekly Tracking [1] - Research Institution: Guotou Futures Research Institute, Financial Engineering Group - Report Date: January 13, 2026 Industry Investment Rating - Not provided Core Viewpoints - This week, there is little change in the long - short ratio of commodities. The factor strength of the precious metals sector remains high, the energy sector rebounds slightly, and the black and agricultural product sectors decline slightly. The precious metals and non - ferrous sectors are relatively strong in the cross - section, while the black and agricultural product sectors are relatively weak. The comprehensive signal of each variety has different trends, including long, neutral, and short signals [3]. Summary by Related Content 1. Commodity Sector Analysis - Precious Metals: The time - series momentum of gold drops slightly but remains in a relatively strong range, and the trading volume of silver continues to increase marginally [3]. - Non - ferrous Metals: The short - cycle momentum of the non - ferrous sector continues to rise, and the term structure differentiation expands [3]. - Black Metals: The time - series momentum of the black sector drops slightly marginally. The momentum of rebar decreases, while that of coking coal and coke increases [3]. - Energy and Chemicals: The short - cycle momentum cross - section differentiation of the energy and chemical sector expands, and PTA is at the long end of the cross - section. The term structure of the chemical sector shows differentiation [3][2]. - Agricultural Products: Except for corn, the short - cycle momentum of agricultural products drops slightly [3]. 2. Strategy Net Value and Factor Analysis - General Situation: In terms of strategy net value, different factors have different trends. For some varieties, the supply factor, demand factor, inventory factor, and spread factor show different degrees of strength or weakness, and the synthetic factors also have corresponding changes. The comprehensive signals include long, neutral, and short [5][13][15]. - Methanol: The supply factor strengthens by 0.33% last week, the demand factor rises by 0.05%, the inventory factor increases by 0.04%, the spread factor strengthens by 0.32%, and the synthetic factor rises by 0.30%. The comprehensive signal this week is long. The import volume of methanol decreases, the demand is neutral, the inventory releases a long signal, and the spread is neutral to short [5]. - Iron Ore: The supply factor has a 0.00% return last week and 0.39% monthly return, the demand factor is - 0.04% last week and - 0.07% monthly return, the inventory factor is 0.00% last week and 0.97% monthly return, the spread factor is 0.00% last week and 1.79% monthly return, and the synthetic factor is - 0.01% last week and 0.84% monthly return. The comprehensive signal is neutral. The supply is short, the demand is neutral, the inventory is long, and the spread is neutral [13]. - Lead: The demand factor weakens by 0.04% last week, the synthetic factor drops by 0.01%, and the comprehensive signal this week is short. The supply is short, the inventory turns neutral, and the spread is neutral [13]. - Float Glass: The supply factor strengthens by 1.03% last week, the demand factor rises by 1.09%, the inventory factor weakens by 0.02%, the profit factor drops by 0.21%, and the synthetic factor rises by 0.81%. The comprehensive signal is neutral. The supply is neutral, the demand turns neutral, the inventory is long, and the profit is short [15]. 3. Performance Data | Variety | Last Week's Return (%) | Monthly Return (%) | | --- | --- | --- | | General (First Table) | 0.33 (Supply), 0.05 (Demand), 0.04 (Inventory), 0.32 (Spread), 0.30 (Synthetic) | 0.38 (Supply), 0.48 (Demand), 0.43 (Inventory), 0.32 (Spread), 0.60 (Synthetic) | | General (Second Table) | 1.03 (Supply), 1.09 (Demand), - 0.02 (Inventory), - 0.21 (Profit), 0.81 (Synthetic) | 2.13 (Supply), 2.96 (Demand), 0.39 (Inventory), 0.25 (Spread), 0.14 (Profit), 2.13 (Synthetic) | | General (Third Table) | 0.00 (Supply), 0.00 (Inventory), 0.51 (Spread), 0.24 (Synthetic) | 0.00 (Supply), - 0.68 (Inventory), 0.83 (Spread), 0.18 (Synthetic) | | Iron Ore | 0.00 (Supply), - 0.04 (Demand), 0.00 (Inventory), 0.00 (Spread), - 0.01 (Synthetic) | 0.39 (Supply), - 0.07 (Demand), 0.97 (Inventory), 1.79 (Spread), 0.84 (Synthetic) | | Lead | - 0.04 (Demand), - 0.01 (Synthetic) | Not fully detailed | | Float Glass | 1.03 (Supply), 1.09 (Demand), - 0.02 (Inventory), - 0.21 (Profit), 0.81 (Synthetic) | Not fully detailed | 4. Sector Momentum and Other Data | Sector | Momentum Time - series | Momentum Cross - section | Term Structure | Trading Volume | | --- | --- | --- | --- | --- | | Black Metals | 1.46 | 0.33 | 1.1 | 0.33 | | Non - ferrous Metals | 0.85 | - 2.49 | 0.83 | 0.92 | | Energy and Chemicals | - 0.38 | 0 | 1.03 | 1.46 | | Agricultural Products | - 0.6 | 0.81 | 1.83 | - 1.82 | | Stock Index | 0.06 | 0.78 | - 0.25 | 1.37 | | Precious Metals | 1.01 | Not provided | Not provided | 0.56 | [6]