商品量化CTA周度跟踪-20260128

1. Report Industry Investment Rating - No relevant information provided 2. Core Viewpoints - The proportion of long and short positions in commodities changed little this week. The factor strength of precious metals remained high, the energy sector declined slightly, and the agricultural products sector remained in a neutral and weak pattern. The precious metals sector was strong in the cross - section, while the black and agricultural products sectors were weak [3] - For methanol, the supply factor strengthened by 1.05% last week, the inventory factor increased by 1.12%, and the synthetic factor increased by 0.83%. This week, the comprehensive signal is long [5] - For iron ore, the supply factor increased by 0.05% last week, the inventory factor weakened by 0.06%, and the comprehensive factor decreased by 0.01%. This week, the comprehensive signal changed from neutral to short [14][15] - For aluminum, the supply factor increased by 0.74% last week, the demand factor strengthened by 0.88%, the inventory factor decreased by 0.19%, and the synthetic factor strengthened by 0.32%. This week, the comprehensive signal remained short [15] - For CTA, the supply factor weakened by 0.40% last week, the inventory factor strengthened by 0.56%, the profit factor decreased by 0.61%, and the synthetic factor decreased by 0.31%. This week, the comprehensive signal is neutral [17] 3. Summary by Related Catalogs Commodity Market Overview - The factor strength of precious metals remained high, the energy sector declined slightly, and the agricultural products sector remained in a neutral and weak pattern. The precious metals sector was strong in the cross - section, while the black and agricultural products sectors were weak. Gold's time - series momentum increased slightly, and the trading volume of silver continued to increase marginally. The short - cycle momentum of the non - ferrous sector increased, and the differentiation of the term structure narrowed. The time - series momentum of the black sector declined marginally, with rebar being strong and coke being short in the cross - section. The short - cycle momentum of the energy - chemical sector showed less cross - sectional differentiation, and the overall time - series momentum decreased. For agricultural products, the short - cycle momentum of most varieties did not reverse significantly, and the trading volume of palm oil increased [3] Methanol - Last week, the supply factor of methanol strengthened by 1.05%, the inventory factor increased by 1.12%, and the synthetic factor increased by 0.83%. This week, the comprehensive signal is long. In terms of fundamental factors, the arrival volume of imported methanol increased, the strength of the long position on the supply side weakened and became neutral; the operating rates of the glacial acetic acid and MTBE industries increased, indicating a long position on the demand side; the inventory of domestic production enterprises decreased, indicating a long position on the inventory side; the spot prices in the domestic and coastal methanol markets both sent short signals, indicating a short position on the spread side [5] Iron Ore - Last week, the supply factor of iron ore increased by 0.05%, the inventory factor weakened by 0.06%, and the comprehensive factor decreased by 0.01%. This week, the comprehensive signal changed from neutral to short. The shipping volume from BHP increased significantly, and the short signal on the supply side was slightly enhanced, remaining neutral. The daily average port clearance volume decreased, and the daily average hot metal output of 247 steel enterprises was basically flat. The demand - side signal changed from neutral to short. The inventory of domestic sintering ore powder in steel mills and the inventory of imported trade ore in ports both increased, and the inventory side turned to a short feedback, remaining neutral. The spot price center moved down, and the long feedback on the spread side further weakened, remaining neutral [14][15] Aluminum - Last week, the supply factor of aluminum increased by 0.74%, the demand factor strengthened by 0.88%, the inventory factor decreased by 0.19%, and the synthetic factor strengthened by 0.32%. This week, the comprehensive signal remained short. The loss of SMM recycled lead narrowed slightly, and the strength of the short signal on the supply side further increased. The inventory of registered and non - registered warehouse receipts in the SHFE decreased, and the long feedback on the inventory side increased, remaining neutral. The SMM lead ingot price decreased, the price center of recycled lead moved down, and the short feedback on the spread side increased, turning to short [15] CTA - Last week, the supply factor of CTA weakened by 0.40%, the inventory factor strengthened by 0.56%, the profit factor decreased by 0.61%, and the synthetic factor decreased by 0.31%. This week, the comprehensive signal is neutral. In terms of fundamental factors, the capacity utilization rate of float glass enterprises was flat month - on - month, indicating a neutral supply side; the number of commercial housing transactions in second - tier cities decreased, indicating a slightly short demand side; the inventory of Chinese float glass enterprises decreased slightly, but the contribution of this factor was high, and the long position on the inventory side continued; the after - tax gross profit of float glass produced by various processes continued to be in a loss, indicating a short position on the profit side [17]