有色板块动量截面分化扩大：商品量化CTA周度跟踪-20260203

1. Report Industry Investment Rating There is no information about the report industry investment rating in the provided content. 2. Core Viewpoints - This week, the proportion of short positions in commodities has increased, with significant declines in the factor strength of the precious metals and non - ferrous sectors, and weak influence of trend - driven factors in the black and agricultural sectors. Currently, the black sector is relatively strong in cross - section, while the non - ferrous sector is relatively weak. [2] - In the strategy net value, different factors in various commodities have different trends, and the comprehensive signals for different commodities are either long or short. [4][9][13] 3. Summary by Commodity Category 3.1 General Commodity Situation - This week, the proportion of short positions in commodities has increased. The factor strength of the precious metals and non - ferrous sectors has declined significantly, and the influence of trend - driven factors in the black and agricultural sectors is weak. The black sector is relatively strong in cross - section, and the non - ferrous sector is relatively weak. [2] 3.2 Specific Commodity Analysis 3.2.1 Methanol - Strategy net value: Last week, the supply factor weakened by 0.15%, the demand factor decreased by 0.45%, the inventory factor declined by 0.76%, the spread factor strengthened by 0.61%, and the synthetic factor decreased by 0.58%. This week, the comprehensive signal is long. [4] - Fundamental factors: The arrival volume of imported methanol has decreased, so the supply side is long; the operating rate of the methanol - to - olefins industry has declined, so the demand side is neutral to bearish; the inventory of inland production enterprises has continued to decrease, so the inventory side is long; the bearish strength of the inland spot price of methanol has weakened, and the spread side has turned neutral. [4] 3.2.2 Float Glass - Strategy net value: Last week, the inventory factor declined by 0.50%, the profit factor increased by 0.62%. This week, the comprehensive signal is short. [9] - Fundamental factors: The capacity utilization rate of float glass enterprises has remained flat, so the supply side is neutral; the number of commercial housing transactions in 30 large - and medium - sized Chinese cities has decreased slightly, so the demand side is neutral to bearish; the inventory of float glass enterprises in various Chinese provinces has shown a mixed trend of increase and decrease, so the inventory side has turned neutral; the after - tax profit of float glass made from thermal coal by the float process in North China has continued to be in a loss situation, so the profit side continues to be bearish. [9] 3.2.3 Iron Ore - Strategy net value: Last week, the returns of each factor were 0. This week, the comprehensive signal remains short. [13] - Fundamental factors: The shipping volume from BHP has increased, and the bearish feedback of the supply - side signal has slightly strengthened, with the signal remaining neutral; the average daily unloading volume of 45 ports has decreased, so the demand - side signal remains bearish; the inventory of imported trade ore in 31 ports has accumulated, and the bullish feedback of the spread side has further weakened, with the signal remaining neutral. [13] 3.2.4 Lead - Strategy net value: Last week, the supply factor increased by 0.55%, the demand factor strengthened by 0.53%, the inventory factor remained unchanged, and the synthetic factor strengthened by 0.62%. This week, the comprehensive signal remains short. [13] - Fundamental factors: The monthly output of SMM recycled lead has narrowed, and the strength of the bearish signal on the supply side has slightly weakened; the inventory of futures warrants on the Shanghai Futures Exchange has decreased, and the bullish feedback on the inventory side has strengthened, with the signal remaining neutral; the price of SMM lead ingots has increased, and the bearish feedback on the spread side has strengthened, with the signal remaining bearish. [13] 3.3 Sector Momentum and Other Indicators | Sector | Momentum Time - Series | Momentum Cross - Section | Term Structure | Position Volume | | --- | --- | --- | --- | --- | | Black | 0.21 | - 0.29 | - 0.85 | 1.25 | | Non - ferrous | 0.06 | 0.93 | - 2.2 | - 0.64 | | Energy and Chemical | 0.37 | 0.57 | - 0.02 | 0.16 | | Agricultural | - 0.45 | 0.69 | 0.93 | 1.37 | | Stock Index | 0.31 | - 0.1 | - 0.32 | 0.48 | | Precious Metals | 0 | | | 0.05 | [5]