黑色板块动量继续上升：商品量化CTA周度跟踪-20260324

1. Report Industry Investment Rating - Not provided in the report 2. Core Viewpoints - The proportion of long and short positions in commodities changed little this week, with the factor strength of the non - ferrous and precious metals sectors declining. Currently, the energy - chemical and black sectors are relatively strong, while the non - ferrous and agricultural product sectors are relatively weak. Short - term price - volume factors fluctuate greatly due to macro factors [3] - The overall short - cycle momentum of the chemical sector remains high, but ethylene glycol and methanol show marginal declines. In the agricultural product sector, the short - cycle cross - section differentiation of oilseeds and meals expands [3] 3. Summary by Related Content Commodity CTA Weekly Tracking - Factor Performance: Gold's time - series momentum decreased slightly, and silver's position factor stabilized slightly. The short - cycle momentum differentiation in the non - ferrous sector expanded, and copper was strong in the term structure. The time - series momentum of the black sector continued to rise marginally, with coking coal and manganese silicon being strong on a cross - sectional basis [3] - Return Data: Last week's supply factor return was - 0.69%, demand was 0.00%, inventory was 4.44%, and spread was 0.00%. The cumulative return of major categories was 0.29%. This month, supply was - 0.08%, demand was 0.19%, inventory was 4.93%, spread was - 0.21%, and the cumulative return of major categories was 0.01% [3] Methanol - Strategy Net Value: The supply factor weakened by 0.69%, the inventory factor increased by 4.44%, and the composite factor strengthened by 0.29%. The comprehensive signal this week was neutral [5] - Fundamental Factors: The domestic methanol plant operating rate increased, but the import arrival volume decreased, with a neutral supply. The operating rate of MTO plants in the Jiangsu - Zhejiang region increased slightly month - on - month, with a slightly positive demand. Methanol warehouse receipts and port inventory in Guangdong Province sent short signals, with a slightly negative inventory. The domestic coastal methanol spot price sent a long signal, while the US Gulf methanol spot price sent a short signal, with a neutral spread [5] Glass - Strategy Net Value: The demand factor increased by 0.12%, the inventory factor increased by 0.30%, the profit factor increased by 0.13%, and the composite factor strengthened by 0.25%. The comprehensive signal this week was neutral [11] - Fundamental Factors: The sales volume of commercial housing in 30 large and medium - sized cities continued to grow, with a slightly positive demand. The inventory of Chinese float glass manufacturers decreased, turning the inventory signal to long. The pre - tax daily profit of float glass made by coal - fired float process in North China declined, with a short profit. The spot price of Hebei float glass sent a short signal, with a slightly negative spread [11] Iron Ore - Strategy Net Value: The supply factor increased by 0.42%, the inventory factor remained unchanged, the spread factor strengthened by 0.47%, and the composite factor strengthened by 0.31%. The comprehensive signal this week remained short [12] - Fundamental Factors: The weekly iron ore arrival volume at Jingtang Port decreased, turning the supply signal to slightly negative. The average daily port clearance volume of 45 ports decreased, keeping the demand signal short. The inventory of imported trade ore in 31 ports accumulated, keeping the inventory signal slightly negative. The freight rate of iron ore from Western Australia to Qingdao decreased, turning the spread signal to short [12] Lead - Strategy Net Value: The supply factor remained unchanged, the demand factor strengthened by 0.60%, the inventory factor strengthened by 0.68%, the spread factor weakened by 0.66%, and the composite factor strengthened by 0.10%. The comprehensive signal this week remained short [12] - Fundamental Factors: The price of SMM imported lead concentrate decreased, turning the supply signal to short. The monthly output of Chinese cars continued to decline, keeping the demand signal short. The inventory of SMM lead concentrate at Lianyungang Port continued to increase, turning the inventory signal to long. The price of SMM lead ingots decreased, turning the spread signal to short [12]