商品量化CTA周度跟踪-20260331

Report Summary 1. Report Industry Investment Rating No information provided. 2. Core Viewpoints - The proportion of long positions in commodities decreased this week, mainly due to a marginal decline in the energy and chemical sector. The short - cycle momentum of the non - ferrous and precious metal sectors rebounded, while the agricultural products sector declined slightly. The black sector is currently weak in the cross - section. Short - term price - volume factors are highly volatile due to macro factors [3]. - In terms of strategy net value, different factors in various sectors have different trends. For example, the inventory factor in some sectors decreased, while the spread factor in others increased. The comprehensive signals of different sectors are also different, including neutral, short, and the shift from short to neutral [3][5][6]. 3. Summary by Related Catalogs Commodity Market Overview - The proportion of long positions in commodities decreased this week, with the energy and chemical sector showing a marginal decline. The non - ferrous and precious metal sectors had a short - cycle momentum rebound, and the agricultural products sector declined slightly. The black sector is weak in the cross - section [3]. - The short - cycle momentum of the non - ferrous sector is more differentiated, and the copper is bearish in the term structure. The time - series momentum of the black sector decreased slightly, and coking coal is bearish in the cross - section. The short - cycle momentum of the chemical sector remains high but declines marginally, and PVC and soda ash are bearish in the cross - section. The short - cycle cross - section differentiation of oil and meal in the agricultural products sector narrows, and the palm oil position increases [3]. Strategy Net Value and Fundamental Factors - General Situation: The inventory factor decreased by 1.79% last week, and the comprehensive signal this week is short. On the fundamental factors, the supply side of methanol is neutral, the demand side of glacial acetic acid is neutral and bearish, the inventory side of methanol releases a short signal, and the spread side is neutral and bullish [3]. - Iron Ore: Last week, the supply factor decreased by 0.03%, the spread factor increased by 0.04%, and the comprehensive factor increased by 0.02%. The supply side has a stronger short feedback, the inventory side's short feedback slightly strengthens, and the signal remains neutral. The spot price center moves down, and the spread side is bearish [6]. - Shanghai Aluminum: Last week, the supply factor weakened by 0.38%, the demand factor decreased by 0.61%, the inventory factor strengthened by 0.32%, the spread factor decreased by 0.19%, and the synthetic factor weakened by 0.21%. This week, the comprehensive signal changes from short to neutral. The supply side turns to a long feedback, the inventory side maintains a long signal, and the spread side turns to a long feedback [6]. - Glass: The inventory factor increased by 0.18%, the profit factor increased by 0.38%, and the synthetic factor strengthened by 0.26%. This week, the comprehensive signal is neutral. The demand side is neutral and bullish, the inventory side continues to be long, the profit side is bearish, and the spread side is neutral and bearish [7].