Report Title - The report is titled "Commodity Quantitative CTA Weekly Tracking" by Guotou Futures Research Institute's Financial Engineering Group, dated March 25, 2025 [1][2] Report Industry Investment Rating - No industry investment rating is provided in the report Core Viewpoints - The commodity sector cross - section has switched, with internal differentiation in the energy and chemical sector, a decline in the agricultural products sector, and the precious metals and non - ferrous sectors remaining relatively strong in the cross - section. Specific sectors show different trends in momentum,持仓量, and term structure [3] Summary by Commodity Categories Overall Commodity Sector - The non - ferrous sector shows upward momentum, while the energy and chemical sector has internal differentiation, the agricultural products sector is down, and the precious metals and non - ferrous sectors are relatively strong. Different sectors have different changes in momentum,持仓量, and term structure indicators [3] Methanol - Strategy net value: The demand factor decreased by 0.23%, the inventory factor decreased by 0.19%, and the synthetic factor weakened by 0.15%. The comprehensive signal this week is neutral. Fundamental factors: The methanol arrival volume gives a long signal, domestic capacity utilization gives a short signal (supply is neutral); methanol - to - olefin plant capacity utilization decreased, acetic acid operating rate increased (demand is neutral); port inventory continued to decrease, and the short - side strength of the inventory factor weakened significantly to neutral; the Inner Mongolia - Shandong regional spread factor gives a long signal, and the spread factor is slightly long [5] Glass - Strategy net value: Last week, the supply factor weakened by 0.20%, the demand factor decreased by 0.19%, the inventory factor decreased by 1.15%, and the synthetic factor weakened by 0.91%. The comprehensive signal this week is short. Fundamental factors: The float glass capacity utilization rate was flat month - on - month (supply is neutral); second - tier city commercial housing transaction data gives a short signal (demand is short); float glass enterprise inventory is relatively high year - on - year (inventory remains short); the domestic float glass market price gives a long signal, but the overall long - side contribution is not high (spread is slightly long) [9] Iron Ore - Strategy net value: The inventory factor weakened by 1.09%, the spread factor remained unchanged, and the synthetic factor weakened by 0.34%. The comprehensive signal this week remains long. Fundamental factors: The iron ore arrival volume at Qingdao Port continued to decline compared with the previous week (supply signal turns neutral); the blast furnace operating rate of 247 steel enterprises increased compared with the previous week (demand signal remains neutral); the inventory of Brazilian iron ore in 31 ports continued to rise (inventory remains long); the spot sales price of Rio Tinto's PB powder at Rizhao Port increased (spread signal remains neutral) [12] Aluminum - Strategy net value: Last week, the supply factor weakened by 0.11%, the demand factor weakened by 0.68%, the inventory factor weakened by 0.12%, the spread factor remained unchanged, and the synthetic factor weakened by 0.20%. The comprehensive signal this week remains long. Fundamental factors: The SMM domestic lead concentrate price continued to rise (supply signal remains long); China's lead alloy exports in March decreased compared with February (demand signal turns short); LME lead registered warrants decreased (inventory turns short); SMM concentrate import profit increased (spread signal is long) [12]

Group 1 - The core viewpoint of the article highlights the recent developments in the U.S. ETF market, particularly the introduction of innovative products such as the Solana futures ETF and the significant inflow of funds into domestic equity products [1][2][3]. Group 2 - The U.S. ETF market saw a total of 10 new products launched last week, with a notable issuance of a municipal bond index product by BlackRock, reflecting strong demand for tax-exempt municipal bonds [1]. - Individual leveraged products have gained popularity, with Defiance and Leverage Shares issuing four 2x leveraged products linked to companies like Robinhood, Palo Alto Networks, and Adobe [1]. - Fortuna launched a Bitcoin strategy product that primarily invests in Bitcoin futures and employs options strategies, including Covered Calls, to provide a safety net [1]. - MarketDesk introduced a high-concentration momentum product that selects stocks based on quality and momentum factors, emphasizing strong performance over the past six months [1]. - Invesco launched a futures strategy product that invests in various futures, including stock index, bond, and foreign exchange futures, with a relatively pessimistic outlook on U.S. stocks [1]. Group 3 - The inflow into U.S. domestic equity products exceeded $60 billion last week, indicating a stabilization in overall U.S. stock performance [3]. - There were significant differences in fund flows among the three major S&P 500 ETFs, with State Street's SPDR S&P 500 ETF experiencing outflows, while Vanguard and BlackRock's products saw substantial inflows [5][8]. - The top inflow products included iShares Core S&P 500 ETF (IVV) with $173.38 million and Vanguard S&P 500 ETF (VOO) with $163.53 million, while SPDR S&P 500 ETF Trust (SPY) faced outflows of $222.23 million [6]. Group 4 - The performance of U.S. ETFs has shifted, with low volatility factors emerging as the strongest performers this year, while growth and quality styles have seen significant pullbacks [9]. - Despite the strong performance of low volatility factors, there has been no significant inflow into these products, whereas dividend products have seen more pronounced inflows [9].

Core Viewpoint - The article discusses the replication and backtesting of a momentum factor based on a report published by Founder Securities, highlighting the efficiency and accuracy of the process in comparison to traditional methods [1][2][3]. Group 1: Data Collection and Challenges - The process involved collecting necessary data for factor calculation, but faced issues with API responses, particularly with Yahoo Finance's support for the Chinese A-share market [2]. - Alternative solutions included creating a simulated dataset and utilizing code found on GitHub to implement factor calculations and backtesting [2]. Group 2: Factor Calculation and Backtesting - The implementation of precise factor calculation code was completed, using simulated data to replace actual data due to difficulties in obtaining historical intraday data for the Chinese A-share market [2]. - A comprehensive quantitative backtesting was conducted to analyze the performance differences between traditional momentum factors and optimal momentum factors [2]. Group 3: Results and Efficiency - The entire replication process was completed successfully, with all conclusions aligning with the original report, taking only 40 minutes under crowded website conditions [3]. - In contrast, a typical employee would require approximately 3 days to complete the same task, while someone unfamiliar with the process might take up to 6 days [3].

Core Viewpoint - The article emphasizes the importance of investment factors in selecting stocks and constructing investment strategies, highlighting that understanding these factors can lead to better investment decisions and potential returns [2][20]. Investment Factors Overview - The article introduces eight commonly used investment factors, each with distinct principles, applicable market conditions, and associated risks, which can help investors optimize their investment strategies [4][16]. Factor Summaries 1. Market Capitalization Factor - Focuses on the impact of stock size on returns, with large-cap stocks generally being more stable but less elastic, while small-cap stocks offer higher growth potential but come with increased risk [5][6]. 2. Value Factor - Concentrates on the discrepancy between a company's intrinsic value and market price, aiming to identify undervalued stocks for potential gains when market sentiment improves [8]. 3. Growth Factor - Evaluates a company's earnings growth and future potential, typically performing well in favorable economic conditions but facing higher risks during downturns [9]. 4. Low Volatility Factor - Selects stocks with stable prices and low volatility, providing better risk-adjusted returns, especially during market downturns [11]. 5. Dividend Factor - Targets stocks with stable dividends and high yield, offering defensive characteristics in volatile markets but may lag in strong bull markets [12]. 6. Quality Factor - Based on financial and operational metrics to identify high-quality companies, which may face valuation risks during periods of high market risk appetite [13]. 7. Momentum Factor - Utilizes the trend-following theory, capitalizing on stocks that have shown strong past performance, though it may struggle in volatile markets [14]. 8. Reversal Factor - Exploits price reversal opportunities, performing well in choppy or bearish markets but underperforming in strong trends [15]. Factor Usage Considerations - Investors should choose factors that align with their risk tolerance and investment goals, combining multiple factors to enhance returns while being mindful of market conditions [17][18][19].

Core Viewpoint - The global market has become increasingly complex, with significant challenges arising from weak tech stocks, fluctuating consumer sentiment, and policy uncertainties impacting investor decisions [1][4]. Group 1: Market Dynamics - The "Magnificent 7" tech giants have seen an 8% decline this year, contrasting with a 4% increase in the remaining 493 companies in the S&P 500, highlighting a shift in market dynamics [5]. - Recent weeks have shown a significant rise in market difficulty, with hedge funds experiencing their second-worst five-day performance in nearly two years [6]. - The "momentum" factor has recently contributed significantly to hedge fund returns, but has shown volatility since the U.S. elections, indicating a shift towards new sectors and industries [7]. Group 2: Economic Indicators - U.S. GDP growth rate estimates have dropped from slightly above 3% to below 2% in the past month, reflecting economic uncertainty [9]. - Investor sentiment data from the American Association of Individual Investors (AAII) is nearing historical highs, indicating a rapid shift in investor mood [10]. Group 3: Sector Analysis - The technology sector ETF (XLK) has recently fallen below its 200-day moving average but remains above the upward trend line established since Q4 2022, indicating potential for further movement [14]. - Xiaomi's recent launch of an electric vehicle, with the first batch of 10,000 units selling out in 10 minutes, demonstrates the resurgence of innovation among Chinese private enterprises [16].