国技期货 商品量化CTA周度跟踪 国投期货研究院 金融工程组 2026/2/10 黑色板块动量小幅下降 商品本周占比变化不大,主要表现贵金 属和有色板块因子强度企稳回升,黑色 和农产品板块受截面轮动影响下降。目 前截面偏强的板块是有色和化工,截面 偏弱的板块是黑色。具体来看,黄金时 序出现动量反转的迹象,逐步企稳,白 银的持仓量小幅回升。有色板块短周期 动量上升,期限结构分化收窄,铝和镍 截面偏强。黑色板块时序动量边际回 落,截面上看螺纹偏弱。能化板块中短 周期动量截面分化扩大,苯乙烯截面偏 强纯碱偏弱。农产品方面,短周期动量 没有发生明显反转,持仓量维持中性以 下。 | | 上周收益(%) | 当月收益(%) | | --- | --- | --- | | 供给 | -0.11 | 0.64 | | 需求 | 0.00 | -0.45 | | 库存 | -0.17 | 0.01 | | 价差 | -0.02 | 0.73 | | 大类累加 | -0.13 | 0.00 | 用 醇 策略净值方面,上周供给因子走弱 0.11%,库存因子下行0.17%,价差因子 走低0.02%,合成因子下行0.13%,本周 综合 ...

商品量化CTA周度跟踪 国投期货研究院 金融工程组 国技期货 需求 大类合成 价表 倍 =利用 7.8 6.8 5.8 4.8 3.8 2.8 1.8 0.8 2026/2/10 黑色板块动量小幅下降 商品本周占比变化不大,主要表现贵金 属和有色板块因子强度企稳回升,黑色 和农产品板块受截面轮动影响下降。目 前截面偏强的板块是有色和化工,截面 偏弱的板块是黑色。具体来看,黄金时 序出现动量反转的迹象,逐步企稳,白 银的持仓量小幅回升。有色板块短周期 动量上升,期限结构分化收窄,铝和镍 截面偏强。黑色板块时序动量边际回 落,截面上看螺纹偏弱。能化板块中短 周期动量截面分化扩大,苯乙烯截面偏 强纯碱偏弱。农产品方面,短周期动量 没有发生明显反转,持仓量维持中性以 下。 | | 上周收益(%) | 当月收益(%) | | --- | --- | --- | | 供给 | -0.11 | 0.64 | | 需求 | 0.00 | -0.45 | | 库存 | -0.17 | 0.01 | | 价差 | -0.02 | 0.73 | | 大类累加 | -0.13 | 0.00 | 用 醇 策略净值方面,上周供给因子走弱 ...

国投期货研究院 金融工程组 2026/2/3 有色板块动量截面分化扩大 商品本周空头占比抬升,主要表现贵金 属和有色板块因子强度大幅下降,黑色 和农产品板块受趋势带动影响偏弱。目 前截面偏强的板块是黑色,截面偏弱的 是有色。具体来看,黄金时序出现动量 反转的迹象,逐步企稳,白银的持仓量 大幅下降。有色板块短周期动量下降, 期限结构分化收窄,锡和镍截面偏弱。 CTA 黑色板块时序动量边际小幅回升,截面 上螺纹偏空焦炭偏强。能化板块短周期 动量截面分化收窄。农产品方面,短周 期动量没有发生明显反转,持仓量维持 中性以下。 | | 上周收益(%) | 当月收益(%) | | --- | --- | --- | | 供給 | -0.15 | 0.84 | | 需求 | -0.45 | -0.44 | | 库存 | -0.76 | 0.18 | | 价差 | 0.61 | 0.83 | | 大类累加 | -0.58 | 0.20 | 用 醇 国技期货 商品量化CTA周度跟踪 玻 | | | | 铁 | 策略净值方面,上周各因子收益为0,本 | | | 净值曲线 | | --- | --- | --- | --- | - ...

Report Overview - Report Title: Commodity Quantitative CTA Weekly Tracking [1] - Research Institution: Guotou Futures Research Institute, Financial Engineering Group - Report Date: January 13, 2026 Industry Investment Rating - Not provided Core Viewpoints - This week, there is little change in the long - short ratio of commodities. The factor strength of the precious metals sector remains high, the energy sector rebounds slightly, and the black and agricultural product sectors decline slightly. The precious metals and non - ferrous sectors are relatively strong in the cross - section, while the black and agricultural product sectors are relatively weak. The comprehensive signal of each variety has different trends, including long, neutral, and short signals [3]. Summary by Related Content 1. Commodity Sector Analysis - **Precious Metals**: The time - series momentum of gold drops slightly but remains in a relatively strong range, and the trading volume of silver continues to increase marginally [3]. - **Non - ferrous Metals**: The short - cycle momentum of the non - ferrous sector continues to rise, and the term structure differentiation expands [3]. - **Black Metals**: The time - series momentum of the black sector drops slightly marginally. The momentum of rebar decreases, while that of coking coal and coke increases [3]. - **Energy and Chemicals**: The short - cycle momentum cross - section differentiation of the energy and chemical sector expands, and PTA is at the long end of the cross - section. The term structure of the chemical sector shows differentiation [3][2]. - **Agricultural Products**: Except for corn, the short - cycle momentum of agricultural products drops slightly [3]. 2. Strategy Net Value and Factor Analysis - **General Situation**: In terms of strategy net value, different factors have different trends. For some varieties, the supply factor, demand factor, inventory factor, and spread factor show different degrees of strength or weakness, and the synthetic factors also have corresponding changes. The comprehensive signals include long, neutral, and short [5][13][15]. - **Methanol**: The supply factor strengthens by 0.33% last week, the demand factor rises by 0.05%, the inventory factor increases by 0.04%, the spread factor strengthens by 0.32%, and the synthetic factor rises by 0.30%. The comprehensive signal this week is long. The import volume of methanol decreases, the demand is neutral, the inventory releases a long signal, and the spread is neutral to short [5]. - **Iron Ore**: The supply factor has a 0.00% return last week and 0.39% monthly return, the demand factor is - 0.04% last week and - 0.07% monthly return, the inventory factor is 0.00% last week and 0.97% monthly return, the spread factor is 0.00% last week and 1.79% monthly return, and the synthetic factor is - 0.01% last week and 0.84% monthly return. The comprehensive signal is neutral. The supply is short, the demand is neutral, the inventory is long, and the spread is neutral [13]. - **Lead**: The demand factor weakens by 0.04% last week, the synthetic factor drops by 0.01%, and the comprehensive signal this week is short. The supply is short, the inventory turns neutral, and the spread is neutral [13]. - **Float Glass**: The supply factor strengthens by 1.03% last week, the demand factor rises by 1.09%, the inventory factor weakens by 0.02%, the profit factor drops by 0.21%, and the synthetic factor rises by 0.81%. The comprehensive signal is neutral. The supply is neutral, the demand turns neutral, the inventory is long, and the profit is short [15]. 3. Performance Data | Variety | Last Week's Return (%) | Monthly Return (%) | | --- | --- | --- | | General (First Table) | 0.33 (Supply), 0.05 (Demand), 0.04 (Inventory), 0.32 (Spread), 0.30 (Synthetic) | 0.38 (Supply), 0.48 (Demand), 0.43 (Inventory), 0.32 (Spread), 0.60 (Synthetic) | | General (Second Table) | 1.03 (Supply), 1.09 (Demand), - 0.02 (Inventory), - 0.21 (Profit), 0.81 (Synthetic) | 2.13 (Supply), 2.96 (Demand), 0.39 (Inventory), 0.25 (Spread), 0.14 (Profit), 2.13 (Synthetic) | | General (Third Table) | 0.00 (Supply), 0.00 (Inventory), 0.51 (Spread), 0.24 (Synthetic) | 0.00 (Supply), - 0.68 (Inventory), 0.83 (Spread), 0.18 (Synthetic) | | Iron Ore | 0.00 (Supply), - 0.04 (Demand), 0.00 (Inventory), 0.00 (Spread), - 0.01 (Synthetic) | 0.39 (Supply), - 0.07 (Demand), 0.97 (Inventory), 1.79 (Spread), 0.84 (Synthetic) | | Lead | - 0.04 (Demand), - 0.01 (Synthetic) | Not fully detailed | | Float Glass | 1.03 (Supply), 1.09 (Demand), - 0.02 (Inventory), - 0.21 (Profit), 0.81 (Synthetic) | Not fully detailed | 4. Sector Momentum and Other Data | Sector | Momentum Time - series | Momentum Cross - section | Term Structure | Trading Volume | | --- | --- | --- | --- | --- | | Black Metals | 1.46 | 0.33 | 1.1 | 0.33 | | Non - ferrous Metals | 0.85 | - 2.49 | 0.83 | 0.92 | | Energy and Chemicals | - 0.38 | 0 | 1.03 | 1.46 | | Agricultural Products | - 0.6 | 0.81 | 1.83 | - 1.82 | | Stock Index | 0.06 | 0.78 | - 0.25 | 1.37 | | Precious Metals | 1.01 | Not provided | Not provided | 0.56 | [6]

Report Summary 1. Report Information - Report Title: Commodity Quantitative CTA Weekly Tracking [1] - Author: Guotou Futures Research Institute, Financial Engineering Group - Date: December 30, 2025 - Focus: Colored Metals Sector Cross-Sectional Momentum Reversal [2] 2. Core View - The proportion of long and short positions in commodities has changed little this week. The factor intensity of the colored metals and precious metals sectors has slightly declined, while that of the agricultural products sector has slightly increased. Currently, the cross-sectionally stronger sectors are colored metals and black metals, and the weaker one is agricultural products [3]. - In terms of strategy net worth, different factors have different trends in different periods, and the comprehensive signals vary among different commodities [5][10][13][15]. 3. Key Points by Category 3.1 Commodity Sector Analysis - **Colored Metals**: The short - term momentum of the colored metals sector continues to rise, with a certain reversal in the term structure. Copper and alumina are weak in the cross - section. The time - series momentum of gold rises slightly, and the silver position shows a marginal decline [3]. - **Black Metals**: The time - series momentum of the black metals sector shows a marginal recovery, the cross - sectional differentiation narrows, and the positions of coking coal and coke remain high [3]. - **Energy and Chemicals**: The short - cycle momentum factor of the energy and chemicals sector recovers, and soda ash is in the cross - sectionally short end [3]. - **Agricultural Products**: The cross - sectional differentiation of oilseeds and meals narrows, the overall time - series momentum recovers, but the position does not change significantly [3]. 3.2 Factor Performance and Strategy Net Worth - **Factor Performance Table 1**: | Factor | Last Week's Return (%) | Current Month's Return (%) | | --- | --- | --- | | Supply | 0.02 | 0.02 | | Demand | - 0.03 | - 0.31 | | Inventory | 0.05 | 0.51 | | Spread | 0.00 | 0.00 | | Aggregate of Major Categories | 0.04 | 0.05 | [4] - **Strategy Net Worth 1**: Last week, the supply factor strengthened by 0.02%, the demand factor weakened by 0.03%, the inventory factor increased by 0.05%, and the synthetic factor increased by 0.04%. This week, the comprehensive signal is long. In terms of fundamental factors, the supply side turns neutral, the demand side is long, the inventory side is long but with weakened intensity, and the spread side is neutral [5]. - **Factor Performance Table 2**: | Factor | Last Week's Return (%) | Current Month's Return (%) | | --- | --- | --- | | Pinduoduo | 0.00 | 0.79 | | Demand | 0.00 | 1.12 | | Inventory | 0.03 | - 0.49 | | Spread | - 0.03 | 0.25 | | Profit | - 0.40 | 1.62 | | Aggregate of Major Categories | - 0.26 | 0.79 | [8] - **Strategy Net Worth 2**: Last week, the inventory factor strengthened by 0.03%, the spread factor weakened by 0.03%, the profit factor decreased by 0.40%, and the synthetic factor decreased by 0.26%. This week, the comprehensive signal is long. The supply side turns long, the demand side is long, the inventory side continues to be long, and the profit side continues to be short [15]. - **Factor Performance Table 3**: | Factor | Last Week's Return (%) | Current Month's Return (%) | | --- | --- | --- | | Singh | 0.00 | - 0.37 | | Inventory | 0.00 | 0.08 | | Spread | - 0.09 | - 0.09 | | Aggregate of Major Categories | - 0.04 | - 0.09 | [10] - **Strategy Net Worth 3**: Last week, the spread factor declined. The comprehensive factor weakened by 0.04%, and this week the comprehensive signal turns long [10]. - **Factor Performance Table 4 (Iron Ore)**: | Factor | Last Week's Return (%) | Current Month's Return (%) | | --- | --- | --- | | Supply | - 0.22 | 0.55 | | Demand | - 1.54 | - 1.12 | | Inventory | 1.47 | 0.77 | | Spread | 1.76 | 1.02 | | Aggregate of Major Categories | 0.27 | 0.59 | [13] - **Strategy Net Worth 4 (Iron Ore)**: Last week, the supply factor decreased by 0.22%, the demand factor weakened by 1.54%, the inventory factor increased by 1.47%, the spread factor strengthened by 1.02%, and the synthetic factor increased by 0.27%. This week, the comprehensive signal turns from long to short. The supply side turns long but the signal remains neutral, the demand side's long feedback continues to weaken and the signal remains neutral, the inventory side turns long and the signal remains neutral, and the spread side's signal turns long [13]. - **Factor Performance Table 5 (Aluminum)**: | Factor | Last Week's Return (%) | Current Month's Return (%) | | --- | --- | --- | | Supply | 0.09 | | | Aggregate of Major Categories | - 0.04 | - 0.09 | [13] - **Strategy Net Worth 5 (Aluminum)**: Last week, the supply factor increased by 0.09%, the comprehensive factor weakened by 0.04%, and this week the comprehensive signal turns long. The supply side turns long, the demand side's long feedback continues to weaken, the inventory side turns long, and the spread side's signal turns long [13] 3.3 Sector Momentum and Other Indicators | Sector | Momentum Time - Series | Momentum Cross - Section | Term Structure | Position | | --- | --- | --- | --- | --- | | Black Metals | 0.21 | - 0.29 | - 0.85 | 1.25 | | Colored Metals | 0.06 | 0.93 | - 2.2 | - 0.64 | | Energy and Chemicals | 0.37 | 0.57 | - 0.02 | 0.16 | | Agricultural Products | - 0.45 | 0.69 | 0.93 | 1.37 | | Stock Index | 0.31 | - 0.1 | - 0.32 | 0.48 | | Other | 0 | | | 0.05 | [6]

Report Overview - Report Title: Commodity Quantitative CTA Weekly Tracking [1] - Report Date: December 23, 2025 [2] - Research Team: Guotou Futures Research Institute, Financial Engineering Group [2] Industry Investment Rating - No industry investment rating information is provided in the report. Core Viewpoints - The proportion of long positions in commodities increased slightly this week. The factor strength of precious metals remained high, while that of the agricultural products sector decreased slightly. The precious metals and non - ferrous sectors were relatively strong in cross - section, the black and energy sectors were above the neutral range, and the agricultural products sector was relatively weak [3]. - In the methanol strategy, the inventory factor weakened by 0.02% last week, the synthetic factor declined by 0.02%, and the comprehensive signal this week is long. In the float glass strategy, the synthetic factor increased by 1.38% last week, and the comprehensive signal this week is short. In the iron ore strategy, the comprehensive factor weakened by 0.19% last week, and the comprehensive signal this week remains neutral. In the lead strategy, the synthetic factor strengthened by 0.42% last week, and the comprehensive signal this week changed from short to long [5][8][10] Section Summaries Commodity Market Overview - The proportion of long positions in commodities increased slightly this week. Precious metals and non - ferrous sectors were strong in cross - section, agricultural products were weak. Gold's time - series momentum rose slightly, silver's position increased more marginally. In the non - ferrous sector, short - cycle momentum recovered, and the term structure differentiation narrowed. In the black sector, time - series momentum showed a marginal decline. In the energy and chemical sector, short - cycle momentum factors recovered. In the agricultural products sector, the cross - section differentiation of oilseeds and meals narrowed [3] Performance of Different Factors - **Methanol**: Last week, the inventory factor weakened by 0.02%, the synthetic factor declined by 0.02%. The import methanol arrival volume and domestic road transport prices sent long signals on the supply side; the raw material procurement volume of domestic methanol - to - olefins enterprises decreased on the demand side; the methanol port continued to destock on the inventory side; the domestic methanol spot price fell while the port price was strong on the spread side [5] - **Float Glass**: Last week, the supply factor increased by 1.51%, the demand factor strengthened by 1.62%, the inventory factor weakened by 0.13%, the spread factor increased by 0.29%, the profit factor strengthened by 0.21%, and the synthetic factor increased by 1.38%. The supply side is neutral, the demand side is slightly long, the inventory side turns neutral, and the profit side remains short [8] - **Iron Ore**: Last week, the inventory factor declined by 0.59%, and the comprehensive factor weakened by 0.19%. The supply side turns to short feedback but the signal remains neutral, the demand side's long feedback weakens and turns to neutral, the inventory side's signal turns from short to neutral, and the spread side's short feedback weakens slightly and the signal remains neutral [10] - **Lead**: Last week, the supply factor increased by 0.6%, the demand factor strengthened by 0.56%, the spread factor increased by 0.51%, and the synthetic factor strengthened by 0.42%. The supply side signal turns from short to neutral, the inventory side signal turns from neutral to long, and the spread side signal turns from short to long [10] Data Tables - **Commodity Factors Performance Table**: It shows the last week's and current month's returns of supply, demand, inventory, spread, and the cumulative returns of major categories [4] - **Factor Index Table for Different Sectors**: It presents the time - series momentum, cross - section momentum, term structure, and position volume of black, non - ferrous, energy and chemical, agricultural products, stock index, and precious metals sectors [6]

Report Summary 1. Report Industry Investment Rating - Not mentioned in the provided content. 2. Core Viewpoints - The proportion of long and short positions in commodities remained basically unchanged this week. The strength of the precious metals factor remained high, while that of the non-ferrous and agricultural product sectors decreased. The precious metals sector was relatively strong, and the agricultural product and chemical sectors were relatively weak [2]. - The differentiation within the agricultural product sector widened, with the cross - section differentiation of oil and meal products increasing, and the marginal decline in the positions of soybean oil and sugar [2]. 3. Summary by Related Catalogs Commodity Overall Situation - The cross - sectionally strong sector was precious metals, and the weak ones were agricultural products and chemicals. Gold's time - series momentum increased, and although the marginal position of silver decreased, it remained above the neutral range, with the cross - section differentiation at both ends widening [2]. - In the non - ferrous sector, the short - cycle momentum decreased marginally, the cross - section momentum differentiation narrowed, and zinc was relatively strong in the cross - section [2]. - In the black sector, the term structure showed narrowing differentiation, the positions of iron ore and rebar remained at low levels, and the short - cycle momentum increased slightly [2]. - In the energy and chemical sector, the short - cycle momentum factor rebounded, and soda ash was at the short end of the cross - section [2]. Factor Returns and Signals - **Methanol**: The demand factor weakened by 0.07%, the inventory factor increased by 0.12%, and the synthetic factor strengthened by 0.05%. This week, the comprehensive signal was long. The supply side was neutral to long, the demand side was neutral, the inventory side turned long, and the spread side was neutral [3][4]. - **General Situation (First Table)**: The supply factor had a weekly return of 0.00% and a monthly return of 0.56%; the demand factor had a weekly return of - 0.07% and a monthly return of - 0.88%; the inventory factor had a weekly return of 0.12% and a monthly return of 1.45%; the spread factor had a weekly return of 0.00% and a monthly return of 0.00%; the cumulative return of major categories was 0.05% for the week and 0.50% for the month [3]. - **General Situation (Second Table)**: The supply factor had a weekly return of - 0.46% and a monthly return of - 0.36%; the demand factor had a weekly return of - 0.49% and a monthly return of - 0.49%; the inventory factor had a weekly return of 0.00% and a monthly return of - 0.21%; the spread factor had a weekly return of 0.00% and a monthly return of - 0.26%; the profit factor had a weekly return of 1.07% and a monthly return of 1.82%; the cumulative return of major categories was - 0.32% for the week and - 0.36% for the month [7]. - **General Situation (Third Table)**: The supply factor decreased by 0.08% last week, the inventory factor increased by 0.67%, and the comprehensive factor strengthened by 0.2%. This week, the comprehensive signal changed from short to neutral [10][13]. - **Iron Ore**: The comprehensive signal changed from short to neutral. The supply side's long feedback further weakened, the demand side's long feedback strengthened, the inventory side's short signal strength increased, and the spread side's short feedback strengthened [13]. - **Aluminum**: The demand factor strengthened by 0.38 last week, the inventory factor decreased by 0.13%, the spread factor strengthened by 0.45%, the synthetic factor increased by 0.18%, and this week, the comprehensive signal remained short [13]. - **Float Glass**: The supply factor decreased by 0.46% last week, the demand factor weakened by 0.49%, the profit factor strengthened by 1.07%, the synthetic factor decreased by 0.32%, and this week, the comprehensive signal was short. The supply side was neutral, the inventory side's long strength increased, the spread side was short, and the profit side continued to be short [15]. Sector Momentum and Other Indicators | Sector | Momentum Time - Series | Momentum Cross - Section | Term Structure | Position | | --- | --- | --- | --- | --- | | Black | 0 | 0.09 | 0 | - 0.08 | | Non - ferrous | 0.05 | - 0.21 | 0.52 | 1.13 | | Energy and Chemical | - 0.02 | 0.18 | 0.37 | 0.69 | | Agricultural Product | 0.13 | 0.35 | 0.41 | - 0.19 | | Stock Index | - 0.71 | 0.46 | - 0.63 | 1.06 | | Precious Metals | 0.12 | | | 0.88 | [5]

Report Summary 1. Core View - The proportion of long and short positions in commodities remained basically unchanged this week. The factor strength of precious metals remained high, while that of non - ferrous and agricultural products decreased. The precious metals sector was relatively strong, and the agricultural and chemical sectors were relatively weak. The internal differentiation of the agricultural products sector widened [2]. - For different commodities, the performance of various factors and comprehensive signals varied. For example, in methanol, the demand factor weakened, the inventory factor increased, and the synthetic factor strengthened, with a bullish comprehensive signal this week. In iron ore, the comprehensive signal changed from bearish to neutral, and different fundamental factors had different trends [4][13]. 2. Industry Investment Rating No information about industry investment rating is provided in the report. 3. Summary by Commodity Methanol - Strategy Net Value: The demand factor weakened by 0.07%, the inventory factor increased by 0.12%, and the synthetic factor strengthened by 0.05%. The comprehensive signal this week was bullish. - Fundamental Factors: The arrival volume of imported methanol decreased, with a slightly bullish supply; the capacity utilization rate of methanol - to - olefin enterprises decreased, and the acetic acid device operation increased, with a neutral demand; methanol ports and inland areas both destocked last week, with a bullish inventory; the bullish strength of the methanol regional spread factor weakened, with a neutral spread [4]. Iron Ore - Strategy Net Value: The supply factor decreased by 0.08%, the inventory factor increased by 0.67%, and the comprehensive factor strengthened by 0.2%. The comprehensive signal changed from bearish to neutral this week. - Fundamental Factors: Shipments from BHP and Vale increased, and the arrival volume at northern ports rose, with a weakening bullish feedback on the supply side and a neutral signal; the consumption of sintering ore powder by steel mills and the daily port clearance volume both increased slightly, with an enhanced bullish feedback on the demand side and a bullish signal; the inventory of sintering ore powder in steel mills accumulated, and the average available days of imported iron ore increased, with an enhanced bearish signal on the inventory side; the freight rate decreased, and the spot price center moved down, with an enhanced bearish feedback on the spread side and a neutral signal [10][13]. Aluminum - Strategy Net Value: The demand factor strengthened by 0.38, the inventory factor decreased by 0.13%, the spread factor strengthened by 0.45%, and the synthetic factor increased by 0.18%. The comprehensive signal remained bearish this week. - Fundamental Factors: The spot price of silver increased, and the supply - side signal changed from neutral to bearish; the LME lead and SHFE warehouse receipts both accumulated, with an enhanced bearish feedback on the inventory side and a neutral signal; the lead refined - scrap price spread narrowed, and the bearish signal strength of the spread side weakened [13]. Float Glass - Strategy Net Value: The supply factor decreased by 0.46%, the demand factor weakened by 0.49%, the profit factor strengthened by 1.07%, and the synthetic factor decreased by 0.32%. The comprehensive signal was bearish this week. - Fundamental Factors: The operating rate of float glass enterprises remained the same as last week, with a neutral supply; the inventory of glass production enterprises continued to decrease, with an increased bullish strength on the inventory side; the spot price of Hubei glass released a bearish signal, with a bearish spread; the daily after - tax gross profit loss of pipeline - gas - made float glass intensified, with a continued bearish profit [15]. 4. Factor Performance and Returns Overall Factor Returns | Factor | Last Week's Return (%) | This Month's Return (%) | | --- | --- | --- | | Supply | 0.00 (in some cases - 0.46, - 0.08) | Ranging from - 0.36 to 0.56 | | Demand | - 0.07 (in some cases - 0.49) | Ranging from - 0.88 to 1.25 | | Inventory | 0.12 (in some cases 0.00, 0.67) | Ranging from - 0.21 to 1.45 | | Spread | 0.00 | Ranging from - 0.26 to 0.82 | | Profit | 1.07 | 1.82 | | Grand Total | 0.05 (in some cases - 0.32, 0.20) | Ranging from - 0.36 to 0.72 |[3][7][10] Factor Performance by Sector | Sector | Momentum Time - Series | Momentum Cross - Section | Term Structure | Position Volume | | --- | --- | --- | --- | --- | | Black | 0 | 0.09 | 0 | - 0.08 | | Non - ferrous | 0.05 | - 0.21 | 0.52 | 1.13 | | Energy and Chemical | - 0.02 | 0.18 | 0.37 | 0.69 | | Agricultural Products | 0.13 | 0.35 | 0.41 | - 0.19 | | Stock Index | - 0.71 | 0.46 | - 0.63 | 1.06 | | Precious Metals | 0.12 | | | 0.88 |[5]

Report Summary 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 long positions in commodities decreased slightly. The factor strength of the black and chemical sectors declined, while that of the non - ferrous sector increased slightly. The non - ferrous sector is relatively strong in cross - section, and the chemical and agricultural product sectors are relatively weak [3]. - For the CTA strategy, the signals vary across different commodities. For example, the comprehensive signal for methanol is short, for glass is long, for iron ore changes from long to short, and for lead remains short [3][9][11]. 3. Summary by Commodity Categories Commodities in General - This week, the proportion of long positions in commodities decreased slightly. The factor strength of the black and chemical sectors declined, while that of the non - ferrous sector increased slightly. The non - ferrous sector is relatively strong in cross - section, and the chemical and agricultural product sectors are relatively weak [3]. - In terms of strategy net value, the demand factor weakened by 0.01%, the inventory factor increased by 0.36%, and the synthetic factor strengthened by 0.01%. The comprehensive signal this week is short [3]. Black Sector - The short - cycle momentum of the black sector decreased. The term structure shows narrowing differentiation. The positions of coking coal and coke remained low, and the short - cycle momentum of iron ore reversed and declined [3]. - In terms of strategy net value, last week the inventory factor decreased by 0.39%, the profit factor strengthened by 0.74%, and this week the comprehensive signal is long [9]. Non - Ferrous Sector - The short - cycle momentum of the non - ferrous sector increased marginally, and the cross - section momentum differentiation narrowed. Copper and zinc are relatively strong, and tin is relatively weak in cross - section [3]. - The time - series momentum of gold declined, the position of silver remained high, and the cross - section differentiation at both ends widened [3]. Energy and Chemical Sector - The long - cycle momentum factor of the energy and chemical sector decreased, and ethylene glycol is at the short end in cross - section [3]. Agricultural Product Sector - The cross - section differentiation of oil and meal narrowed, and the position of soybean oil decreased marginally [3]. Glass - In terms of strategy net value, last week the inventory factor decreased by 0.39%, the profit factor strengthened by 0.74%, and this week the comprehensive signal is long. The production of float glass enterprises, the transaction area of commercial housing in 30 large - and medium - sized Chinese cities, and the continuous destocking of float glass enterprises all release long signals. The spot price of glass is neutral, and the profit of glass remains short [9]. Iron Ore - In terms of strategy net value, last week the supply factor decreased by 0.22%, the comprehensive factor weakened by 0.04%, and this week the comprehensive signal changes from long to short. The cumulative year - on - year decline of iron ore production has narrowed, the port daily dredging volume has decreased, the inventory of port iron ore and trade ore has accumulated, and the spot price center has moved down [11]. Lead - In terms of strategy net value, last week the supply factor increased by 0.02%, the demand factor weakened by 0.46%, the inventory factor decreased by 0.5%, the spread factor weakened by 0.33%, the synthetic factor decreased by 0.32%, and this week the comprehensive signal remains short. The profit of recycled lead has recovered, the inventory of lead has decreased, the position of the main contract of Shanghai lead has decreased, and the spread of lead has moved down [11].

Report Overview - Report Title: Commodity Quantitative CTA Weekly Tracking [1] - Research Institute: Guotou Futures Research Institute, Financial Engineering Group [2] - Report Date: November 25, 2025 [2] 1. Overall Commodity Market Conditions - The commodity market is currently dominated by short - term signals this week, with the factor intensity of the energy and chemical sector decreasing, and the black and agricultural product sectors showing an upward trend. The non - ferrous sector is relatively strong in the cross - section, while the energy sector is relatively weak. [4] - Gold's time - series momentum has declined, the trading volume of silver has changed little, and the divergence at both ends of the cross - section has narrowed. [4] 2. Sector - Specific Analysis Non - ferrous Sector - The position - holding factor of the non - ferrous sector has increased marginally, the divergence of cross - sectional momentum has narrowed, tin is strong, and alumina is weak in the cross - section. [4] - The non - ferrous sector has a time - series momentum of - 0.13, a cross - sectional momentum of 0.54, a term structure of 0.99, and a position - holding weight of 1.1. [7] Black Sector - The position - holding volume of coking coal and coke in the black sector remains low, but the short - term momentum in the time - series has rebounded. [4] - The black sector has a time - series momentum of - 0.42, a cross - sectional momentum of 0.18, a term structure of 0.29, and a position - holding weight of 0.79. [7] Energy Sector - The short - term momentum factor of the energy sector has declined, and the chemical sector is at the strong end of the cross - section. [4] - The energy sector has a time - series momentum of 0.02, a cross - sectional momentum of 0.74, a term structure of - 0.6, and a position - holding weight of 0.06. [7] Agricultural Product Sector - The cross - sectional divergence of oilseeds and meals has narrowed, and the long - term momentum of soybean oil is lower than that of soybean meal. [4] - The agricultural product sector has a time - series momentum of - 0.09, a cross - sectional momentum of 0.05, a term structure of 0.17, and a position - holding weight of - 0.16. [7] Precious Metal Sector - The precious metal sector has a time - series momentum of 0.37 and a position - holding weight of - 1.07. [7] Equity Index Sector - The equity index sector has a cross - sectional momentum of 0.49, a term structure of 0.68, and a position - holding weight of 2.15. [7] 3. Strategy Net Value and Fundamental Factors Analysis Methanol - Last week, the supply factor weakened by 0.02%, the demand factor increased by 0.03%, the inventory factor strengthened by 0.38%, and the synthetic factor increased by 0.26%. This week, the comprehensive signal is short - term. [6] - The import arrival volume of methanol releases a short - term signal, the supply side is neutral to bearish; the raw material procurement volume of traditional downstream manufacturers has decreased, the demand side is bearish; the port inventory has decreased month - on - month, the inventory side has turned neutral; the Inner Mongolia - Shandong regional spread factor of methanol releases a long - term signal, and the spread side is neutral to bullish. [6] Float Glass - Last week, the inventory factor increased by 0.16%, and the synthetic factor strengthened by 0.13%. This week, the comprehensive signal is neutral. [10] - The capacity utilization rate of float glass enterprises is flat compared with last week, the supply side is neutral; the transaction area of commercial housing in second - tier cities has increased, the demand side is neutral to bullish; the inventory of Chinese float glass enterprises has increased from a decrease, the bullish strength of the inventory side has weakened and turned neutral; the loss of producing float glass from thermal coal has increased slightly, and the profit side is neutral to bearish. [10] Iron Ore - Last week, the supply factor decreased by 0.11%, the inventory factor weakened by 0.11%, and the comprehensive factor decreased by 0.06%. This week, the comprehensive signal has turned bullish. [11][13] - The shipping volumes from Australia and Brazil and the arrival volume at Tianjin Port have all decreased, and the supply - side signal has turned from bearish to bullish. The consumption volume of imported sintering ore powder by steel mills and the proportion of lump ore in the furnace have increased, the bearish feedback on the demand side has weakened, and the signal has turned neutral. The inventory of iron ore at major ports across the country has accumulated, the bullish feedback on the inventory side has weakened, and the signal remains neutral. The freight rate and spot price have increased slightly, the spread side has turned to bullish feedback, and the signal remains neutral. [13] Shanghai Aluminum - Last week, the supply factor decreased by 0.06%, the demand factor strengthened by 0.76%, the inventory factor increased by 0.83%, the spread factor strengthened by 0.7%, and the synthetic factor increased by 0.56%. This week, the comprehensive signal has turned neutral. [13] - The price of domestic lead concentrates from SMM has decreased, the proportion of waste battery prices in the price of recycled refined lead has increased, and the supply - side signal has turned bullish. The cumulative registered and non - registered warehouse receipts of SHFE futures have increased, the bearish feedback on the inventory side has further strengthened, and the signal remains bearish. The spread between the near and far months of LME lead has widened, and the spread - side signal has turned bullish. [13]