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 2025/8/26 | 国投期货研究院 金融工程组 | | | | | --- | --- | --- | --- | | | | | 农产品内部分化 | | | 商品本周多头占比上升,板块变化集中 在两端,主要表现为黑色板块因子强度 | | | | | 显著回升,农产品和能化板块内部分化 | | | | | 均持续扩大。目前,截面偏强的板块是 | | | | | 化工和黑色,截面偏弱的是能源板块。 | | 蛋白板块 | | 를 | 具体来看,黄金时序动量有所企稳,贵 | | 有色板块 | | | 金属板块内部差异仍在扩大,白银强于 | | 能化板块 | | 们 | 黄金。有色板块持仓量因子边际回升, | | 农产品板 | | CTA | 截面上的分化收窄。黑色板块,动量因 | | 股指板块 | | | | | 贵金属板] | | | 子边际回升,期限结构上铁矿强于螺纹 | | | | | 。能化板块截面动量分化,化工处于截 | | | | | 面偏强一端,能源偏弱。农产品方面, | | | | | 油粕持仓量均有所回升,棕榈油短周期 | | | ...

Group 1: Report Industry Investment Rating - No relevant content provided Group 2: Report's Core View - The commodity market shows different trends in various sectors. The bearish proportion has slightly increased this week, with significant changes in the black and agricultural sectors. The overall market signals are mainly bearish, with some exceptions like the iron ore market turning neutral [1]. Group 3: Summary by Related Content Commodity Market Sector Analysis - The agricultural sector's momentum is rising, while the energy sector is relatively weak. In the black sector, the momentum factor has decreased marginally, and the term - structure differentiation has narrowed. In the non - ferrous sector, the position - holding factor has decreased marginally, and the cross - sectional differentiation has widened. In the energy - chemical sector, there is cross - sectional momentum differentiation. In the agricultural sector, the position - holding of oilseeds and meals has increased, and the short - cycle momentum of palm oil has rebounded [1]. Performance of Different Commodities Methanol - Last week, the supply factor strengthened by 0.64%, the inventory factor declined by 0.66%, and the comprehensive signal this week is bearish. Fundamentally, the supply side remains bearish, the demand side is neutral to bearish, the inventory side turns bearish, and the spread side is neutral to bearish [1]. Float Glass - Last week, the inventory factor increased by 2.47%, the spread factor weakened by 0.17%, the profit factor decreased by 0.20%, and the synthetic factor declined by 0.13%, with a bearish comprehensive signal this week. Fundamentally, the supply side is neutral, the demand side is neutral to bearish, the inventory side is bearish, and the profit side is neutral to bullish [1]. Iron Ore - Last week, the supply factor strengthened by 0.38%, the synthetic factor increased by 0.08%, and the comprehensive signal this week turns neutral. Fundamentally, the supply side's bearish feedback weakens to neutral, the demand side turns to bullish feedback but remains neutral, the inventory side turns bearish, and the spread side turns bullish [3][4].

商品量化CTA周度跟踪 国投期货研究院 金融工程组 2025/8/12 有色板块内部分化扩大 商品本周多空排序变化比较明显,主要 表现为能源和有色在两端的差异扩大。 目前,截面偏强的板块是有色和黑色, 截面偏弱的是能源和农产品。具体来 看,黄金时序动量边际减弱,贵金属板 块内持仓量分化收窄。有色板块时序动 量因子仍旧保持高位,但在锌、铝等品 种的持仓量因子出现下降,截面动量分 化扩大。黑色板块,短周期动量因子边 际下降,但长周期动量逐步企稳。能源 板块时序动量大幅下降，化工品种PTA 、短纤处于截面相对偏强一端。农产品 方面,油粕期限结构差异收窄,但豆油 长周期动量高于豆粕。 | | 上周收益(%) | 当月收益(%) | | --- | --- | --- | | 供给 | 0.01 | 0.13 | | 需求 | 0.15 | 0.95 | | 库存 | 0.12 | 1.00 | | 价差 | -0.11 | 0.11 | | 大类累加 | 0.01 | 0.17 | 用 酮 国技期货 高级分析师 胡静怡 期货投资咨询证号: Z0019749 王雪忆 期货从业资格证号: F03125010 分析师 策略 ...

Group 1: Overall Market Conditions - The proportion of short positions in commodities increased this week, mainly due to the decline in the factor strength of the energy and chemical sector. Currently, the relatively strong sectors in the cross - section are precious metals and agricultural products, while the relatively weak sector is the energy sector [3]. - In the precious metals sector, the sequential momentum of gold has marginally recovered, and the differentiation within the sector has narrowed. In the non - ferrous sector, the position factor has continued to decline slightly, and the cross - sectional differentiation has expanded, with copper and zinc being on the weaker end [3]. - In the black sector, the short - term momentum factor has marginally decreased, but the long - term factor has gradually stabilized, and the term structure differentiation has narrowed. In the energy and chemical sector, the cross - sectional momentum has declined overall, and PTA, soda ash, and glass are on the weaker end of the sector's cross - section [3]. - In the agricultural products sector, the positions of oilseeds and meals have both decreased slightly, and the differentiation has narrowed [3]. Group 2: Factor Returns - Last week's returns and monthly returns for different factors: supply factor had a last - week return of 1.64% and a monthly return of 0.00%; demand factor had a last - week return of 1.51% and a monthly return of 0.00%; inventory factor had a last - week return of 1.20% and a monthly return of - 2.28%; spread factor had a last - week return of 3.90% and a monthly return of 2.50%; profit factor had a last - week return of 0.00% and a monthly return of 0.00%; the cumulative return of major categories last week was 1.64% and this month was - 0.04% [7]. Group 3: Methanol Analysis - In terms of strategy net value, last week, the supply factor strengthened by 0.21%, the demand factor increased by 0.13%, the inventory factor weakened by 0.19%, the spread factor increased by 0.09%, and the composite factor increased by 0.16%. This week, the comprehensive signal for short positions continues. On the fundamental factor side, the capacity utilization rate of domestic methanol plants has increased, and the import arrival volume has increased slightly, indicating a short position on the supply side; the operating rates of formaldehyde and chloride plants have increased, but the capacity utilization rates of acetic acid and MTBE plants have decreased, making the demand side neutral; the inventory of domestic methanol manufacturers has decreased, indicating a long position on the inventory side; the closing price of the main methanol futures contract and the 9 - 1 spread on the futures market have both released short - position signals, and the spread side has turned to a short position [4]. Group 4: Glass Analysis - In terms of strategy net value, last week, the inventory factor decreased by 2.28%, the spread factor increased by 2.50%, and the composite factor weakened by 0.04%. This week, the comprehensive signal is a short position. On the fundamental factor side, the capacity utilization rate of float glass has remained flat month - on - month, keeping the supply side neutral; the number of commercial housing transactions in 30 large - and medium - sized Chinese cities has increased slightly, making the demand side neutral; float glass enterprises have continued to reduce inventory, indicating a long position on the inventory side; the spot prices of the float glass markets in Central China, North China, and South China have all released short - position signals, indicating a short position on the spread side; the pre - tax gross profit of float glass made from steam coal has declined, indicating a short position on the profit side [7]. Group 5: Iron Ore Analysis - In terms of strategy net value, last week, each factor remained unchanged, and this week, the comprehensive signal remains neutral. The arrival volume at Qingdao Port has increased significantly, and the shipping volumes of BHP and Rio Tinto have increased, turning the supply side into a short - position feedback, but the overall signal remains neutral. The consumption of iron ore powder for sintering in steel mills and the proportion of sintered ore in the furnace have decreased, and the strength of the long - position feedback on the demand side has decreased slightly, but the signal is still neutral. The iron ore concentrate at ports and the domestic sintering iron ore powder in steel mills have both reduced inventory slightly, weakening the short - position feedback on the inventory side. The price center of PB powder has shifted down, further weakening the strength of the long - position feedback on the spread side [7]. Group 6: Lead Analysis - In terms of strategy net value, last week, the supply factor strengthened by 0.52%, the demand factor decreased by 0.51%, the spread factor increased by 0.46%, and the composite factor strengthened by 0.15%. This week, the comprehensive signal has changed from a short position to neutral. The price of domestic lead concentrates from SMM has decreased, and the profit of tax - free recycled lead has decreased, turning the supply - side signal to neutral. The LME lead inventory and registered warrants have increased, turning the inventory side into a short - position feedback, but the overall signal remains neutral. The spread between the near and far months of LME lead has widened, strengthening the short - position feedback on the spread side [7].

Report Information - Report Title: Commodity Quantitative CTA Weekly Tracking [1] - Research Institute: Guotou Futures Research Institute, Financial Engineering Group [2] - Date: July 22, 2025 [2] Industry Investment Rating - Not provided in the report Core Viewpoints - This week, the proportion of long positions in commodities rebounded slightly, with the signal strength of the black and non - ferrous sectors rising, and local long signals appearing in the chemical and precious metals sectors. The cross - sectionally strong sectors are black and chemical, while the energy sector is weak. [3] - The comprehensive signal of the strategy is different for each commodity: methanol is neutral, float glass is long, iron ore is neutral, and Shanghai aluminum remains short. [5][8][11] Summary by Related Content Commodity Market Overall Situation - The proportion of long positions in commodities increased slightly this week, with the black and non - ferrous sectors seeing an increase in signal strength, and local long signals emerging in the chemical and precious metals sectors. The cross - sectionally strong sectors are black and chemical, and the weak one is the energy sector. [3] Factor Performance and Signal Analysis Methanol - Last week, the supply factor weakened by 0.12%, the demand factor decreased by 0.06%, the inventory factor increased by 0.12%, and the spread factor increased by 0.19%. This week, the comprehensive signal remains neutral. On the fundamental side, the supply is neutral, the demand is bearish, the inventory is neutral to bearish, and the spread is bullish. [4][5] Float Glass - Last week, the supply factor weakened by 0.07%, the demand factor decreased by 0.07%, the inventory factor increased by 1.21%, and the composite factor increased by 0.88%. This week, the comprehensive signal is bullish. The supply is neutral, the demand is neutral to bearish, the inventory is bullish, the spread is neutral to bearish, and the profit is neutral to bullish. [8] Iron Ore - Last week, the supply factor weakened by 0.29%, the inventory and spread factors remained unchanged, and the composite factor weakened by 0.06%. This week, the comprehensive signal turns neutral. The supply signal turns neutral, the demand signal turns bearish, the inventory remains neutral, and the spread signal turns bullish. [11] Shanghai Aluminum - Last week, the supply factor increased by 0.60%, the demand factor decreased by 0.41%, the inventory factor increased by 0.65%, the spread factor increased by 0.54%, and the composite factor increased by 0.37%. This week, the comprehensive signal remains bearish. The supply signal remains bearish, the demand signal remains bullish, the inventory turns neutral, and the spread signal remains bearish. [11] Sector - Specific Analysis - **Non - ferrous sector**: The cross - sectional momentum rebounded, the position increased, and the cross - sectional differentiation narrowed, but zinc and nickel were still relatively weak. [3] - **Black sector**: The overall position factor increased marginally, the term structure differentiation expanded, and iron ore was relatively strong in the cross - section. [3] - **Energy and chemical sector**: The cross - sectional momentum was differentiated, with ethylene glycol being relatively strong and energy varieties being relatively weak. [3] - **Agricultural products**: The position of oils and fats decreased slightly. [3] - **Precious metals**: The time - series momentum of gold stabilized, and the differentiation within the sector narrowed. [3]

Report Title - The report is titled "Commodity Quantitative CTA Weekly Tracking" by Guotou Futures [1] Core View - The proportion of long and short positions in commodities has changed little this week. The short positions in the non - ferrous sector have increased, and there are local long signals in the chemical and agricultural product sectors. The cross - sectionally strong sectors are agricultural products and chemicals, while the non - ferrous sector is weak. The overall signal for methanol is neutral, for float glass is long, and for lead is short [3][5][8][9] Industry Investment Rating - Not provided in the report Detailed Summaries Commodity Sector Analysis - **Non - ferrous Sector**: Momentum is marginally declining, short positions are increasing,持仓量 is decreasing, and cross - sectional differentiation is narrowing. Zinc and nickel are relatively weak. Gold's time - series momentum has stabilized, but the trading volume of Shanghai silver continues to rise, and intra - sector differentiation may widen [3] - **Black Sector**: The overall position factor is marginally declining, and the term structure differentiation is narrowing [3] - **Energy and Chemical Sector**: Cross - sectional momentum is differentiated. Ethylene glycol is cross - sectionally strong, while styrene is weak [3] - **Agricultural Product Sector**: The position of oils and fats has slightly declined [3] Factor Performance - **Last Week's and Current Month's Returns**: For the supply factor, last week's return was - 0.03% and the current month's return was - 0.09%; for the demand factor, last week was 0.00% and the current month was - 0.65%; for the inventory factor, last week was 0.02% and the current month was 1.00%; for the spread factor, last week was 0.00% and the current month was 0.35%; the cumulative return of major categories last week was - 0.03% and the current month was - 0.95% [4] Strategy Net Value and Fundamental Factors - **Methanol**: Last week, the supply factor weakened by 0.03%, the inventory factor increased by 0.02%, and the synthetic factor decreased by 0.03%. This week's comprehensive signal is neutral. On the fundamental side, the supply is bearish, demand is bearish, inventory is bullish but weakening, and the spread is bullish [5] - **Float Glass**: Last week, the supply factor strengthened by 1.47%, the demand factor increased by 1.58%, the inventory factor increased by 1.47%, the spread factor weakened by 0.04%, and the synthetic factor increased by 1.04%. This week's comprehensive signal is long. Supply is neutral, demand is neutral, inventory is bullish, and the spread is neutral - bearish [8] - **Lead**: Last week, the supply factor strengthened by 0.52%, the demand factor weakened by 0.40%, the inventory factor strengthened by 0.56%, the spread factor strengthened by 0.51%, and the synthetic factor strengthened by 0.32%. This week's comprehensive signal remains short. Supply is bearish, demand is bullish, inventory is bearish, and the spread is bearish [9] Factor Intensity and Momentum Indicators - **Factor Intensity**: For different factors such as supply, demand, inventory, and spread, their intensities vary in different commodities and time periods (last week and the current week) [4][8][9] - **Momentum Indicators**: Different sectors (black, non - ferrous, energy and chemical, agricultural products, equity index, and precious metals) have different values for momentum time - series, momentum cross - section, term structure, and position indicators [6]

Group 1: Overall Market Conditions - The proportion of long positions in commodities has rebounded, with the precious metals and energy sectors rising, and the non - ferrous sector slightly falling. Currently, the relatively strong sectors are agriculture and energy, while the non - ferrous sector is relatively weak [2] Group 2: Sector - Specific Analysis Precious Metals - The time - series momentum of gold has significantly rebounded, and the trading volume of Shanghai silver has slightly increased, with a significant repair of short - cycle momentum [2] Non - Ferrous Metals - The overall trading volume in the non - ferrous sector has decreased, and the cross - sectional divergence has narrowed. Except for copper, varieties such as zinc and nickel have declined [2] Black Metals - The divergence in the term structure of the black sector has narrowed. The position factors of iron ore and rebar have weakened marginally, and volatility has decreased [2] Energy and Chemicals - The short - cycle momentum of the energy and chemical sector has rebounded as a whole, but the trading volume has not increased significantly [2] Agricultural Products - The trading volume of oils has slightly rebounded. Palm oil remains relatively strong in the cross - section of the term structure, with a signal to go long on the oil - meal ratio [2] Group 3: Factor Analysis Factor Returns - Last week, the supply factor increased by 0.04%, the demand factor decreased by 0.45%, the inventory factor decreased by 0.44%, the spread factor increased by 0.04%, and the synthetic factor decreased by 0.55%. This week, the comprehensive signal is long [2] Fundamental Factors - For methanol, the import volume has slightly decreased, the domestic plant operating rate has slightly increased, and the supply side remains neutral; the device loads of methanol - to - olefins and acetic acid have increased, and the demand side has turned long; the inventory in inland areas and ports has continued to increase, and the inventory side is slightly bearish; the futures and spot prices of methanol have risen significantly, and the spread side is long [2] Group 4: Commodity - Specific Analysis Glass - Last week, the inventory factor weakened by 0.42%, and the synthetic factor decreased by 0.32%. This week, the comprehensive signal is long. The supply side is long, the demand side is slightly bearish, the inventory side has weakened to neutral, and the spread side is slightly long [3] Iron Ore - Last week, the supply factor remained unchanged, the inventory factor weakened by 0.02%, the spread factor strengthened by 0.01%, and the synthetic factor weakened by 0.01%. This week, the comprehensive signal has turned bearish. The supply side has turned bearish, the demand side remains neutral, the inventory side has turned bearish, and the spread side remains neutral [3] Shanghai Lead - Last week, the supply factor weakened by 0.39%, the demand factor remained unchanged, the inventory factor weakened by 0.19%, the spread factor weakened by 0.28%, and the synthetic factor weakened by 0.22%. This week, the comprehensive signal remains bearish. The supply side remains bearish, the demand side remains neutral, the inventory side has turned bearish, and the spread side remains bearish [3]

Report Investment Rating - No information available Core Viewpoints - The proportion of short positions in commodities has slightly increased, with differentiation in the precious metals sector and a slight rebound in the agricultural products sector. Currently, the relatively strong sectors are agricultural products and precious metals, while the relatively weak one is energy and chemicals [2]. - In terms of strategy net worth, different factors showed varying trends last week, and the comprehensive signals for different commodities this week are either long, short, or neutral [4][7]. Summaries by Relevant Content Commodity Market Conditions - Precious metals: Gold's time - series momentum declined, while the marginal position of Shanghai silver increased, and short - cycle momentum significantly recovered [2]. - Non - ferrous metals: There were some differences in positions, and the cross - sectional differentiation narrowed, with copper remaining relatively strong [2]. - Black metals: The term structure differentiation narrowed, the position factors of iron ore and rebar increased, and short - cycle momentum factors rose [2]. - Energy and chemicals: The overall short - cycle momentum declined [2]. - Agricultural products: The positions of oilseeds and meals slightly increased, and palm oil remained relatively strong in the term structure [2]. Factor Returns | Factor | Last Week's Return (%) | Current Month's Return (%) | | --- | --- | --- | | Supply | 0.55 (Methanol), - 0.23 (Float glass), - 0.07 (Iron ore), - 0.07 (Aluminum) | 0.00 (Float glass), 0.42 (Iron ore), - 0.19 (Aluminum) | | Demand | 0.00 (Methanol), 0.00 (Float glass), 0.00 (Iron ore), 0.00 (Aluminum) | 0.54 (Methanol), 0.00 (Float glass), - 0.45 (Aluminum) | | Inventory | - 0.19 (Methanol), 0.82 (Float glass), 0.00 (Iron ore), 0.12 (Aluminum) | 0.99 (Methanol), 0.91 (Float glass), - 0.44 (Aluminum) | | Spread | 0.41 (Methanol), 1.11 (Float glass), 0.28 (Iron ore), - 0.28 (Aluminum) | 0.41 (Methanol), 0.28 (Iron ore), - 0.75 (Aluminum) | | Synthetic Factor | 0.43 (Methanol), 0.63 (Float glass), 0.09 (Iron ore), - 0.07 (Aluminum) | 0.27 (Methanol), 0.70 (Float glass), 0.09 (Iron ore), - 0.47 (Aluminum) | [3][4][7] Momentum and Structure Data of Different Sectors | Sector | Momentum Time - series | Momentum Cross - section | Term Structure | Position | | --- | --- | --- | --- | --- | | Black Metals | | 0.09 | 0 | - 0.08 | | Non - ferrous Metals | 0.05 | - 0.21 | 0.52 | 1.13 | | Energy and Chemicals | - 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] Fundamental Factors of Different Commodities - **Methanol**: The domestic device capacity utilization rate increased, the supply - side long - position intensity weakened to neutral; traditional downstream manufacturers' raw material procurement decreased, the demand side was neutral to bearish; inland and port inventories continued to increase, the inventory side was bearish; the market price in East and South China coastal areas released a long - position signal, and the spread side was neutral to bullish [4]. - **Float glass**: The enterprise start - up load decreased slightly, the supply side remained neutral; second - tier city commercial housing transaction data released a long - position signal but with weakened intensity, the demand side was neutral to bullish; the inventory of Shanxi enterprises decreased, the inventory side was bullish; the Shenyang - Shahe regional spread factor released a long - position signal, and the spread side was neutral to bullish [7]. - **Iron ore**: The cumulative amount of raw ore continued to decline, the supply - side signal turned neutral; the monthly output of WSA blast furnace pig iron in China continued to decline, the demand - side signal turned neutral; the inventory of 45 ports of iron ore concentrate continued to decline, the inventory side remained neutral; the freight rate of Brazilian Tubarao to Qingdao continued to decline, the spread - side signal remained neutral [7]. - **Aluminum**: SMM domestic lead concentrate processing fees continued to decline, the supply - side signal remained bearish; China's lead alloy exports in May continued to decrease compared to April, the demand - side signal remained neutral; SMM aluminum concentrate monthly balance continued to decline, the inventory side turned neutral; the 0 - 1 spread declined, the spread - side signal remained bearish [7].

Report Summary 1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints - The proportion of short positions in commodities has slightly increased, with a significant decline in the black sector. Currently, the relatively strong sectors in cross - section are precious metals and soft commodities, while the relatively weak one is the black sector [3]. - In terms of strategy net worth, different commodities have different factor performance and comprehensive signals. For example, methanol's comprehensive signal is long this week, while glass, iron ore, and lead's comprehensive signals are neutral [5][8][10]. 3. Summary by Commodity Commodity Overview - The momentum of the black sector continues to decline. Gold's time - series momentum stabilizes, and the trading volume of Shanghai Gold marginally rebounds. The non - ferrous sector shows some divergence in trading volume, with copper being relatively strong and zinc relatively weak. In the energy and chemical sector, the cross - sectional momentum of chemicals is still higher than that of energy products. In the agricultural products sector, the trading volume of oilseeds and meals remains low, and soft commodities are relatively strong in the term structure [3]. Methanol - Strategy net worth: Last week, the supply factor weakened by 0.38%, the demand factor strengthened by 0.52%, and the synthetic factor increased by 0.04%. This week, the comprehensive signal is long [5]. - Fundamental factors: The domestic capacity utilization rate of methanol has decreased, but imports have increased. The supply - side long - strength has weakened. The operating load of methanol - to - olefins plants has increased, and the demand - side has changed from short to neutral. The inventory in inland and ports is lower year - on - year, and the inventory - side is long. The import profit of methanol and the regional price difference factor between Inner Mongolia and Shandong have released long signals, and the price - difference side is neutral to long [5]. Float Glass - Strategy net worth: Last week, the inventory factor strengthened by 0.10%, and the synthetic factor increased by 0.07%. This week, the comprehensive signal is neutral [8]. - Fundamental factors: The operating rate of float glass enterprises has increased slightly month - on - month, and the supply - side remains neutral. The number of commercial housing transactions in 30 large - and medium - sized Chinese cities has increased, and the demand - side is neutral to long. The weekly enterprise inventory of Chinese float glass has changed from inventory accumulation to slight inventory reduction, and the inventory - side has changed from short to neutral. The profit of float glass made from pipeline gas and steam coal has slightly declined, and the profit - side remains neutral. The main - continuous basis - Wuhan Changli has released a short signal, but the contribution of this factor is low, and the price - difference side is neutral [8]. Iron Ore - Strategy net worth: Last week, the supply factor strengthened by 0.13%, the inventory factor remained unchanged, the price - difference factor weakened by 0.07%, and the synthetic factor weakened by 0.01%. This week, the comprehensive signal has changed to neutral [10]. - Fundamental factors: The arrival volume of iron ore at Rizhao Port has increased compared with last week, and the supply - side signal has changed to long. The output of WSA blast - furnace pig iron in China this month has continued to decline compared with last month, and the demand - side signal remains short. The inventory of iron ore concentrates in 45 ports has declined, and the inventory - side remains neutral. The price of Atlas iron powder for sale at Rizhao Port has continued to rise, and the price - difference side signal remains neutral [10]. Lead - Strategy net worth: Last week, the supply factor strengthened by 0.02%, the demand factor remained unchanged, the inventory factor strengthened by 0.03%, the price - difference factor strengthened by 0.01%, and the synthetic factor strengthened by 0.02%. This week, the comprehensive signal remains neutral [10]. - Fundamental factors: The domestic lead concentrate processing fee of SMM has continued to decline, and the supply - side signal remains short. The export volume of Chinese lead alloys in May has continued to decrease compared with April, and the demand - side signal remains neutral. The lead inventory in the London Metal Exchange has continued to rise, and the inventory - side has changed to long. The profit of SMM recycled lead has continued to rise, and the price - difference side signal has changed to neutral [10].

Report Industry Investment Rating - Not provided in the content Core Viewpoints - The proportion of short positions in commodities increased slightly. The chemical sector rebounded slightly, while the black and non - ferrous sectors declined. Currently, the relatively strong sectors in cross - section are chemicals and precious metals, and the relatively weak one is the black sector [2]. - In terms of strategy net worth, for methanol, the supply factor strengthened by 0.02% last week, the synthetic factor decreased by 0.11%, and this week's comprehensive signal is neutral. For float glass, the inventory factor strengthened by 0.15% last week, the synthetic factor increased by 0.11%, and this week's comprehensive signal is short. For iron ore, the supply factor strengthened by 0.80% last week, the inventory factor remained unchanged, the spread factor strengthened by 0.91%, the synthetic factor strengthened by 0.60%, and this week's comprehensive signal turned short. For lead, the supply factor weakened by 0.16% last week, the demand factor weakened by 0.21%, the inventory factor weakened by 0.16%, the spread factor weakened by 0.21%, the synthetic factor weakened by 0.19%, and this week's comprehensive signal remains short [2][4]. Summary by Related Content Commodity Market Conditions - Precious metals: Gold's time - series momentum stabilized, and the trading volume of Shanghai gold increased marginally. Silver changed relatively little [2]. - Non - ferrous metals: There were certain differences in trading volume, but the cross - section showed significant differentiation, with copper being relatively strong [2]. - Black metals: The differentiation of term structure narrowed, the trading volume factors of iron ore and rebar declined, and the long - term momentum factor decreased [2]. - Energy and chemicals: The cross - section momentum of chemicals in the energy - chemical sector was still higher than that of energy products [2]. - Agricultural products: The trading volume of oilseeds and meals remained at a low level, and soft commodities were relatively strong in the term - structure cross - section [2]. Factor Signals and Fundamentals Methanol - Strategy net worth: Last week, the supply factor strengthened by 0.02%, the synthetic factor decreased by 0.11%, and this week's comprehensive signal is neutral [2]. - Fundamental factors: The domestic capacity utilization rate and import volume of methanol both decreased, and the supply side is bullish [2]. Float Glass - Strategy net worth: Last week, the inventory factor strengthened by 0.15%, the synthetic factor increased by 0.11%, and this week's comprehensive signal is short [4]. - Fundamental factors: The operating rate of float - glass enterprises increased slightly, the supply side is neutral; the number of commercial - housing transactions in third - tier cities increased significantly, but the contribution of this factor is low, and the demand side remains neutral; the weekly enterprise inventory of Chinese float glass continued to increase slightly, and the inventory side continues to be short; the profits of float glass made from pipeline gas and steam - coal declined, and the profit side is slightly bearish [4]. Iron Ore - Strategy net worth: Last week, the supply factor strengthened by 0.80%, the inventory factor remained unchanged, the spread factor strengthened by 0.91%, the synthetic factor strengthened by 0.60%, and this week's comprehensive signal turned short [4]. - Fundamental factors: The arrival volume at Rizhao Port decreased compared with last week, and the supply - side signal turned short; the domestic production of blast - furnace pig iron continued to decline this month compared with last month, and the demand - side signal turned short; the inventory of iron concentrate powder at 45 ports continued to rise, and the inventory side remained neutral; the price of Atlas iron powder sold at Rizhao Port continued to rise, and the spread - side signal turned neutral [4]. Lead - Strategy net worth: Last week, the supply factor weakened by 0.16%, the demand factor weakened by 0.21%, the inventory factor weakened by 0.16%, the spread factor weakened by 0.21%, the synthetic factor weakened by 0.19%, and this week's comprehensive signal remains short [4]. - Fundamental factors: The domestic lead - concentrate processing fee continued to decline, and the supply - side signal remains short; the export volume of Chinese starting - type lead - acid batteries in May continued to decrease compared with April, and the demand - side signal remains neutral; the cancelled warrants of lead at the LME continued to rise, and the inventory side remains short; the profit of recycled lead increased, and the spread - side signal turned bullish [4].