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].

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]

Group 1: Report Overview - Report Title: Commodity Quantitative CTA Weekly Tracking [1] - Report Date: March 17, 2026 [2] - Report Author: Guotou Futures Research Institute, Financial Engineering Group [2] Group 2: Industry Investment Rating - Not provided in the report Group 3: Core Viewpoints - The proportion of long positions in commodities decreased slightly this week, mainly due to the decline in the strength of agricultural product factors. The relatively strong sectors in the cross - section are energy - chemical and black, while the relatively weak one is the agricultural product sector. Short - term price - volume factors are highly volatile due to macro factors [3]. Group 4: Commodity Factor Analysis Overall Commodity Situation - The short - term cross - section differentiation of agricultural products narrowed, and short - term factors declined marginally. The short - term momentum of the chemical industry as a whole declined, with asphalt showing relatively little change. The short - term momentum of the black sector increased marginally, and iron ore was relatively strong in the cross - section. The short - cycle momentum differentiation of the non - ferrous sector expanded, and aluminum and tin were strong in the term structure. The time - series momentum of gold fluctuated within a narrow range, and the position factor of silver rebounded [3]. Factor Performance | 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 - chemical | - 0.02 | 0.18 | 0.37 | 0.69 | | Agricultural | 0.13 | 0.35 | 0.41 | - 0.19 | | Stock Index | - 0.71 | 0.46 | - 0.63 | 1.06 | | Precious Metals | 0.12 | | | 0.88 | [6] Group 5: Strategy Net Value and Fundamental Factor Analysis Methanol - In terms of strategy net value, the inventory factor weakened by 0.22%, the spread factor decreased by 0.21%, and the synthetic factor decreased by 0.23%. This week, the comprehensive signal turned neutral. On the fundamental factors, the import volume of methanol released a short signal on the supply side; the demand side was neutral to bearish; the inventory side turned bullish; the spread side was neutral to bullish [5]. Float Glass - Strategy net value: The supply factor strengthened by 0.02%, the demand factor increased by 0.21%, the inventory factor increased by 0.18%, the profit factor increased by 0.04%, and the synthetic factor increased by 0.17%. This week, the comprehensive signal was bearish. On the fundamental factors, the demand side turned neutral, the inventory side continued to be bearish, the profit side turned neutral, and the spread side was neutral to bearish [8]. Iron Ore - Strategy net value: The supply factor decreased by 0.79% last week, and the comprehensive factor weakened by 0.16%. This week, the comprehensive signal changed from neutral to bullish. The supply side signal changed from bearish to bullish, the demand side signal changed from bullish to bearish, the inventory side signal remained neutral, and the spread side signal turned bullish [8]. Aluminum - Strategy net value: Last week, the demand factor increased by 0.5%, the inventory factor strengthened by 0.59%, the spread factor decreased by 0.35%, and the synthetic factor strengthened by 0.15%. This week, the comprehensive signal remained bearish. The supply side signal remained neutral, the inventory side bearish signal weakened, and the spread side signal remained bullish [8].

1. Report Industry Investment Rating - No relevant information provided 2. Core Viewpoints - The proportion of long positions in commodities increased this week, mainly due to the rising factor strength in the energy and precious metals sectors, while the relative change in the agricultural products sector was not significant. Currently, the energy and precious metals sectors are relatively strong, and the agricultural products sector is relatively weak. Short - term price - volume factors are highly volatile due to macro factors [2]. - The time - series momentum of gold increased significantly, and the position factor of silver continued to rise. The short - cycle momentum of the non - ferrous sector increased slightly, but there was rotation in the cross - section, and the term structure differentiation widened, with copper being relatively strong. The time - series momentum of the black sector showed a slight marginal recovery, and coke was strong in the cross - section. The chemical sector generally increased to varying degrees following the energy sector, but the position factors of glass and soda ash remained relatively neutral. In the agricultural products sector, the short - cycle cross - section differentiation widened, and rapeseed oil had a relatively large marginal increase [2]. 3. Summary by Related Catalogs 3.1 Commodity Factor Performance - **Supply, Demand, Inventory, and Spread Factors**: For the first set of data, the supply factor had a weekly return of 1.02% and a monthly return of 1.60%, the demand factor had a weekly return of - 0.39% and a monthly return of - 0.38%, the inventory factor had a weekly return of 1.22% and a monthly return of 1.05%, the spread factor had a weekly return of 0.00% and a monthly return of 0.59%, and the cumulative return of the major categories was 0.66% for the week and 0.53% for the month. The synthetic factor increased, but the comprehensive signal for the week was short [3][4]. - **Factor Performance in Different Sectors**: In the black sector, the time - series momentum was 0.05, the cross - section momentum was - 0.51, the term structure was 0.06, and the position was 0.19; in the non - ferrous sector, the time - series momentum was 0.56, the cross - section momentum was 0.93, the term structure was - 0.62, and the position was - 0.64; in the energy and chemical sector, the time - series momentum was 0.01, the cross - section momentum was 0.57, the term structure was 0.02, and the position was 0.16; in the agricultural products sector, the time - series momentum was 0.41, the cross - section momentum was - 0.67, the term structure was 0.93, and the position was - 1.2; in the stock index sector, the time - series momentum was 0.31, the cross - section momentum was - 0.38, the term structure was 0.45, and the position was - 0.48; in the precious metals sector, the time - series momentum was 0.34 and the position was 0.09 [5]. 3.2 Strategy Net Value and Fundamental Factors - **Methanol**: The supply factor of methanol strengthened by 1.02%, the demand factor decreased by 0.39%, the inventory factor increased by 1.22%, and the synthetic factor increased by 0.66%. The comprehensive signal for the week was short. Fundamentally, the domestic methanol plant capacity utilization rate continued to increase, indicating a short signal on the supply side; the start - up of MTO plants in the Jiangsu and Zhejiang regions was slightly flat month - on - month, indicating a neutral signal on the demand side; the inventory of inland methanol enterprises increased significantly during the Spring Festival, indicating a short signal on the inventory side; the spot market prices of methanol in the Lunan, Shaanxi, and Shanxi regions released short signals, and the spread was neutral to short [4]. - **Float Glass**: The demand factor of float glass strengthened by 0.22%, the inventory factor increased by 0.19%, the spread factor weakened by 0.13%, the profit factor decreased by 0.04%, and the synthetic factor decreased by 0.03%. The comprehensive signal for the week was short. Fundamentally, the start - up of float glass enterprises increased slightly month - on - month, indicating a neutral signal on the supply side; the number of commercial housing transactions in first - tier cities decreased slightly compared with before the Spring Festival, and the short signal on the demand side continued; float glass enterprises had a slight inventory increase, and the short signal on the inventory side strengthened; the after - tax gross profit of float glass made from动力煤 in North China continued to be in a loss, and the profit side remained short; the domestic spot price of float glass released a short signal, and the spread was neutral to short [7]. - **Iron Ore**: The supply factor of iron ore decreased by 0.37%, the demand factor weakened by 0.33%, the inventory factor strengthened by 0.04%, the spread factor increased by 0.03%, and the synthetic factor weakened by 0.15%. The comprehensive signal for the week remained short. The shipping volume from Brazil increased, and the arrival volume at northern ports increased slightly, changing the supply signal from long to short. The consumption of domestic sintering iron ore powder by steel mills continued to decline, and the long feedback on the demand side further weakened, with the signal remaining neutral. The inventory of sintering iron ore powder in steel mills decreased, and the inventory of Brazilian iron ore at ports decreased, with the long feedback on the inventory side strengthening and the signal remaining neutral. The spot price center increased, and the spread turned to long feedback, with the signal remaining neutral [10]. - **Lead**: The supply factor of lead decreased by 0.37%, the demand factor weakened by 0.33%, the inventory factor strengthened by 0.04%, the spread factor increased by 0.03%, and the synthetic factor weakened by 0.15%. The comprehensive signal for the week remained short. The loss of SMM tax - free recycled lead widened, and the long feedback on the supply side strengthened, with the signal remaining neutral. The LME lead inventory decreased slightly, and the long signal on the inventory side strengthened. The discount of lead ingots widened, and the short feedback on the spread side increased slightly, with the signal remaining short [10].

1. Report Title and Date - The report is titled "Commodity Quantitative CTA Weekly Tracking" by Guotou Futures Research Institute's Financial Engineering Group, dated February 10, 2026 [1][2] 2. Core Viewpoints - The proportion of commodities this week has changed little. The factor strength of the precious metals and non - ferrous sectors has stabilized and rebounded, while the black and agricultural product sectors have declined due to cross - sectional rotation. Currently, the non - ferrous and chemical sectors are cross - sectionally strong, and the black sector is cross - sectionally weak [3] 3. Industry Analysis 3.1 Sector - by - Sector Momentum and Structure - **Precious Metals**: Gold shows signs of momentum reversal and is gradually stabilizing, and the trading volume of silver has increased slightly [3] - **Non - Ferrous Metals**: The short - cycle momentum of the non - ferrous sector has increased, and the term structure differentiation has narrowed. Aluminum and nickel are cross - sectionally strong [3] - **Black Metals**: The time - series momentum of the black sector has declined marginally, and rebar is weak cross - sectionally [3] - **Energy and Chemicals**: The cross - sectional differentiation of short - cycle momentum in the energy and chemical sector has expanded. Styrene is cross - sectionally strong, and soda ash is weak [3] - **Agricultural Products**: The short - cycle momentum has not reversed significantly, and the trading volume remains below neutral [3] 3.2 Factor Performance and Signals 3.2.1 Methanol - Last week, the supply factor weakened by 0.11%, the inventory factor decreased by 0.17%, the spread factor decreased by 0.02%, and the synthetic factor decreased by 0.13%. This week, the comprehensive signal is long. Fundamentally, the supply side is long, the demand side is short, the inventory side is long, and the spread side is neutral to long [5] 3.2.2 Iron Ore - Last week, the comprehensive factor trend was flat compared to the previous week. This week, the comprehensive signal has changed from short to neutral. The supply side signal feedback is enhanced and remains neutral, the demand side signal has changed from short to long, the inventory side has a long feedback and remains neutral, and the spread side signal has changed from neutral to short [11] 3.2.3 Shanghai Lead - Last week, the supply factor increased by 0.84%, the demand factor strengthened by 0.81%, the inventory factor decreased by 0.83%, the spread factor increased by 0.72%, and the synthetic factor strengthened by 0.39%. This week, the comprehensive signal remains short. The supply side short signal intensity is further enhanced, the inventory side long feedback is slightly weakened and the signal has changed from long to neutral, and the spread side signal has changed from short to neutral [11] 3.2.4 Glass - Last week, the inventory factor increased by 0.11%, the profit factor decreased by 0.44%, and the synthetic factor strengthened by 0.25%. This week, the comprehensive signal remains short. Fundamentally, the supply side is neutral, the demand side short intensity has weakened and become neutral, the inventory side remains neutral, and the profit side remains short [12] 4. Performance Data 4.1 Methanol | Factor | Last Week's Return (%) | This Month's Return (%) | | --- | --- | --- | | Supply | - 0.11 | 0.64 | | Demand | 0.00 | - 0.45 | | Inventory | - 0.17 | 0.01 | | Spread | - 0.02 | 0.73 | | Aggregate | - 0.13 | 0.00 | [4] 4.2 Glass | Factor | Last Week's Return (%) | This Month's Return (%) | | --- | --- | --- | | Pin de | 0.00 | - 0.32 | | Demand | 0.00 | - 0.35 | | Inventory | 0.11 | - 0.37 | | Spread | 0.00 | 0.00 | | Profit | - 0.44 | 1.47 | | Aggregate | 0.25 | - 0.32 | [8] 4.3 Iron Ore | Factor | Last Week's Return (%) | This Month's Return (%) | | --- | --- | --- | | Supply | 0.00 | 0.20 | | Inventory | 0.00 | - 0.24 | | Spread | 0.00 | - 0.29 | | Aggregate | 0.00 | - 0.18 | [11] 4.4 Shanghai Lead | Factor | Last Week's Return (%) | This Month's Return (%) | | --- | --- | --- | | Supply | 0.84 | 2.14 | | Demand | 0.81 | 2.84 | | Inventory | - 0.83 | - 1.86 | | Spread | 0.72 | 1.35 | | Aggregate | 0.39 | 1.06 | [11] 5. Momentum and Other Indicators by Sector | Sector | Momentum Time - Series | Momentum Cross - Section | Term Structure | Trading Volume | | --- | --- | --- | --- | --- | | Black | 0.21 | - 0.29 | 0.85 | 1.25 | | Non - Ferrous | 0.06 | 0.93 | - 2.2 | - 0.64 | | Energy and Chemicals | - 0.37 | 0.57 | 0.02 | 0.16 | | Agricultural Products | 0.75 | - 0.67 | 0.93 | 1.37 | | Stock Index | 0.31 | - 0.1 | - 0.32 | 0.48 | | Precious Metals | 0 | | | - 0.15 | [6]

Group 1: Report Overview - The report is a weekly tracking of commodity quantitative CTA by Guotou Futures Research Institute's Financial Engineering Group on February 10, 2026 [1][2] Group 2: Industry Performance - Commodity proportion changed little this week. The factor intensity of precious metals and non - ferrous metals stabilized and rebounded, while that of black and agricultural products decreased due to cross - sectional rotation. Currently, non - ferrous and chemical sectors are cross - sectionally strong, and the black sector is weak [3] - In the precious metals sector, gold showed signs of momentum reversal and gradually stabilized, and the trading volume of silver slightly increased [3] - In the non - ferrous metals sector, short - cycle momentum increased, and the term structure differentiation narrowed. Aluminum and nickel were cross - sectionally strong [3] - In the black sector, time - series momentum declined marginally, and rebar was weak cross - sectionally [3] - In the energy and chemical sector, short - cycle momentum cross - sectional differentiation expanded. Styrene was cross - sectionally strong, and soda ash was weak [3] - In the agricultural products sector, short - cycle momentum did not reverse significantly, and the trading volume remained below neutral [3] Group 3: Factor Returns Methanol - Last week, the supply factor weakened by 0.11%, the inventory factor decreased by 0.17%, the spread factor decreased by 0.02%, and the synthetic factor decreased by 0.13%. This week, the comprehensive signal is long [5] - In terms of fundamental factors, the arrival volume of imported methanol continued to be low (supply long), the capacity utilization rate of formaldehyde and glacial acetic acid plants decreased (demand short), domestic production enterprises continued to destock (inventory long), and the spot prices of methanol in Shanxi and Henan released long signals (spread neutral - long) [5] Other Factors - For other factors, the table shows last week's and monthly returns of supply, demand, inventory, spread, and other related factors [4][8][11] Group 4: Strategy Net Value and Signals Methanol - Last week, the supply factor of methanol weakened, the inventory factor declined, the spread factor decreased, and the synthetic factor declined. This week, the comprehensive signal is long [5] Iron Ore - Last week, the comprehensive factor of iron ore was flat compared with the previous week. This week, the comprehensive signal changed from short to neutral. The arrival volume at ports changed little (supply signal neutral), the demand signal changed from short to long, the inventory signal became long feedback but remained neutral, and the spread signal changed from neutral to short [11] Shanghai Lead - Last week, the supply factor of Shanghai lead increased by 0.84%, the demand factor strengthened by 0.81%, the inventory factor decreased by 0.83%, the spread factor increased by 0.72%, and the synthetic factor strengthened by 0.39%. This week, the comprehensive signal remains short [11] Float Glass - Last week, the inventory factor of float glass increased by 0.11%, the profit factor decreased by 0.44%, and the synthetic factor strengthened by 0.25%. This week, the comprehensive signal remains short. The supply is neutral, the demand signal strength weakened and became neutral, the inventory remains neutral, and the profit remains short [12]

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 short positions in commodities has increased, with significant declines in the factor strength of the precious metals and non - ferrous sectors, and weak influence of trend - driven factors in the black and agricultural sectors. Currently, the black sector is relatively strong in cross - section, while the non - ferrous sector is relatively weak. [2] - In the strategy net value, different factors in various commodities have different trends, and the comprehensive signals for different commodities are either long or short. [4][9][13] 3. Summary by Commodity Category 3.1 General Commodity Situation - This week, the proportion of short positions in commodities has increased. The factor strength of the precious metals and non - ferrous sectors has declined significantly, and the influence of trend - driven factors in the black and agricultural sectors is weak. The black sector is relatively strong in cross - section, and the non - ferrous sector is relatively weak. [2] 3.2 Specific Commodity Analysis 3.2.1 Methanol - Strategy net value: Last week, the supply factor weakened by 0.15%, the demand factor decreased by 0.45%, the inventory factor declined by 0.76%, the spread factor strengthened by 0.61%, and the synthetic factor decreased by 0.58%. This week, the comprehensive signal is long. [4] - Fundamental factors: The arrival volume of imported methanol has decreased, so the supply side is long; the operating rate of the methanol - to - olefins industry has declined, so the demand side is neutral to bearish; the inventory of inland production enterprises has continued to decrease, so the inventory side is long; the bearish strength of the inland spot price of methanol has weakened, and the spread side has turned neutral. [4] 3.2.2 Float Glass - Strategy net value: Last week, the inventory factor declined by 0.50%, the profit factor increased by 0.62%. This week, the comprehensive signal is short. [9] - Fundamental factors: The capacity utilization rate of float glass enterprises has remained flat, so the supply side is neutral; the number of commercial housing transactions in 30 large - and medium - sized Chinese cities has decreased slightly, so the demand side is neutral to bearish; the inventory of float glass enterprises in various Chinese provinces has shown a mixed trend of increase and decrease, so the inventory side has turned neutral; the after - tax profit of float glass made from thermal coal by the float process in North China has continued to be in a loss situation, so the profit side continues to be bearish. [9] 3.2.3 Iron Ore - Strategy net value: Last week, the returns of each factor were 0. This week, the comprehensive signal remains short. [13] - Fundamental factors: The shipping volume from BHP has increased, and the bearish feedback of the supply - side signal has slightly strengthened, with the signal remaining neutral; the average daily unloading volume of 45 ports has decreased, so the demand - side signal remains bearish; the inventory of imported trade ore in 31 ports has accumulated, and the bullish feedback of the spread side has further weakened, with the signal remaining neutral. [13] 3.2.4 Lead - Strategy net value: Last week, the supply factor increased by 0.55%, the demand factor strengthened by 0.53%, the inventory factor remained unchanged, and the synthetic factor strengthened by 0.62%. This week, the comprehensive signal remains short. [13] - Fundamental factors: The monthly output of SMM recycled lead has narrowed, and the strength of the bearish signal on the supply side has slightly weakened; the inventory of futures warrants on the Shanghai Futures Exchange has decreased, and the bullish feedback on the inventory side has strengthened, with the signal remaining neutral; the price of SMM lead ingots has increased, and the bearish feedback on the spread side has strengthened, with the signal remaining bearish. [13] 3.3 Sector Momentum and Other Indicators | Sector | Momentum Time - Series | Momentum Cross - Section | Term Structure | Position Volume | | --- | --- | --- | --- | --- | | Black | 0.21 | - 0.29 | - 0.85 | 1.25 | | Non - ferrous | 0.06 | 0.93 | - 2.2 | - 0.64 | | Energy and Chemical | 0.37 | 0.57 | - 0.02 | 0.16 | | Agricultural | - 0.45 | 0.69 | 0.93 | 1.37 | | Stock Index | 0.31 | - 0.1 | - 0.32 | 0.48 | | Precious Metals | 0 | | | 0.05 | [5]

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]