Report Title - The report is titled "Commodity Quantitative CTA Weekly Tracking" by Guotou Futures [1] Report Date - The report was published on July 29, 2025, by the Financial Engineering Group of Guotou Futures Research Institute [2] Core View - The proportion of short positions in commodities increased this week, mainly due to the decline in the factor strength of the black and non - ferrous sectors. The relatively strong sector in cross - section is agriculture, while the relatively weak one is energy [3] Commodity Market Analysis Overall Situation - The proportion of short positions in commodities increased this week, with the black and non - ferrous sectors showing a decline in factor strength. The agriculture sector is cross - sectionally strong, and the energy sector is weak [3] Sector - Specific Analysis - **Precious Metals**: The time - series momentum of gold has stabilized, and the differentiation within the precious metals sector has narrowed [3] - **Non - Ferrous Metals**: The position factor of the non - ferrous sector has significantly declined, and the cross - sectional differentiation has increased. Copper is relatively strong, and nickel is relatively weak [3] - **Black Metals**: The momentum factor has marginally decreased but has not reversed, and the term structure differentiation has narrowed [3] - **Energy and Chemicals**: There is cross - sectional momentum differentiation, with chemicals being weaker than energy [3] - **Agriculture**: The positions of oilseeds and meals have both declined, with soybean meal having a larger decline. It is recommended to go long on the oil - meal ratio [3] Strategy Net Value and Fundamental Factors Methanol - **Strategy Net Value**: Last week, the supply factor strengthened by 0.02%, the demand factor increased by 0.72%, the inventory factor weakened by 0.02%, and the spread factor decreased by 0.05%. This week, the comprehensive signal turned short [5] - **Fundamental Factors**: The domestic methanol plant capacity utilization rate increased (supply short); the raw material procurement volume of methanol - to - olefins enterprises and traditional downstream manufacturers decreased (demand short continued); the East China port significantly destocked (inventory turned long); the domestic methanol spot market price continuously released long signals, but the futures closing price released short signals, and the long strength of the spread weakened and turned neutral [5] Float Glass - **Strategy Net Value**: Last week, the inventory factor strengthened by 0.84%, the spread factor increased by 1.77%. This week, the comprehensive signal is neutral [8] - **Fundamental Factors**: The float glass production volume increased slightly month - on - month (supply remained neutral); the number of commercial housing transactions in third - tier cities decreased (demand was neutrally bearish); float glass enterprises continued to destock (inventory long continued); the glass spot price in the Shahe market released short signals (spread short); the pre - tax gross profit of power - coal - made float glass turned from negative to positive (profit was neutrally bullish) [8] Iron Ore - **Strategy Net Value**: Last week, the supply factor weakened by 0.04%, the inventory factor remained unchanged, the spread factor strengthened by 0.47%, and the synthetic factor strengthened by 0.22%. This week, the comprehensive signal remains neutral [8] - **Fundamental Factors**: The cumulative value of iron ore raw ore production continued to decline (supply signal remained neutral); the global crude steel production this month increased compared to last month (demand signal remained short); the iron concentrate powder inventory in 45 ports continued to decline this week (inventory remained neutral); the price of Atlas powder sold at Rizhao Port increased (spread signal turned neutral) [8] Shanghai Aluminum - **Strategy Net Value**: Last week, the supply factor weakened by 0.31%, the demand factor strengthened by 0.31%, the inventory factor weakened by 0.08%, the spread factor weakened by 0.28%, and the synthetic factor weakened by 0.11%. This week, the comprehensive signal remains short [8] - **Fundamental Factors**: The domestic lead concentrate processing fee continued to decline (supply signal remained short); the export volume of Chinese starting lead - acid batteries this month continued to decrease (demand signal remained long); the combined inventory of LME lead continued to decline (inventory turned neutral); the LME lead 0 - 3 month premium and discount decreased (spread signal remained short) [8] Performance Data Commodity CTA Factors | Factor | Last Week's Return (%) | Current Month's Return (%) | | --- | --- | --- | | Supply | 0.02 | - 0.19 | | Demand | 0.72 | 0.30 | | Inventory | - 0.02 | 1.00 | | Spread | - 0.05 | 0.14 | | Aggregate of Major Categories | 0.00 | - 0.33 | [4] Other Factors in Different Commodities - **Float Glass**: Supply (last week: 0.00%, current month: 1.97%), Demand (last week: 0.00%, current month: 1.51%), Inventory (last week: 0.84%, current month: 3.57%), Spread (last week: 1.77%, current month: 2.20%), Profit (last week: 0.00%, current month: 0.00%), Aggregate of Major Categories (last week: 0.00%, current month: 1.97%) [8] - **Iron Ore**: Supply (last week: - 0.04%, current month: 0.00%), Inventory (last week: 0.00%, current month: - 0.36%), Spread (last week: 0.47%, current month: 0.47%), Aggregate of Major Categories (last week: 0.22%, current month: 0.11%) [8] - **Shanghai Aluminum**: Supply (last week: - 0.31%, current month: 0.50%), Demand (last week: 0.31%, current month: - 0.49%), Inventory (last week: - 0.08%, current month: 0.81%), Spread (last week: - 0.28%, current month: 0.91%), Aggregate of Major Categories (last week: - 0.11%, current month: 0.47%) [8] Factor Intensity in Different Sectors | Sector | Momentum Time - Series | Momentum Cross - Section | Term Structure | Position | | --- | --- | --- | --- | --- | | Black Metals | 0.05 | - 0.51 | 0.06 | 0.19 | | Non - Ferrous Metals | 0.56 | 0.93 | - 0.62 | - 0.64 | | Energy and Chemicals | 0.01 | 0.57 | 0.02 | 0.16 | | Agriculture | 0.41 | - 0.67 | 0.93 | | | Stock Index | 0.31 | - 0.38 | 0.45 | - 0.48 | | Precious Metals | 0.34 | | | 0.09 | [6]