Group 1: Report Overview - The report is a weekly tracking of commodity quantitative CTA by Guotou Futures Research Institute's Financial Engineering Group, dated January 20, 2026 [1][2] Group 2: Market Conditions - This week, the proportion of long positions in commodities declined, with the factor strength of the non - ferrous sector falling, and the agricultural and chemical sectors remaining at low levels. The precious metals sector is relatively strong, while the chemical and agricultural sectors are relatively weak [3] - In the precious metals sector, the time - series momentum of gold increased slightly. Although the momentum of silver remained moderately strong, its trading volume decreased marginally. In the non - ferrous sector, the short - cycle momentum decreased, and the term structure differentiation narrowed, with tin and lead being bearish. In the black sector, the short - cycle momentum declined slightly, and the trading volume of coking coal and coke decreased significantly. In the energy and chemical sector, the short - cycle momentum cross - section differentiation expanded, with glass and ethylene glycol being bearish. In the agricultural sector, the overall short - cycle momentum decreased slightly, and the term structure differentiation of oil and meal narrowed [3] Group 3: Strategy Net Value and Signals Methanol - Last week, the supply factor weakened by 0.39%, the inventory factor decreased by 0.18%, the spread factor weakened by 0.10%, and the synthetic factor declined by 0.31%. This week, the comprehensive signal is long. Fundamentally, the arrival volume of imported methanol continued to decrease, the supply side remained long; the operating rate of the methanol - to - olefins industry decreased, the demand side was moderately bearish; methanol ports were destocking, the inventory side was long; the spot price of methanol sent a bearish signal, and the East China basis sent a bullish signal, with the spread side being neutral [5] Iron Ore - Last week, the demand factor weakened by 0.28%, the inventory factor increased by 0.3%, and the synthetic factor strengthened by 0.01%. This week, the comprehensive signal remains neutral. The shipping volume from the four major mines decreased, and the arrival volume at northern ports continued to decline, changing the supply - side signal from bearish to neutral. The consumption and proportion of domestic sintered ore powder in steel mills increased, and the demand side turned to a bullish feedback, with the signal remaining neutral. The average available days of imported iron ore in steel mills increased, and the inventory of iron ore concentrates and imported iron ore at ports accumulated, weakening the bullish feedback on the inventory side and changing the signal to neutral. The freight rate center of iron ore continued to decline, further weakening the bullish feedback on the spread side, with the signal remaining neutral [11] Lead - Last week, the demand factor weakened by 0.28%, the inventory factor increased by 0.3%, and the synthetic factor strengthened by 0.01%. This week, the comprehensive signal remains bearish. In December, the monthly output of SMM recycled lead increased, and the loss of SMM recycled lead narrowed last week, strengthening the bearish signal on the supply side. The registered LME lead warehouse receipts increased compared with the previous week, further weakening the bullish feedback on the inventory side, with the signal remaining neutral. The spread between near - and far - month contracts of Shanghai lead widened, and the spread side turned to a bearish feedback, with the signal remaining neutral [11] Float Glass - Last week, the inventory factor weakened by 0.54%, the profit factor strengthened by 1.46%. This week, the comprehensive signal is bearish. Fundamentally, the operating load of float glass enterprises increased, turning the supply side bearish; the number of commercial housing transactions in first - and third - tier cities decreased, with the demand side being moderately bearish; float glass enterprises continued to destock, and the inventory side remained long; float glass enterprises using various processes continued to make losses, and the profit side was bearish [13] Group 4: Earnings Data First Table | Factor | Last Week's Earnings (%) | Current Month's Earnings (%) | | --- | --- | --- | | Supply | - 0.39 | - 0.01 | | Demand | 0.00 | 0.48 | | Inventory | - 0.18 | 0.55 | | Spread | - 0.10 | 0.22 | | Aggregate of Major Categories | - 0.31 | 0.52 | [4] Second Table | Factor | Last Week's Earnings (%) | Current Month's Earnings (%) | | --- | --- | --- | | Supply | 0.00 | 1.17 | | Demand | 0.00 | 1.64 | | Inventory | - 0.54 | - 0.14 | | Spread | 0.00 | 0.23 | | Profit | 1.46 | 1.03 | | Aggregate of Major Categories | 0.00 | 1.17 | [8] Third Table | Factor | Last Week's Earnings (%) | Current Month's Earnings (%) | | --- | --- | --- | | Supply | 0.15 | 0.15 | | Inventory | - 0.18 | - 0.75 | | Spread | 0.10 | 0.93 | | Aggregate of Major Categories | 0.23 | 0.02 | [8] Fourth Table | Factor | Last Week's Earnings (%) | Current Month's Earnings (%) | | --- | --- | --- | | Supply | 0.00 | 0.10 | | Demand | - 0.28 | - 1.10 | | Inventory | 0.30 | 1.28 | | Spread | 0.00 | 1.09 | | Aggregate of Major Categories | 0.01 | 0.41 | [11] Group 5: Sector Momentum and Other Indicators | Sector | Momentum Time - Series | Momentum Cross - Section | Term Structure | Trading Volume | | --- | --- | --- | --- | --- | | Black | 0.05 | - 0.51 | 0.06 | 0.19 | | Non - ferrous | 0.56 | 0.93 | - 0.62 | - 0.64 | | Energy and Chemical | 0.01 | 0.57 | 0.02 | 0.16 | | Agricultural | 0.41 | - 0.67 | 0.93 | | | Stock Index | 0.31 | - 0.38 | 0.45 | - 0.48 | | Precious Metals | 0.34 | | | 0.09 | [6]

Report Summary 1. Report Industry Investment Rating - No information provided about the industry investment rating in the report. 2. Core Viewpoints - This week, the proportion of short positions in commodities increased slightly, mainly due to the decline in the factor strength of the black and chemical sectors. Currently, the precious metals sector is relatively strong in cross - section, while the chemical and black sectors are relatively weak [3]. - The comprehensive signals of methanol, float glass, iron ore, and lead are short, neutral, neutral, and short respectively this week, based on the performance of various factors such as supply, demand, inventory, and price difference [5][8][11][18]. 3. Summary by Related Content Commodity Sector Analysis - **Precious Metals**: Gold's time - series momentum increased marginally, while silver's momentum weakened marginally, and the cross - sectional difference gradually narrowed [3]. - **Non - ferrous Metals**: The position factor of the non - ferrous metals sector rebounded marginally, and copper was relatively strong in the cross - section [3]. - **Black Metals**: The long - cycle momentum factors of coking coal and coke declined, and the position of iron ore remained low [3]. - **Energy and Chemicals**: The cross - sectional momentum differentiation in the energy and chemical sector widened, and ethylene glycol and PTA were relatively weak in the cross - section [3]. - **Agricultural Products**: The short - cycle momentum factors of soybean oil and palm oil remained low, and the momentum of soybean meal was relatively strong in the cross - section [3]. Strategy Net Value and Fundamental Factors - **Methanol**: Last week, the supply factor decreased by 0.19%, the demand factor weakened by 0.18%, the inventory factor decreased by 0.37%, the price difference factor strengthened by 0.25%, and the synthetic factor decreased by 0.37%. Fundamentally, the supply side is short, the demand side is short, the inventory side's long - position strength weakens, and the price difference side is neutral to long [4][5]. - **Float Glass**: Last week, the inventory factor decreased by 0.86%, the price difference factor strengthened by 0.77%, and the synthetic factor weakened by 0.35%. Fundamentally, the supply side is neutral, the inventory side is long, the profit side is short, and the price difference side is short [8]. - **Iron Ore**: Last week, the supply factor weakened by 0.39%, the inventory factor increased by 0.47%, the price difference factor decreased by 0.31%, and the synthetic factor weakened by 0.08%. Fundamentally, the supply side signal changed from short to neutral, the demand side signal changed from long to neutral, the inventory side signal remained neutral, and the price difference side signal remained neutral [10][11][13]. - **Lead**: Last week, the supply factor decreased by 0.18%, the demand factor weakened by 0.17%, the inventory factor decreased by 0.13%, the price difference factor weakened by 0.1%, and the synthetic factor decreased by 0.14%. Fundamentally, the supply side signal remains short, the inventory side signal remains short, and the price difference side's short - position feedback weakens but the signal remains short [15][18].

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]