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

Report Overview - Report Title: Commodity Quantitative CTA Weekly Tracking [1] - Report Date: November 4, 2025 [2] - Report Author: Guotou Futures Research Institute, Financial Engineering Group [2] Investment Rating - No investment rating information is provided in the report. Core Viewpoints - This week, the proportion of short positions in commodities has rebounded, mainly due to the decline in the factor strength of the black sector and the rebound in agricultural products. Currently, the sectors with relatively strong cross - section are non - ferrous metals and agricultural products, while the relatively weak ones are black and energy sectors [3]. - The short - term momentum of the black sector has declined, with a decrease in the positions of iron ore and rebar, indicating a more cautious sentiment after the realization of positive factors [3]. - The cross - section of agricultural products has reversed, with the short - term momentum of soybean oil slightly decreasing and that of soybean meal increasing, and soybean meal is relatively strong in the short - term cross - section [3]. Summary by Related Content Commodity Market Conditions - **Sector Performance**: The cross - section of non - ferrous and agricultural sectors is strong, while the black and energy sectors are weak. Gold's time - series momentum has marginally rebounded, and the decline in silver's positions is small. In the non - ferrous sector, the position factor has marginally rebounded, and the long - term momentum continues to rise, with copper being strong and alumina being weak. In the black sector, coking coal is relatively strong in the cross - section. The short - term momentum cross - section of the energy - chemical sector has expanded, and the chemical sector is on the short side of the cross - section [3]. - **Factor Performance**: The supply factor increased by 0.98% last week, the demand factor decreased by 0.64%, the inventory factor decreased by 0.48%, and the synthetic factor weakened by 0.62%. This week, the comprehensive signal is short [4]. Specific Commodity Analysis Methanol - **Strategy Net Value**: Last week, the inventory factor decreased by 0.05%, the spread factor weakened by 0.05%, and the synthetic factor decreased by 0.04%. This week, the comprehensive signal is long [15]. - **Fundamental Factors**: The supply side is neutral to short, the demand side is long, the inventory side is short, and the spread side is long [15]. Iron Ore - **Strategy Net Value**: The supply factor increased by 0.49%, the demand factor strengthened by 0.47%, the spread factor decreased by 0.09%, and the synthetic factor strengthened by 0.2%. This week, the comprehensive signal remains short [13]. - **Fundamental Factors**: The supply side signal remains long, the demand side signal turns neutral, the inventory side signal remains neutral, and the spread side signal remains neutral [13]. Glass - **Strategy Net Value**: The supply factor increased slightly, the demand factor is long, the inventory factor is short, and the spread factor is long. This week, the comprehensive signal is long [15]. - **Fundamental Factors**: The supply side is neutral to short, the demand side is long, the inventory side is short, and the spread side is long [15].

Report Summary 1. Report Title and Date - **Title**: Commodity Quantitative CTA Weekly Tracking [1] - **Date**: September 23, 2025 [2] 2. Core Viewpoints - The proportion of short positions in commodities increased slightly this week. The factor intensities of energy and agricultural products declined, while the black sector rose. The precious metals sector was strong in the cross - section, and the energy and agricultural products sectors were weak [3]. - In terms of strategy net worth, different factors showed different trends last week, and the comprehensive signals were different for various commodities. The fundamental factors also presented different characteristics for different commodities [3]. 3. Summary by Commodity Sector Metals - **Black Sector**: The momentum factors of coking coal and coke increased marginally, and the term structure of rebar was stronger than that of iron ore [3]. - **Non - ferrous Sector**: The position factor of the non - ferrous sector increased marginally, and copper was strong in the cross - section [3]. - **Precious Metals**: The time - series momentum of gold remained unchanged, and the momentum of silver continued to rise marginally with an expanding internal difference [3]. Energy and Chemicals - The cross - sectional momentum differentiation of the energy and chemical sector narrowed, and soda ash was weak in the cross - section [3]. Agricultural Products - The short - cycle momentum factors of soybean oil and palm oil remained low, but the position increased marginally. The time - series momentum of agricultural products declined [3]. Others - **Iron Ore**: Last week, the supply factor weakened by 0.18%, the spread factor decreased by 0.21%, and the synthetic factor weakened by 0.14%. This week, the comprehensive signal turned to long. The supply, demand, and spread signals turned to long, and the inventory signal turned to short [5]. - **Shanghai Lead**: Last week, the supply factor weakened by 0.02%, the demand factor decreased by 0.23%, the spread factor strengthened by 0.21%, and the synthetic factor was flat compared with the previous week. This week, the comprehensive signal remained short. The supply signal remained neutral, the inventory signal turned to short, and the spread signal turned from long to short [5]. - **Methanol**: Last week, the supply factor decreased by 0.28%, the demand factor weakened by 0.02%, the inventory factor increased by 0.40%, the spread factor increased by 0.01%, and the synthetic factor strengthened by 0.01%. This week, the comprehensive signal was short. The supply side was neutral, the demand side turned to long, the inventory side remained short, and the spread side was short [3]. - **Float Glass**: Last week, the returns of major factors were flat compared with the previous week. This week, the comprehensive signal was long. The supply side remained neutral, the demand side was neutral, the inventory side was long, the profit side was slightly long, and the spread side was slightly short [3].