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] - 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].