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 - Not mentioned in the provided content. 2. Core Viewpoints - The proportion of long and short positions in commodities remained basically unchanged this week. The strength of the precious metals factor remained high, while that of the non-ferrous and agricultural product sectors decreased. The precious metals sector was relatively strong, and the agricultural product and chemical sectors were relatively weak [2]. - The differentiation within the agricultural product sector widened, with the cross - section differentiation of oil and meal products increasing, and the marginal decline in the positions of soybean oil and sugar [2]. 3. Summary by Related Catalogs Commodity Overall Situation - The cross - sectionally strong sector was precious metals, and the weak ones were agricultural products and chemicals. Gold's time - series momentum increased, and although the marginal position of silver decreased, it remained above the neutral range, with the cross - section differentiation at both ends widening [2]. - In the non - ferrous sector, the short - cycle momentum decreased marginally, the cross - section momentum differentiation narrowed, and zinc was relatively strong in the cross - section [2]. - In the black sector, the term structure showed narrowing differentiation, the positions of iron ore and rebar remained at low levels, and the short - cycle momentum increased slightly [2]. - In the energy and chemical sector, the short - cycle momentum factor rebounded, and soda ash was at the short end of the cross - section [2]. Factor Returns and Signals - **Methanol**: The demand factor weakened by 0.07%, the inventory factor increased by 0.12%, and the synthetic factor strengthened by 0.05%. This week, the comprehensive signal was long. The supply side was neutral to long, the demand side was neutral, the inventory side turned long, and the spread side was neutral [3][4]. - **General Situation (First Table)**: The supply factor had a weekly return of 0.00% and a monthly return of 0.56%; the demand factor had a weekly return of - 0.07% and a monthly return of - 0.88%; the inventory factor had a weekly return of 0.12% and a monthly return of 1.45%; the spread factor had a weekly return of 0.00% and a monthly return of 0.00%; the cumulative return of major categories was 0.05% for the week and 0.50% for the month [3]. - **General Situation (Second Table)**: The supply factor had a weekly return of - 0.46% and a monthly return of - 0.36%; the demand factor had a weekly return of - 0.49% and a monthly return of - 0.49%; the inventory factor had a weekly return of 0.00% and a monthly return of - 0.21%; the spread factor had a weekly return of 0.00% and a monthly return of - 0.26%; the profit factor had a weekly return of 1.07% and a monthly return of 1.82%; the cumulative return of major categories was - 0.32% for the week and - 0.36% for the month [7]. - **General Situation (Third Table)**: The supply factor decreased by 0.08% last week, the inventory factor increased by 0.67%, and the comprehensive factor strengthened by 0.2%. This week, the comprehensive signal changed from short to neutral [10][13]. - **Iron Ore**: The comprehensive signal changed from short to neutral. The supply side's long feedback further weakened, the demand side's long feedback strengthened, the inventory side's short signal strength increased, and the spread side's short feedback strengthened [13]. - **Aluminum**: The demand factor strengthened by 0.38 last week, the inventory factor decreased by 0.13%, the spread factor strengthened by 0.45%, the synthetic factor increased by 0.18%, and this week, the comprehensive signal remained short [13]. - **Float Glass**: The supply factor decreased by 0.46% last week, the demand factor weakened by 0.49%, the profit factor strengthened by 1.07%, the synthetic factor decreased by 0.32%, and this week, the comprehensive signal was short. The supply side was neutral, the inventory side's long strength increased, the spread side was short, and the profit side continued to be short [15]. Sector Momentum and Other Indicators | 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 and Chemical | - 0.02 | 0.18 | 0.37 | 0.69 | | Agricultural Product | 0.13 | 0.35 | 0.41 | - 0.19 | | Stock Index | - 0.71 | 0.46 | - 0.63 | 1.06 | | Precious Metals | 0.12 | | | 0.88 | [5]