国技期货 商品量化CTA周度跟踪 国投期货研究院 金融工程组 2025/12/23 有色截面动量分化 商品本周多头占比小幅上升,主要表现 贵金属因子强度维持高位,农产品板块 小幅下降。目前,截面偏强的板块是贵 金属和有色,黑色和能源也位于中性以 上区间,截面偏弱的是农产品。具体来 看,黄金时序动量小幅上升,白银的持 仓量边际上升幅度更大,持续处于偏强 区间,截面两端分化扩大。有色板块短 周期动量回升,期限结构分化收窄,截 面上铜和锡均偏强。黑色板块,时序动 量显示边际回落,铁矿和螺纹持仓量维 持中性,焦煤焦炭持仓量仍然位于高位 。能化板块短周期动量因子回升,纯碱 处于截面偏空端。农产品方面,油粕截 面分化收窄,虽然时序动量层面下行趋 势边际减弱,但持仓量处于近期低位。 玻 寶 策略净值方面,上周供给因子上行 1.51%,需求因子走强1.62%,库存因子 走弱0.13%,价差因子走高0.29%,利润 因子走强0.21%，合成因子上行1.38%， 本周综合信号空头。基本面因子上,浮 法玻璃企业开工环比持平,供给端中 性;二线城市商品房成交数量增多,需 求端中性偏多;河北、湖北浮法玻璃企 业小幅累库,库存端多头强度 ...

Report Overview - The report is titled "Commodity Quantitative CTA Weekly Tracking" by Guotou Futures Research Institute's Financial Engineering Group, dated December 23, 2025 [1][2] Industry Investment Rating - Not provided in the given content Core Viewpoints - This week, the proportion of long positions in commodities increased slightly, with the factor strength of precious metals remaining high and that of the agricultural products sector decreasing slightly. The precious metals and non - ferrous metals sectors are relatively strong in the cross - section, while the agricultural products sector is relatively weak [3] Summary by Commodity Category Overall Commodity Situation - The proportion of long positions in commodities increased slightly this week. Precious metals factor strength remained high, and the agricultural products sector decreased slightly. The relatively strong cross - sectional sectors are precious metals and non - ferrous metals, while the agricultural products sector is relatively weak [3] Specific Commodity Analysis Metals - **Precious Metals**: The time - series momentum of gold increased slightly, and the marginal increase in silver's trading volume was greater, remaining in a relatively strong range. The divergence at both ends of the cross - section widened [3] - **Non - Ferrous Metals**: The short - cycle momentum of the non - ferrous metals sector rebounded, the divergence of the term structure narrowed, and both copper and tin were relatively strong in the cross - section [3] - **Black Metals**: The time - series momentum showed a marginal decline. The trading volumes of iron ore and rebar remained neutral, while those of coking coal and coke remained at a high level [3] Energy and Chemicals - The short - cycle momentum factor of the energy and chemicals sector rebounded, and soda ash was at the short end of the cross - section [3] Agricultural Products - The cross - sectional divergence of oilseeds and meals narrowed. Although the downward trend at the time - series momentum level weakened marginally, the trading volume was at a recent low [3] Strategy Net Worth and Fundamental Factors Methanol - Last week, the inventory factor weakened by 0.02%, and the synthetic factor decreased by 0.02%. This week, the comprehensive signal is long. On the fundamental factors, import methanol arrivals and domestic road freight prices sent long signals on the supply side; the raw material procurement volume of domestic methanol - to - olefins enterprises decreased, sending a short signal on the demand side; methanol ports continued to destock last week, and the long signal on the inventory side continued; the spot price of inland methanol fell, while that of port methanol was relatively strong, and the spread side was neutral [5] Float Glass - Last week, the supply factor increased by 1.51%, the demand factor strengthened by 1.62%, the inventory factor weakened by 0.13%, the spread factor increased by 0.29%, and the profit factor strengthened by 0.21%. The synthetic factor increased by 1.38%. This week, the comprehensive signal is short. On the fundamental factors, the start - up of float glass enterprises was flat month - on - month, the supply side was neutral; the number of second - tier city commercial housing transactions increased, the demand side was slightly long; float glass enterprises in Hebei and Hubei slightly accumulated inventory, the long strength on the inventory side weakened and turned neutral; the daily after - tax gross profit loss of pipeline - gas - made float glass increased, and the short signal on the profit side continued [8] Iron Ore - Last week, the inventory factor decreased by 0.59%, and the comprehensive factor weakened by 0.19%. This week, the comprehensive signal remained neutral. The supply side turned to a short feedback but the signal remained neutral; the demand side's long feedback weakened and the signal turned neutral; the inventory side's signal changed from short to neutral; the short feedback on the spread side weakened slightly and the signal remained neutral [10] Aluminum - Last week, the supply factor increased by 0.6%, the demand factor strengthened by 0.56%, the spread factor increased by 0.51%, and the synthetic factor strengthened by 0.42%. This week, the comprehensive signal changed from short to long. The supply side signal changed from short to neutral; the inventory side signal changed from neutral to long; the spread side signal changed from short to long [10]

Report Summary 1. Report Industry Investment Rating No information provided. 2. Core Viewpoints - The multi - short ranking of commodities has changed significantly this week, with the divergence between energy and non - ferrous metals at the two ends increasing. Currently, the relatively strong sectors are non - ferrous metals and black metals, while the relatively weak ones are energy and agricultural products [2]. - The overall signals of different commodities vary. For methanol, the comprehensive signal turns neutral; for float glass, the comprehensive signal is neutral; for iron ore, the comprehensive signal turns bearish; for Shanghai lead, the comprehensive signal remains neutral [4][7]. 3. Summary by Commodity Commodity Overall Situation - The divergence within the non - ferrous metals sector has increased. The time - series momentum factor of the non - ferrous metals sector remains high, but the position factors of varieties such as zinc and aluminum have declined, and the cross - sectional momentum divergence has expanded. The time - series momentum of the energy sector has dropped significantly [2]. Methanol - Strategy net value: Last week, the supply factor strengthened by 0.01%, the demand factor increased by 0.15%, the inventory factor rose by 0.12%, the spread factor weakened by 0.11%, and the synthetic factor increased by 0.01%. This week, the comprehensive signal turns neutral [4]. - Fundamental factors: The import arrival volume has increased significantly, making the supply side bearish; the capacity utilization rates of formaldehyde, glacial acetic acid, and MTBE plants have decreased, making the demand side neutral to bearish; the inventory of domestic methanol production enterprises has continued to decrease, making the inventory side bullish; the methanol futures 9 - 1 spread and the import profit factor have both released bearish signals, making the spread side neutral [4]. Float Glass - Strategy net value: Last week, the inventory factor decreased by 0.32%, the spread factor increased by 0.39%. This week, the comprehensive signal is neutral [7]. - Fundamental factors: The capacity utilization rate of float glass is flat month - on - month, keeping the supply side neutral; the transaction volume of commercial housing in third - tier cities has increased slightly, making the demand side neutral; the inventory of float glass enterprises has increased, with the inventory side remaining bullish but the strength weakening; the spot price of the domestic float glass market has continuously released bearish signals, making the spread side bearish; the pre - tax gross profit of float glass made from steam coal and pipeline gas has declined, but the factor contribution is low, making the profit side neutral [7]. Iron Ore - Strategy net value: Last week, each factor remained unchanged. This week, the comprehensive signal turns bearish [7]. - Fundamental factors: The arrival volumes at Rizhao Port and Tianjin Port have increased significantly, strengthening the bearish feedback on the supply side; the daily average consumption of steel enterprises has decreased, with the demand side turning to bearish feedback but the signal remaining neutral; the inventory of imported trade ore at ports has accumulated, strengthening the bearish feedback on the inventory side; the spot price center has risen, and the freight rate from Tubarão, Brazil to Qingdao has increased slightly, maintaining the bullish feedback on the spread side [7]. Shanghai Lead - Strategy net value: Last week, the supply factor weakened and decreased by 0.23%, the synthetic factor weakened by 0.04%. This week, the comprehensive signal remains neutral [7]. - Fundamental factors: The price of SMM imported lead concentrates has gradually increased, making the supply side turn to bearish feedback; the LME inventory and SHFE futures warehouse receipts have both decreased, making the inventory side turn to bullish feedback; the average weekly near - far month spread of LME lead has expanded, making the spread side signal turn neutral [7].