Group 1: Report Overview - Report Title: Commodity Quantitative CTA Weekly Tracking [1] - Report Date: March 17, 2026 [2] - Report Author: Guotou Futures Research Institute, Financial Engineering Group [2] Group 2: Industry Investment Rating - Not provided in the report Group 3: Core Viewpoints - The proportion of long positions in commodities decreased slightly this week, mainly due to the decline in the strength of agricultural product factors. The relatively strong sectors in the cross - section are energy - chemical and black, while the relatively weak one is the agricultural product sector. Short - term price - volume factors are highly volatile due to macro factors [3]. Group 4: Commodity Factor Analysis Overall Commodity Situation - The short - term cross - section differentiation of agricultural products narrowed, and short - term factors declined marginally. The short - term momentum of the chemical industry as a whole declined, with asphalt showing relatively little change. The short - term momentum of the black sector increased marginally, and iron ore was relatively strong in the cross - section. The short - cycle momentum differentiation of the non - ferrous sector expanded, and aluminum and tin were strong in the term structure. The time - series momentum of gold fluctuated within a narrow range, and the position factor of silver rebounded [3]. Factor Performance | 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 - chemical | - 0.02 | 0.18 | 0.37 | 0.69 | | Agricultural | 0.13 | 0.35 | 0.41 | - 0.19 | | Stock Index | - 0.71 | 0.46 | - 0.63 | 1.06 | | Precious Metals | 0.12 | | | 0.88 | [6] Group 5: Strategy Net Value and Fundamental Factor Analysis Methanol - In terms of strategy net value, the inventory factor weakened by 0.22%, the spread factor decreased by 0.21%, and the synthetic factor decreased by 0.23%. This week, the comprehensive signal turned neutral. On the fundamental factors, the import volume of methanol released a short signal on the supply side; the demand side was neutral to bearish; the inventory side turned bullish; the spread side was neutral to bullish [5]. Float Glass - Strategy net value: The supply factor strengthened by 0.02%, the demand factor increased by 0.21%, the inventory factor increased by 0.18%, the profit factor increased by 0.04%, and the synthetic factor increased by 0.17%. This week, the comprehensive signal was bearish. On the fundamental factors, the demand side turned neutral, the inventory side continued to be bearish, the profit side turned neutral, and the spread side was neutral to bearish [8]. Iron Ore - Strategy net value: The supply factor decreased by 0.79% last week, and the comprehensive factor weakened by 0.16%. This week, the comprehensive signal changed from neutral to bullish. The supply side signal changed from bearish to bullish, the demand side signal changed from bullish to bearish, the inventory side signal remained neutral, and the spread side signal turned bullish [8]. Aluminum - Strategy net value: Last week, the demand factor increased by 0.5%, the inventory factor strengthened by 0.59%, the spread factor decreased by 0.35%, and the synthetic factor strengthened by 0.15%. This week, the comprehensive signal remained bearish. The supply side signal remained neutral, the inventory side bearish signal weakened, and the spread side signal remained bullish [8].

1. Report Industry Investment Rating - No relevant information provided 2. Core Viewpoints - The proportion of long positions in commodities increased this week, mainly due to the rising factor strength in the energy and precious metals sectors, while the relative change in the agricultural products sector was not significant. Currently, the energy and precious metals sectors are relatively strong, and the agricultural products sector is relatively weak. Short - term price - volume factors are highly volatile due to macro factors [2]. - The time - series momentum of gold increased significantly, and the position factor of silver continued to rise. The short - cycle momentum of the non - ferrous sector increased slightly, but there was rotation in the cross - section, and the term structure differentiation widened, with copper being relatively strong. The time - series momentum of the black sector showed a slight marginal recovery, and coke was strong in the cross - section. The chemical sector generally increased to varying degrees following the energy sector, but the position factors of glass and soda ash remained relatively neutral. In the agricultural products sector, the short - cycle cross - section differentiation widened, and rapeseed oil had a relatively large marginal increase [2]. 3. Summary by Related Catalogs 3.1 Commodity Factor Performance - **Supply, Demand, Inventory, and Spread Factors**: For the first set of data, the supply factor had a weekly return of 1.02% and a monthly return of 1.60%, the demand factor had a weekly return of - 0.39% and a monthly return of - 0.38%, the inventory factor had a weekly return of 1.22% and a monthly return of 1.05%, the spread factor had a weekly return of 0.00% and a monthly return of 0.59%, and the cumulative return of the major categories was 0.66% for the week and 0.53% for the month. The synthetic factor increased, but the comprehensive signal for the week was short [3][4]. - **Factor Performance in Different Sectors**: In the black sector, the time - series momentum was 0.05, the cross - section momentum was - 0.51, the term structure was 0.06, and the position was 0.19; in the non - ferrous sector, the time - series momentum was 0.56, the cross - section momentum was 0.93, the term structure was - 0.62, and the position was - 0.64; in the energy and chemical sector, the time - series momentum was 0.01, the cross - section momentum was 0.57, the term structure was 0.02, and the position was 0.16; in the agricultural products sector, the time - series momentum was 0.41, the cross - section momentum was - 0.67, the term structure was 0.93, and the position was - 1.2; in the stock index sector, the time - series momentum was 0.31, the cross - section momentum was - 0.38, the term structure was 0.45, and the position was - 0.48; in the precious metals sector, the time - series momentum was 0.34 and the position was 0.09 [5]. 3.2 Strategy Net Value and Fundamental Factors - **Methanol**: The supply factor of methanol strengthened by 1.02%, the demand factor decreased by 0.39%, the inventory factor increased by 1.22%, and the synthetic factor increased by 0.66%. The comprehensive signal for the week was short. Fundamentally, the domestic methanol plant capacity utilization rate continued to increase, indicating a short signal on the supply side; the start - up of MTO plants in the Jiangsu and Zhejiang regions was slightly flat month - on - month, indicating a neutral signal on the demand side; the inventory of inland methanol enterprises increased significantly during the Spring Festival, indicating a short signal on the inventory side; the spot market prices of methanol in the Lunan, Shaanxi, and Shanxi regions released short signals, and the spread was neutral to short [4]. - **Float Glass**: The demand factor of float glass strengthened by 0.22%, the inventory factor increased by 0.19%, the spread factor weakened by 0.13%, the profit factor decreased by 0.04%, and the synthetic factor decreased by 0.03%. The comprehensive signal for the week was short. Fundamentally, the start - up of float glass enterprises increased slightly month - on - month, indicating a neutral signal on the supply side; the number of commercial housing transactions in first - tier cities decreased slightly compared with before the Spring Festival, and the short signal on the demand side continued; float glass enterprises had a slight inventory increase, and the short signal on the inventory side strengthened; the after - tax gross profit of float glass made from动力煤 in North China continued to be in a loss, and the profit side remained short; the domestic spot price of float glass released a short signal, and the spread was neutral to short [7]. - **Iron Ore**: The supply factor of iron ore decreased by 0.37%, the demand factor weakened by 0.33%, the inventory factor strengthened by 0.04%, the spread factor increased by 0.03%, and the synthetic factor weakened by 0.15%. The comprehensive signal for the week remained short. The shipping volume from Brazil increased, and the arrival volume at northern ports increased slightly, changing the supply signal from long to short. The consumption of domestic sintering iron ore powder by steel mills continued to decline, and the long feedback on the demand side further weakened, with the signal remaining neutral. The inventory of sintering iron ore powder in steel mills decreased, and the inventory of Brazilian iron ore at ports decreased, with the long feedback on the inventory side strengthening and the signal remaining neutral. The spot price center increased, and the spread turned to long feedback, with the signal remaining neutral [10]. - **Lead**: The supply factor of lead decreased by 0.37%, the demand factor weakened by 0.33%, the inventory factor strengthened by 0.04%, the spread factor increased by 0.03%, and the synthetic factor weakened by 0.15%. The comprehensive signal for the week remained short. The loss of SMM tax - free recycled lead widened, and the long feedback on the supply side strengthened, with the signal remaining neutral. The LME lead inventory decreased slightly, and the long signal on the inventory side strengthened. The discount of lead ingots widened, and the short feedback on the spread side increased slightly, with the signal remaining short [10].

1. Report Title and Date - The report is titled "Commodity Quantitative CTA Weekly Tracking" by Guotou Futures Research Institute's Financial Engineering Group, dated February 10, 2026 [1][2] 2. Core Viewpoints - The proportion of commodities this week has changed little. The factor strength of the precious metals and non - ferrous sectors has stabilized and rebounded, while the black and agricultural product sectors have declined due to cross - sectional rotation. Currently, the non - ferrous and chemical sectors are cross - sectionally strong, and the black sector is cross - sectionally weak [3] 3. Industry Analysis 3.1 Sector - by - Sector Momentum and Structure - **Precious Metals**: Gold shows signs of momentum reversal and is gradually stabilizing, and the trading volume of silver has increased slightly [3] - **Non - Ferrous Metals**: The short - cycle momentum of the non - ferrous sector has increased, and the term structure differentiation has narrowed. Aluminum and nickel are cross - sectionally strong [3] - **Black Metals**: The time - series momentum of the black sector has declined marginally, and rebar is weak cross - sectionally [3] - **Energy and Chemicals**: The cross - sectional differentiation of short - cycle momentum in the energy and chemical sector has expanded. Styrene is cross - sectionally strong, and soda ash is weak [3] - **Agricultural Products**: The short - cycle momentum has not reversed significantly, and the trading volume remains below neutral [3] 3.2 Factor Performance and Signals 3.2.1 Methanol - Last week, the supply factor weakened by 0.11%, the inventory factor decreased by 0.17%, the spread factor decreased by 0.02%, and the synthetic factor decreased by 0.13%. This week, the comprehensive signal is long. Fundamentally, the supply side is long, the demand side is short, the inventory side is long, and the spread side is neutral to long [5] 3.2.2 Iron Ore - Last week, the comprehensive factor trend was flat compared to the previous week. This week, the comprehensive signal has changed from short to neutral. The supply side signal feedback is enhanced and remains neutral, the demand side signal has changed from short to long, the inventory side has a long feedback and remains neutral, and the spread side signal has changed from neutral to short [11] 3.2.3 Shanghai Lead - Last week, the supply factor increased by 0.84%, the demand factor strengthened by 0.81%, the inventory factor decreased by 0.83%, the spread factor increased by 0.72%, and the synthetic factor strengthened by 0.39%. This week, the comprehensive signal remains short. The supply side short signal intensity is further enhanced, the inventory side long feedback is slightly weakened and the signal has changed from long to neutral, and the spread side signal has changed from short to neutral [11] 3.2.4 Glass - Last week, the inventory factor increased by 0.11%, the profit factor decreased by 0.44%, and the synthetic factor strengthened by 0.25%. This week, the comprehensive signal remains short. Fundamentally, the supply side is neutral, the demand side short intensity has weakened and become neutral, the inventory side remains neutral, and the profit side remains short [12] 4. Performance Data 4.1 Methanol | Factor | Last Week's Return (%) | This Month's Return (%) | | --- | --- | --- | | Supply | - 0.11 | 0.64 | | Demand | 0.00 | - 0.45 | | Inventory | - 0.17 | 0.01 | | Spread | - 0.02 | 0.73 | | Aggregate | - 0.13 | 0.00 | [4] 4.2 Glass | Factor | Last Week's Return (%) | This Month's Return (%) | | --- | --- | --- | | Pin de | 0.00 | - 0.32 | | Demand | 0.00 | - 0.35 | | Inventory | 0.11 | - 0.37 | | Spread | 0.00 | 0.00 | | Profit | - 0.44 | 1.47 | | Aggregate | 0.25 | - 0.32 | [8] 4.3 Iron Ore | Factor | Last Week's Return (%) | This Month's Return (%) | | --- | --- | --- | | Supply | 0.00 | 0.20 | | Inventory | 0.00 | - 0.24 | | Spread | 0.00 | - 0.29 | | Aggregate | 0.00 | - 0.18 | [11] 4.4 Shanghai Lead | Factor | Last Week's Return (%) | This Month's Return (%) | | --- | --- | --- | | Supply | 0.84 | 2.14 | | Demand | 0.81 | 2.84 | | Inventory | - 0.83 | - 1.86 | | Spread | 0.72 | 1.35 | | Aggregate | 0.39 | 1.06 | [11] 5. Momentum and Other Indicators by Sector | Sector | Momentum Time - Series | Momentum Cross - Section | Term Structure | Trading Volume | | --- | --- | --- | --- | --- | | Black | 0.21 | - 0.29 | 0.85 | 1.25 | | Non - Ferrous | 0.06 | 0.93 | - 2.2 | - 0.64 | | Energy and Chemicals | - 0.37 | 0.57 | 0.02 | 0.16 | | Agricultural Products | 0.75 | - 0.67 | 0.93 | 1.37 | | Stock Index | 0.31 | - 0.1 | - 0.32 | 0.48 | | Precious Metals | 0 | | | - 0.15 | [6]

1. Report Industry Investment Rating - No relevant information provided 2. Core Viewpoints - The proportion of long and short positions in commodities changed little this week. The factor strength of precious metals remained high, the energy sector declined slightly, and the agricultural products sector remained in a neutral and weak pattern. The precious metals sector was strong in the cross - section, while the black and agricultural products sectors were weak [3] - For methanol, the supply factor strengthened by 1.05% last week, the inventory factor increased by 1.12%, and the synthetic factor increased by 0.83%. This week, the comprehensive signal is long [5] - For iron ore, the supply factor increased by 0.05% last week, the inventory factor weakened by 0.06%, and the comprehensive factor decreased by 0.01%. This week, the comprehensive signal changed from neutral to short [14][15] - For aluminum, the supply factor increased by 0.74% last week, the demand factor strengthened by 0.88%, the inventory factor decreased by 0.19%, and the synthetic factor strengthened by 0.32%. This week, the comprehensive signal remained short [15] - For CTA, the supply factor weakened by 0.40% last week, the inventory factor strengthened by 0.56%, the profit factor decreased by 0.61%, and the synthetic factor decreased by 0.31%. This week, the comprehensive signal is neutral [17] 3. Summary by Related Catalogs Commodity Market Overview - The factor strength of precious metals remained high, the energy sector declined slightly, and the agricultural products sector remained in a neutral and weak pattern. The precious metals sector was strong in the cross - section, while the black and agricultural products sectors were weak. Gold's time - series momentum increased slightly, and the trading volume of silver continued to increase marginally. The short - cycle momentum of the non - ferrous sector increased, and the differentiation of the term structure narrowed. The time - series momentum of the black sector declined marginally, with rebar being strong and coke being short in the cross - section. The short - cycle momentum of the energy - chemical sector showed less cross - sectional differentiation, and the overall time - series momentum decreased. For agricultural products, the short - cycle momentum of most varieties did not reverse significantly, and the trading volume of palm oil increased [3] Methanol - Last week, the supply factor of methanol strengthened by 1.05%, the inventory factor increased by 1.12%, and the synthetic factor increased by 0.83%. This week, the comprehensive signal is long. In terms of fundamental factors, the arrival volume of imported methanol increased, the strength of the long position on the supply side weakened and became neutral; the operating rates of the glacial acetic acid and MTBE industries increased, indicating a long position on the demand side; the inventory of domestic production enterprises decreased, indicating a long position on the inventory side; the spot prices in the domestic and coastal methanol markets both sent short signals, indicating a short position on the spread side [5] Iron Ore - Last week, the supply factor of iron ore increased by 0.05%, the inventory factor weakened by 0.06%, and the comprehensive factor decreased by 0.01%. This week, the comprehensive signal changed from neutral to short. The shipping volume from BHP increased significantly, and the short signal on the supply side was slightly enhanced, remaining neutral. The daily average port clearance volume decreased, and the daily average hot metal output of 247 steel enterprises was basically flat. The demand - side signal changed from neutral to short. The inventory of domestic sintering ore powder in steel mills and the inventory of imported trade ore in ports both increased, and the inventory side turned to a short feedback, remaining neutral. The spot price center moved down, and the long feedback on the spread side further weakened, remaining neutral [14][15] Aluminum - Last week, the supply factor of aluminum increased by 0.74%, the demand factor strengthened by 0.88%, the inventory factor decreased by 0.19%, and the synthetic factor strengthened by 0.32%. This week, the comprehensive signal remained short. The loss of SMM recycled lead narrowed slightly, and the strength of the short signal on the supply side further increased. The inventory of registered and non - registered warehouse receipts in the SHFE decreased, and the long feedback on the inventory side increased, remaining neutral. The SMM lead ingot price decreased, the price center of recycled lead moved down, and the short feedback on the spread side increased, turning to short [15] CTA - Last week, the supply factor of CTA weakened by 0.40%, the inventory factor strengthened by 0.56%, the profit factor decreased by 0.61%, and the synthetic factor decreased by 0.31%. This week, the comprehensive signal is neutral. In terms of fundamental factors, the capacity utilization rate of float glass enterprises was flat month - on - month, indicating a neutral supply side; the number of commercial housing transactions in second - tier cities decreased, indicating a slightly short demand side; the inventory of Chinese float glass enterprises decreased slightly, but the contribution of this factor was high, and the long position on the inventory side continued; the after - tax gross profit of float glass produced by various processes continued to be in a loss, indicating a short position on the profit side [17]

Report Overview - Report Title: Commodity Quantitative CTA Weekly Tracking [1] - Research Institution: Guotou Futures Research Institute, Financial Engineering Group - Report Date: January 13, 2026 Industry Investment Rating - Not provided Core Viewpoints - This week, there is little change in the long - short ratio of commodities. The factor strength of the precious metals sector remains high, the energy sector rebounds slightly, and the black and agricultural product sectors decline slightly. The precious metals and non - ferrous sectors are relatively strong in the cross - section, while the black and agricultural product sectors are relatively weak. The comprehensive signal of each variety has different trends, including long, neutral, and short signals [3]. Summary by Related Content 1. Commodity Sector Analysis - **Precious Metals**: The time - series momentum of gold drops slightly but remains in a relatively strong range, and the trading volume of silver continues to increase marginally [3]. - **Non - ferrous Metals**: The short - cycle momentum of the non - ferrous sector continues to rise, and the term structure differentiation expands [3]. - **Black Metals**: The time - series momentum of the black sector drops slightly marginally. The momentum of rebar decreases, while that of coking coal and coke increases [3]. - **Energy and Chemicals**: The short - cycle momentum cross - section differentiation of the energy and chemical sector expands, and PTA is at the long end of the cross - section. The term structure of the chemical sector shows differentiation [3][2]. - **Agricultural Products**: Except for corn, the short - cycle momentum of agricultural products drops slightly [3]. 2. Strategy Net Value and Factor Analysis - **General Situation**: In terms of strategy net value, different factors have different trends. For some varieties, the supply factor, demand factor, inventory factor, and spread factor show different degrees of strength or weakness, and the synthetic factors also have corresponding changes. The comprehensive signals include long, neutral, and short [5][13][15]. - **Methanol**: The supply factor strengthens by 0.33% last week, the demand factor rises by 0.05%, the inventory factor increases by 0.04%, the spread factor strengthens by 0.32%, and the synthetic factor rises by 0.30%. The comprehensive signal this week is long. The import volume of methanol decreases, the demand is neutral, the inventory releases a long signal, and the spread is neutral to short [5]. - **Iron Ore**: The supply factor has a 0.00% return last week and 0.39% monthly return, the demand factor is - 0.04% last week and - 0.07% monthly return, the inventory factor is 0.00% last week and 0.97% monthly return, the spread factor is 0.00% last week and 1.79% monthly return, and the synthetic factor is - 0.01% last week and 0.84% monthly return. The comprehensive signal is neutral. The supply is short, the demand is neutral, the inventory is long, and the spread is neutral [13]. - **Lead**: The demand factor weakens by 0.04% last week, the synthetic factor drops by 0.01%, and the comprehensive signal this week is short. The supply is short, the inventory turns neutral, and the spread is neutral [13]. - **Float Glass**: The supply factor strengthens by 1.03% last week, the demand factor rises by 1.09%, the inventory factor weakens by 0.02%, the profit factor drops by 0.21%, and the synthetic factor rises by 0.81%. The comprehensive signal is neutral. The supply is neutral, the demand turns neutral, the inventory is long, and the profit is short [15]. 3. Performance Data | Variety | Last Week's Return (%) | Monthly Return (%) | | --- | --- | --- | | General (First Table) | 0.33 (Supply), 0.05 (Demand), 0.04 (Inventory), 0.32 (Spread), 0.30 (Synthetic) | 0.38 (Supply), 0.48 (Demand), 0.43 (Inventory), 0.32 (Spread), 0.60 (Synthetic) | | General (Second Table) | 1.03 (Supply), 1.09 (Demand), - 0.02 (Inventory), - 0.21 (Profit), 0.81 (Synthetic) | 2.13 (Supply), 2.96 (Demand), 0.39 (Inventory), 0.25 (Spread), 0.14 (Profit), 2.13 (Synthetic) | | General (Third Table) | 0.00 (Supply), 0.00 (Inventory), 0.51 (Spread), 0.24 (Synthetic) | 0.00 (Supply), - 0.68 (Inventory), 0.83 (Spread), 0.18 (Synthetic) | | Iron Ore | 0.00 (Supply), - 0.04 (Demand), 0.00 (Inventory), 0.00 (Spread), - 0.01 (Synthetic) | 0.39 (Supply), - 0.07 (Demand), 0.97 (Inventory), 1.79 (Spread), 0.84 (Synthetic) | | Lead | - 0.04 (Demand), - 0.01 (Synthetic) | Not fully detailed | | Float Glass | 1.03 (Supply), 1.09 (Demand), - 0.02 (Inventory), - 0.21 (Profit), 0.81 (Synthetic) | Not fully detailed | 4. Sector Momentum and Other Data | Sector | Momentum Time - series | Momentum Cross - section | Term Structure | Trading Volume | | --- | --- | --- | --- | --- | | Black Metals | 1.46 | 0.33 | 1.1 | 0.33 | | Non - ferrous Metals | 0.85 | - 2.49 | 0.83 | 0.92 | | Energy and Chemicals | - 0.38 | 0 | 1.03 | 1.46 | | Agricultural Products | - 0.6 | 0.81 | 1.83 | - 1.82 | | Stock Index | 0.06 | 0.78 | - 0.25 | 1.37 | | Precious Metals | 1.01 | Not provided | Not provided | 0.56 | [6]

Report Overview - Report Title: Commodity Quantitative CTA Weekly Tracking [1] - Report Date: December 23, 2025 [2] - Research Team: Guotou Futures Research Institute, Financial Engineering Group [2] Industry Investment Rating - No industry investment rating information is provided in the report. Core Viewpoints - The proportion of long positions in commodities increased slightly this week. The factor strength of precious metals remained high, while that of the agricultural products sector decreased slightly. The precious metals and non - ferrous sectors were relatively strong in cross - section, the black and energy sectors were above the neutral range, and the agricultural products sector was relatively weak [3]. - In the methanol strategy, the inventory factor weakened by 0.02% last week, the synthetic factor declined by 0.02%, and the comprehensive signal this week is long. In the float glass strategy, the synthetic factor increased by 1.38% last week, and the comprehensive signal this week is short. In the iron ore strategy, the comprehensive factor weakened by 0.19% last week, and the comprehensive signal this week remains neutral. In the lead strategy, the synthetic factor strengthened by 0.42% last week, and the comprehensive signal this week changed from short to long [5][8][10] Section Summaries Commodity Market Overview - The proportion of long positions in commodities increased slightly this week. Precious metals and non - ferrous sectors were strong in cross - section, agricultural products were weak. Gold's time - series momentum rose slightly, silver's position increased more marginally. In the non - ferrous sector, short - cycle momentum recovered, and the term structure differentiation narrowed. In the black sector, time - series momentum showed a marginal decline. In the energy and chemical sector, short - cycle momentum factors recovered. In the agricultural products sector, the cross - section differentiation of oilseeds and meals narrowed [3] Performance of Different Factors - **Methanol**: Last week, the inventory factor weakened by 0.02%, the synthetic factor declined by 0.02%. The import methanol arrival volume and domestic road transport prices sent long signals on the supply side; the raw material procurement volume of domestic methanol - to - olefins enterprises decreased on the demand side; the methanol port continued to destock on the inventory side; the domestic methanol spot price fell while the port price was strong on the spread side [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%, the profit factor strengthened by 0.21%, and the synthetic factor increased by 1.38%. The supply side is neutral, the demand side is slightly long, the inventory side turns neutral, and the profit side remains short [8] - **Iron Ore**: Last week, the inventory factor declined by 0.59%, and the comprehensive factor weakened by 0.19%. The supply side turns to short feedback but the signal remains neutral, the demand side's long feedback weakens and turns to neutral, the inventory side's signal turns from short to neutral, and the spread side's short feedback weakens slightly and the signal remains neutral [10] - **Lead**: 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%. The supply side signal turns from short to neutral, the inventory side signal turns from neutral to long, and the spread side signal turns from short to long [10] Data Tables - **Commodity Factors Performance Table**: It shows the last week's and current month's returns of supply, demand, inventory, spread, and the cumulative returns of major categories [4] - **Factor Index Table for Different Sectors**: It presents the time - series momentum, cross - section momentum, term structure, and position volume of black, non - ferrous, energy and chemical, agricultural products, stock index, and precious metals sectors [6]

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]

Group 1 - The egg-laying chicken farming industry has entered a capacity clearing cycle, but the process will be prolonged due to the enhanced risk resistance of large-scale farming entities [1] - Since 2017, the egg-laying industry has experienced two significant phases of excessive culling, occurring in 2017 and 2020, driven by profit pressures [1] - In 2025, the level of losses in the egg-laying industry is expected to be comparable to that of 2020, with cumulative reductions in culling age approaching levels seen in 2017, yet the stock remains high [1] Group 2 - The market's supply and demand expectations influence the shape of the term structure, transitioning from a steep Contango to a flat Contango and eventually to a Back structure as prices reverse from the bottom [2] - The current egg futures market is in a Contango state, with the steepening trend due to hesitance in the culling process, and this low-near, high-far structure is expected to continue until supply-demand rebalancing occurs [2] - The overall industry is in a slow clearing phase, influenced by multiple factors including culling pace, restocking willingness, and market expectations, which require ongoing monitoring [2]

Report Summary 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 long positions in commodities decreased slightly. The factor strength of the black and chemical sectors declined, while that of the non - ferrous sector increased slightly. The non - ferrous sector is relatively strong in cross - section, and the chemical and agricultural product sectors are relatively weak [3]. - For the CTA strategy, the signals vary across different commodities. For example, the comprehensive signal for methanol is short, for glass is long, for iron ore changes from long to short, and for lead remains short [3][9][11]. 3. Summary by Commodity Categories Commodities in General - This week, the proportion of long positions in commodities decreased slightly. The factor strength of the black and chemical sectors declined, while that of the non - ferrous sector increased slightly. The non - ferrous sector is relatively strong in cross - section, and the chemical and agricultural product sectors are relatively weak [3]. - In terms of strategy net value, the demand factor weakened by 0.01%, the inventory factor increased by 0.36%, and the synthetic factor strengthened by 0.01%. The comprehensive signal this week is short [3]. Black Sector - The short - cycle momentum of the black sector decreased. The term structure shows narrowing differentiation. The positions of coking coal and coke remained low, and the short - cycle momentum of iron ore reversed and declined [3]. - In terms of strategy net value, last week the inventory factor decreased by 0.39%, the profit factor strengthened by 0.74%, and this week the comprehensive signal is long [9]. Non - Ferrous Sector - The short - cycle momentum of the non - ferrous sector increased marginally, and the cross - section momentum differentiation narrowed. Copper and zinc are relatively strong, and tin is relatively weak in cross - section [3]. - The time - series momentum of gold declined, the position of silver remained high, and the cross - section differentiation at both ends widened [3]. Energy and Chemical Sector - The long - cycle momentum factor of the energy and chemical sector decreased, and ethylene glycol is at the short end in cross - section [3]. Agricultural Product Sector - The cross - section differentiation of oil and meal narrowed, and the position of soybean oil decreased marginally [3]. Glass - In terms of strategy net value, last week the inventory factor decreased by 0.39%, the profit factor strengthened by 0.74%, and this week the comprehensive signal is long. The production of float glass enterprises, the transaction area of commercial housing in 30 large - and medium - sized Chinese cities, and the continuous destocking of float glass enterprises all release long signals. The spot price of glass is neutral, and the profit of glass remains short [9]. Iron Ore - In terms of strategy net value, last week the supply factor decreased by 0.22%, the comprehensive factor weakened by 0.04%, and this week the comprehensive signal changes from long to short. The cumulative year - on - year decline of iron ore production has narrowed, the port daily dredging volume has decreased, the inventory of port iron ore and trade ore has accumulated, and the spot price center has moved down [11]. Lead - In terms of strategy net value, last week the supply factor increased by 0.02%, the demand factor weakened by 0.46%, the inventory factor decreased by 0.5%, the spread factor weakened by 0.33%, the synthetic factor decreased by 0.32%, and this week the comprehensive signal remains short. The profit of recycled lead has recovered, the inventory of lead has decreased, the position of the main contract of Shanghai lead has decreased, and the spread of lead has moved down [11].

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].