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. Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints - The proportion of long and short positions in commodities changed little this week. The factor strength of the non - ferrous sector rebounded, while that of the precious metals and agricultural products sectors declined. The non - ferrous sector was relatively strong in the cross - section, while the chemical and precious metals sectors were relatively weak [2]. - Different commodities have different trends in strategy net value and fundamental factors. For example, in the methanol market, the comprehensive signal was long this week; in the float glass market, it was neutral; in the iron ore market, it remained neutral; and in the Shanghai lead market, it remained short [4][7][9]. 3. Summary by Commodity Methanol - **Strategy Net Value**: Last week, the supply factor increased by 0.11%, the demand factor increased by 0.13%, the inventory factor increased by 0.02%, and the synthetic factor strengthened by 0.19%. The comprehensive signal this week is long [3][4]. - **Fundamental Factors**: High import volume of methanol signaled a short on the supply side; increased开工负荷 of acetic acid and MTBE plants signaled a long on the demand side; methanol inventory in East China ports signaled a long on the inventory side; the spot price of inland methanol signaled a short, and the East China basis signaled a long, with the spread side being neutral to short [4]. Float Glass - **Strategy Net Value**: Last week, the inventory factor decreased by 0.06%, the spread factor weakened by 0.07%, the profit factor increased by 0.06%, and the synthetic factor decreased by 0.05%. The comprehensive signal this week is neutral [7]. - **Fundamental Factors**: The capacity utilization rate of float glass remained flat, so the supply side remained neutral; the increase in the number of commercial housing transactions in 30 large - and medium - sized cities signaled a long on the demand side; continuous inventory accumulation of domestic float glass enterprises signaled a short on the inventory side; the continuous slight decline in the spot market and the stable recovery of the futures price made the spread side change from a strong short to neutral [7]. Iron Ore - **Strategy Net Value**: Last week, each factor remained flat compared with the previous week, and the comprehensive signal this week remained neutral [9]. - **Fundamental Factors**: Decreased shipments from FMG and Rio Tinto and reduced arrivals at northern ports strengthened the long feedback on the supply side; decreased daily port clearance volume and steel mill consumption of domestic sintered ore powder maintained the short signal on the demand side; inventory accumulation at major national ports slightly strengthened the short feedback on the inventory side; the increase in the spot price center strengthened the long feedback on the spread side, and both the inventory and spread sides maintained a neutral signal [9]. Shanghai Lead - **Strategy Net Value**: Last week, the supply factor decreased by 0.45%, the demand factor weakened by 0.44%, the spread factor decreased by 0.57%, and the synthetic factor weakened by 0.38%. The comprehensive signal this week remained short [9]. - **Fundamental Factors**: Reduced losses of SMM tax - free recycled lead and a lower ratio of waste battery prices to recycled refined lead prices maintained the short signal on the supply side; inventory reduction in LME and SHFE made the inventory side turn to a long feedback, maintaining a neutral signal; the narrowing of the near - far month discount and the expansion of the spot discount weakened the short feedback on the spread side, and the signal turned to neutral [9]. Sector - Specific Momentum and Structure - **Momentum and Structure Data**: The report provides momentum and structure data for different sectors, including the egg - related, non - ferrous, energy - chemical, agricultural products, equity index, and precious metals sectors. For example, the non - ferrous sector had a momentum sequence value of 0.06, a momentum cross - section value of 0.93, a term structure value of - 2.2, and a position - holding volume value of - 0.64 [5].

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].

Core Viewpoint - The article discusses the recent price movements and market dynamics of various commodities, particularly focusing on industrial silicon, polysilicon, and lithium carbonate, suggesting a potential recovery for these commodities after significant declines [3][4][5]. Group 1: Industrial Silicon - Industrial silicon prices are influenced by production cuts in major production areas, particularly in Xinjiang, where a reduction of approximately 1,500-1,700 tons is expected due to factory shutdowns [4]. - The market has seen a shift in the price curve for industrial silicon, moving from a Super Contango structure, indicating a potential price bottoming out [6][9]. Group 2: Polysilicon - The recent increase in polysilicon prices is attributed to a meeting held by the National Development and Reform Commission to support price stabilization, alongside a significant rebound in coal prices, which affects production costs [5]. - The market sentiment around polysilicon has improved due to excessive pessimism in the past two years, leading to a demand for valuation recovery [5]. Group 3: Lithium Carbonate - Lithium carbonate has experienced a short-term increase in prices due to a mismatch in warehouse receipts and a favorable market atmosphere, indicating a potential for recovery [5]. Group 4: Market Dynamics - The article emphasizes the importance of understanding the interaction between market behavior and price movements, suggesting that merely analyzing static balance sheets is insufficient for predicting price trends [5][10]. - It highlights that historical price structures often lead inventory changes, with price movements typically preceding inventory adjustments by 3-5 months [8][9].

Core Insights - The article discusses the concept of term structure and its implications in the futures market, highlighting the hidden secrets it may reveal [1] Group 1: Term Structure - Term structure refers to the relationship between the prices of futures contracts with different expiration dates, which can indicate market expectations and potential price movements [1] - Understanding term structure can provide insights into market sentiment, supply and demand dynamics, and potential investment opportunities [1] - The article suggests that analyzing term structure can uncover valuable information that is not immediately apparent to market participants [1]

Report Title - The report is titled "Commodity Quantitative CTA Weekly Tracking" by Guotou Futures Research Institute's Financial Engineering Group, dated March 25, 2025 [1][2] Report Industry Investment Rating - No industry investment rating is provided in the report Core Viewpoints - The commodity sector cross - section has switched, with internal differentiation in the energy and chemical sector, a decline in the agricultural products sector, and the precious metals and non - ferrous sectors remaining relatively strong in the cross - section. Specific sectors show different trends in momentum,持仓量, and term structure [3] Summary by Commodity Categories Overall Commodity Sector - The non - ferrous sector shows upward momentum, while the energy and chemical sector has internal differentiation, the agricultural products sector is down, and the precious metals and non - ferrous sectors are relatively strong. Different sectors have different changes in momentum,持仓量, and term structure indicators [3] Methanol - Strategy net value: The demand factor decreased by 0.23%, the inventory factor decreased by 0.19%, and the synthetic factor weakened by 0.15%. The comprehensive signal this week is neutral. Fundamental factors: The methanol arrival volume gives a long signal, domestic capacity utilization gives a short signal (supply is neutral); methanol - to - olefin plant capacity utilization decreased, acetic acid operating rate increased (demand is neutral); port inventory continued to decrease, and the short - side strength of the inventory factor weakened significantly to neutral; the Inner Mongolia - Shandong regional spread factor gives a long signal, and the spread factor is slightly long [5] Glass - Strategy net value: Last week, the supply factor weakened by 0.20%, the demand factor decreased by 0.19%, the inventory factor decreased by 1.15%, and the synthetic factor weakened by 0.91%. The comprehensive signal this week is short. Fundamental factors: The float glass capacity utilization rate was flat month - on - month (supply is neutral); second - tier city commercial housing transaction data gives a short signal (demand is short); float glass enterprise inventory is relatively high year - on - year (inventory remains short); the domestic float glass market price gives a long signal, but the overall long - side contribution is not high (spread is slightly long) [9] Iron Ore - Strategy net value: The inventory factor weakened by 1.09%, the spread factor remained unchanged, and the synthetic factor weakened by 0.34%. The comprehensive signal this week remains long. Fundamental factors: The iron ore arrival volume at Qingdao Port continued to decline compared with the previous week (supply signal turns neutral); the blast furnace operating rate of 247 steel enterprises increased compared with the previous week (demand signal remains neutral); the inventory of Brazilian iron ore in 31 ports continued to rise (inventory remains long); the spot sales price of Rio Tinto's PB powder at Rizhao Port increased (spread signal remains neutral) [12] Aluminum - Strategy net value: Last week, the supply factor weakened by 0.11%, the demand factor weakened by 0.68%, the inventory factor weakened by 0.12%, the spread factor remained unchanged, and the synthetic factor weakened by 0.20%. The comprehensive signal this week remains long. Fundamental factors: The SMM domestic lead concentrate price continued to rise (supply signal remains long); China's lead alloy exports in March decreased compared with February (demand signal turns short); LME lead registered warrants decreased (inventory turns short); SMM concentrate import profit increased (spread signal is long) [12]