国投期货研究院 金融工程组 2026/2/3 有色板块动量截面分化扩大 商品本周空头占比抬升,主要表现贵金 属和有色板块因子强度大幅下降,黑色 和农产品板块受趋势带动影响偏弱。目 前截面偏强的板块是黑色,截面偏弱的 是有色。具体来看,黄金时序出现动量 反转的迹象,逐步企稳,白银的持仓量 大幅下降。有色板块短周期动量下降, 期限结构分化收窄,锡和镍截面偏弱。 CTA 黑色板块时序动量边际小幅回升,截面 上螺纹偏空焦炭偏强。能化板块短周期 动量截面分化收窄。农产品方面,短周 期动量没有发生明显反转,持仓量维持 中性以下。 | | 上周收益(%) | 当月收益(%) | | --- | --- | --- | | 供給 | -0.15 | 0.84 | | 需求 | -0.45 | -0.44 | | 库存 | -0.76 | 0.18 | | 价差 | 0.61 | 0.83 | | 大类累加 | -0.58 | 0.20 | 用 醇 国技期货 商品量化CTA周度跟踪 玻 | | | | 铁 | 策略净值方面,上周各因子收益为0,本 | | | 净值曲线 | | --- | --- | --- | --- | - ...

Market Overview - The market sentiment is currently weak, with significant divergence observed across different sectors. Silver has experienced a sharp decline, while lithium and lithium battery stocks have rebounded violently [2][19] - The Shanghai silver contract (SHFE ag2604) fell by 16.71%, continuing its downward trend after a previous limit down, while gold showed signs of stabilization with a slight increase of 0.63% [11][30] Precious Metals - The recent geopolitical developments, particularly the U.S.-Iran interactions, have led to a weakened demand for safe-haven assets, contributing to the volatility in gold and silver prices. The U.S. government shutdown has delayed the release of key employment data, exacerbating market uncertainty [5][11] - The Shanghai Gold Exchange has adjusted margin requirements and price limits for gold and silver, with silver's limit set at 23% due to ongoing delivery difficulties [24] Energy Sector - The SC crude oil contract saw a significant drop of 4.93%, closing at 449.4 yuan per barrel, amid ongoing geopolitical tensions and uncertainty regarding U.S.-Iran negotiations [14][33] - The market is currently in a state of flux, awaiting the outcome of diplomatic talks, which could influence oil prices significantly. The OPEC+ decision to maintain current production levels is also a factor in the market dynamics [15][34] Agricultural Products - The domestic soybean meal inventory is expected to decrease to around 650,000 tons by the end of February, driven by seasonal shutdowns and post-holiday restocking [7] - The agricultural sector is showing signs of recovery, with significant capital inflow into soybean meal futures as investors anticipate a rebound [10] Silicon Industry - The multi-crystalline silicon futures have rebounded sharply, with the main contract rising by 6.61%, supported by expectations surrounding an upcoming industry conference [12][31] - The production forecast for February has been adjusted downwards to 79,700 tons from an initial 90,000 tons, indicating a slight supply-demand gap in the market [31][32]

二 〇 二 六 年 度 2026 年 2 月 3 日 困境与破局：透视宏观纹理，重塑商品 Beta 邵婉嫕 投资咨询从业资格号：Z0015722 shaowanyi@gtht.com 李翔云（联系人） 期货从业资格号：F03149627 lixiangyun@gtht.com 报告导读： 本文旨在解决商品投资领域"资金配置意愿强"与"工具端区分度弱"的矛盾。面对现有指数高度共 性化的特征，我们将视角转向商品期货未被充分挖掘的宏观风格 Beta，试图为市场提供超越传统贝塔的 差异化配置路径。 我们成功开发了两条风格鲜明的商品期货多头被动指数： 商品宏观·锐意进取指数：基于有色、黑色及贵金属板块构建，具备周期进攻属性； 商品宏观·稳健韧性指数：基于能化、农产品及贵金属板块构建，具备周期防守属性。 ——大类资产配置系列（一） 国 泰 君 安 期 货 研 究 所 ⚫ 困境：大类资产配置中的"工具断层"。当前国内商品基金市场呈现总量微薄、品种集中的特 征，与海外成熟市场全谱系、功能化的工具体系形成鲜明反差。我们认为正是战略资产配置层面 商品配置工具的结构性失衡，使得战术资产配置层面投资组合优化的潜力尚未得到充分释放。 ...

2月2日，广交所披露两则纪律决定处分书，均为企企业利用分仓等不正当手段，规避交易所持仓限制，违规持仓超过多晶硅交 割月持仓限额。 其一为上海久斯资产管理有限公司、上海久斯企业发展有限公司、海南韵澜实业有限公司3名客户存在实际控制关系，2025年11 月18日至12月9日连续15个交易日合并持仓超过PS2512持仓限额，相关客户违规持仓行为盈利4,156,269元。 广交所依规对上述没收违规所得4,156,269元、公开谴责、暂停开仓交易12个月的纪律处分，并将上述当事人的纪律处分结果记 入证券期货市场诚信档案。 其二为安徽硕铜国际贸易有限公司、安徽宏盛铜材有限公司、安徽天大铜业有限公司、安徽天大新能源有限公司4名客户存在实 际控制关系，2025年12月1日至12月5日连续5个交易日合并持仓超过PS2512交割月持仓限额，相关客户违规持仓行为亏损480,660 元。 广交所依规给与上述四家公司公开谴责、暂停开仓交易6个月的纪律处分，并将上述当事人的纪律处分结果记入证券期货市场诚 信档案。 据悉，公告所指的PS2512为多晶硅期货的具体合约代码，代码中"PS"是多晶硅期货的品种代码，"2512"代表合约到期月份为 ...

证券日报网讯2月3日，南华期货（603093）发布公告称，公司2025年度财务报表及内控审计签字注册会 计师由卢娅萍、吕蔡霞变更为唐彬彬、兰笑，天健会计师事务所已出具变更函，交接有序不影响审计工 作。 ...

（编辑 王雪儿） 证券日报网讯 2月3日，瑞达期货在互动平台回答投资者提问时表示，瑞达期货旗舰版APP及公司官 网，均已上线瑞达智能客服，其中运用了大模型技术支撑及针对性训练；智能投研系统目前还在研发 中。 ...

1. Report Industry Investment Rating - There is no information about the report industry investment rating in the provided content. 2. Core Viewpoints of the Report - Calculated based on the closing prices of adjacent trading days, the Nanhua Composite Index rose 0.93% today [1][3]. - Among the sector indices, only the Nanhua Precious Metals Index fell by -0.36%, while the rest of the sectors rose. The sector with the largest increase was the Nanhua Non - ferrous Metals Index, up 4.38%, and the sector with the smallest increase was the Nanhua Agricultural Products Index, up 0.08% [1][3]. - Among the theme indices, only the Oilseeds and Oils Index fell by -0.01%, while the rest of the theme indices rose. The theme index with the largest increase was the Mini Composite Index, up 1.43%, and the theme index with the smallest increase was the Black Raw Materials Index, up 0.27% [1][3]. - Among the single - variety indices of commodity futures, the single - variety index with the largest increase was Lithium Carbonate, up 11.82%, and the single - variety index with the largest decrease was Silver, down - 13.64% [3]. 3. Summary According to Relevant Contents 3.1 Nanhua Commodity Index Market Data | Index Name | Today Close | Pre. Close | Points | Daily Change | Annualized Return | Annualized Volatility | Sharpe Ratio | | --- | --- | --- | --- | --- | --- | --- | --- | | Composite Index NHCI | 2758.41 | 2733.02 | 25.38 | 0.93% | 7.28% | 13.21% | 0.55 | | Precious Metals Index NHPMI | 2174.24 | 2182.21 | - 7.96 | - 0.36% | 27.71% | 3.82% | | | Industrial Goods Index MHII | 3644.59 | 3594.36 | 50.23 | 1.40% | - 6.21% | 14.59% | - 0.43 | | Metal Index MHMI | 7150.53 | 6982.18 | 168.35 | 2.41% | 12.06% | 14.01% | 0.86 | | Non - ferrous Metals Index NHNF | 1972.76 | | | | | | | | Black Index NHFI | 2519.61 | 2512.72 | 6.89 | 0.27% | - 5.51% | 16.31% | - 0.34 | | Agricultural Products Index NHAI | 1057.60 | 1056.80 | 0.81 | 0.08% | | | | | Mini Composite Index NHCIMi | 1204.34 | 1187.38 | 16.97 | 1.43% | 14.64% | | 0.07 | | Oil and Chemical Industry Index NHEI | 1004.87 | 996.23 | 8.64 | 0.87% | 0.68% | 22.15% | 0.03 | | Petrochemical Index NHPCI | 940.37 | 932.44 | 7.93 | 0.85% | 2.77% | 15.61% | 0.18 | | Fuel and Chemical Industry Index NHCCI | 956.65 | 951.80 | 4.85 | 0.51% | 1.78% | 14.93% | 0.12 | | Black Raw Materials Index NHFM | 1056.06 | 1053.23 | 2.83 | 0.27% | 0.02% | 17.28% | 0.00 | | Building Materials Index NHBMI | 694.45 | 690.97 | 3.48 | 0.50% | - 0.22% | 12.98% | - 0.02 | | Oilseeds and Oils Index NHOOI | 1234.61 | 1234.79 | - 0.18 | - 0.01% | 0.14% | 10.58% | 0.01 | | Economic Crops Index NHAECI | 927.58 | 924.28 | 3.31 | 0.36% | 3.31% | 9.85% | 0.05 | [3] 3.2 Contribution of Each Variety's Daily Change to Index Change - For different indices such as Nanhua Mini Composite Index, Nanhua Composite Index, Nanhua Industrial Goods Index, etc., various varieties have different positive or negative contributions to their changes. For example, for the Nanhua Composite Index, Gold has a positive contribution of 22.26%, while some varieties like Ethylene Glycol have a negative contribution [3]. 3.3 Industry Chain Diagrams and Single - Variety Index Daily Changes - There are industry chain diagrams for energy and chemical, black, and agricultural product sectors, along with the daily changes of single - variety indices in these sectors. For example, in the energy and chemical sector, Glass rose 0.179 (1.52%) and Urea rose 0.95%; in the agricultural product sector, Palm Oil rose 0.89%, and Rapeseed Meal fell - 1.19% [3][5][6]

1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints of the Report - The iron ore market has a slightly weakening trend with the futures contract showing a back structure and positive basis, and the overall disk is slightly weak in oscillation. The supply pressure eases due to reduced arrivals, and the demand side has stable rigid demand. Although the port is still accumulating inventory, it is gradually shifting to downstream steel mills, and the fundamental contradiction is not prominent [2][5]. 3. Summary by Relevant Catalogs Market行情态势回顾 - Futures prices: The main contract of iron ore futures oscillated weakly during the day, closing at 777.5 yuan/ton, down 5.5 yuan/ton or 0.7% from the previous trading day's closing price. The trading volume was 357,000 lots, the open interest was 519,000 lots, and the settled funds were 8.875 billion yuan. It shows a short - term weakening oscillation [1]. - Spot prices: The mainstream varieties of port spot, such as PB powder at Qingdao Port, decreased by 4 to 791 yuan, and Super Special powder decreased by 4 to 678 yuan. The main swap price was 101.95 (-0.85) US dollars/ton. The spot is firm, and the swap price slightly declined [1]. - Basis and spread: The price of PB powder at Qingdao Port converted to the futures price is 830.1 yuan/ton, and the basis is 52.6 yuan/ton, with a slight expansion of the basis. The spread between May and September contracts of iron ore is 17.5 yuan, and the spread between September and January contracts is 11 yuan. The iron ore futures contracts present a back structure and a positive basis, showing a short - term breakdown and a weakened oscillation [1]. Fundamental Analysis - Supply: Overseas mine shipments increased slightly, mainly due to the recovery in Australia, while shipments from Brazil and non - mainstream countries still declined. The arrivals continued to weaken, and there are expected disturbances on the supply side due to weather. The short - term supply pressure eases, but the inventory pressure is still increasing [2]. - Demand: The molten iron production decreased slightly, the steel mill profitability weakened, the rigid demand was relatively stable, the steel mill replenishment speed accelerated, and the steel mill inventory increased rapidly. Attention should be paid to the recovery height of molten iron before the Spring Festival and the release rhythm of replenishment demand [2]. - Inventory: The port inventory continued to accumulate, the berthing inventory decreased, the steel mill inventory increased significantly, the replenishment speed accelerated as the Spring Festival approached, and the total inventory pressure was still accumulating [2]. Macro - level Analysis - Domestic macro: This week continues the basic pattern of "weak reality, stable policy, and strong expectation". The domestic demand recovery rhythm is still slow, the price remains low, the upstream improvement is limited in being transmitted to the downstream, and the medium - and long - term financing willingness of residents and enterprises is weak. The previous growth - stabilizing tools are still being implemented, and the macro - environment is mainly for support. The market still needs to wait for further confirmation of policy effects and data [4]. - Overseas macro: The US consumption is still resilient, but the income growth slows down, the savings rate is at a low level, and consumption more depends on credit and employment stability, with weakening internal impetus. The core inflation continues to cool down, the commodity - end pressure eases, but the stickiness of service items still exists. The market trading focus has shifted to the expectation of the Fed's leadership change, especially the possibility of a hawkish candidate taking office. Overall, the overseas macro - environment is still conducive to risk assets maintaining resilience, but policy uncertainty increases, and asset pricing differentiation intensifies [4].

1. Report Industry Investment Rating - The report gives a general rating of "oscillating weakly" for the soft commodity industry [1] 2. Core Viewpoints - The cotton market is expected to remain in a wide - range oscillation pattern before the festival. The sugar market is at a cyclical bottom, with prices oscillating at a low level and no obvious short - term upward drive [1][2] 3. Summary by Related Catalog Cotton - Supply side: The pressure of the previous high - yield has been basically digested. Although the output increased significantly, the increase in commercial inventory is much lower than the output increase. The market circulation supply is relatively tight, and the high spot basis continues to support cotton prices [1] - Demand side: It was resilient before, but affected by the high domestic - foreign cotton price difference, imported cotton and yarn impact the domestic market. Since January, textile mills' profits have been continuously compressed, some inland mills' losses have expanded, and some enterprises plan to have an early holiday. There is no clear short - term demand trend [1] Sugar - International situation: Consultancy Stonex expects the 2026/27 sugar production in Brazil's central - southern region to be 40.7 million tons, 0.8 million tons less than the previous estimate, and the ethanol production to be 36.5 billion liters, 0.4 billion liters more than the previous estimate. As of January 31, 2026, India's 2025/26 sugar production reached 19.503 million tons, a year - on - year increase of 3.024 million tons or 18.35%, and the number of operating sugar mills increased by 14 to 515 [2] - Domestic situation: The domestic sugar futures price declined with the market, but it is approaching the southern sugar mills' production cost, so the downside is limited [2]

Report Industry Investment Rating - The report gives a short - term investment rating of "partial shock" for the coke industry [1] Core Viewpoints - The supply - demand pattern of coke is directly restricted by upstream coking coal costs, downstream steel demand, and macro - policy orientation. The overall supply - demand is weak during the seasonal inventory accumulation stage with the continued increase of coking coal and coke inventories. The pre - holiday restocking of downstream steel mills is nearing the end, leading to a further decline in coke demand. However, coking is in continuous loss, so coke enterprises have a strong willingness to raise prices, and there are still expectations for subsequent policies at the macro - level. Overall, the market is expected to be in a wide - range shock, and a low - buying strategy can be adopted, while attention should be paid to the support near the previous low and the pressure near the previous high [2] Summary by Related Catalogs Market Analysis - As of January 30, the comprehensive coke inventory increased by 133,000 tons to 1.01235 million tons, reaching a 7.5 - month high with a year - on - year decline of 3.44% [1] - The profit per ton of coke for 30 independent coking plants nationwide is - 55 yuan/ton. The average profit of Shandong quasi - first - grade coke turned positive to 2 yuan/ton, that of Hebei quasi - first - grade coke is 0 yuan/ton, that of Shanxi quasi - first - grade coke is - 41 yuan/ton, and that of Inner Mongolia second - grade coke is - 92 yuan/ton [1] - This week, the blast - furnace operating rate of 247 steel mills increased by 0.32% to 79% week - on - week and 1.02% year - on - year. The profit rate decreased by 1.3% to 39.39% week - on - week. The blast - furnace iron - making capacity utilization rate slightly dropped to 85.47%, and the daily average pig - iron output decreased by 12,000 tons to 227,980 tons week - on - week [1] - As the Spring Festival approaches, the supply of upstream coking coal is expected to decline. The coking coal inventory of mines decreased by 72,000 tons to 267,200 tons, and the comprehensive coking coal inventory increased by 460,000 tons to 2.86434 million tons week - on - week, with the year - on - year decline narrowing to 8.57% [1] - Shanghai has launched the work of purchasing second - hand housing for affordable rental housing, and Fujian has implemented phased subsidy policies such as universal housing purchase subsidies, subsidies for multi - child families, and subsidies for commercial and office buildings [1]