Report Summary 1. Report Industry Investment Rating No information provided. 2. Core Viewpoints - The proportion of long positions in commodities decreased this week, mainly due to a marginal decline in the energy and chemical sector. The short - cycle momentum of the non - ferrous and precious metal sectors rebounded, while the agricultural products sector declined slightly. The black sector is currently weak in the cross - section. Short - term price - volume factors are highly volatile due to macro factors [3]. - In terms of strategy net value, different factors in various sectors have different trends. For example, the inventory factor in some sectors decreased, while the spread factor in others increased. The comprehensive signals of different sectors are also different, including neutral, short, and the shift from short to neutral [3][5][6]. 3. Summary by Related Catalogs Commodity Market Overview - The proportion of long positions in commodities decreased this week, with the energy and chemical sector showing a marginal decline. The non - ferrous and precious metal sectors had a short - cycle momentum rebound, and the agricultural products sector declined slightly. The black sector is weak in the cross - section [3]. - The short - cycle momentum of the non - ferrous sector is more differentiated, and the copper is bearish in the term structure. The time - series momentum of the black sector decreased slightly, and coking coal is bearish in the cross - section. The short - cycle momentum of the chemical sector remains high but declines marginally, and PVC and soda ash are bearish in the cross - section. The short - cycle cross - section differentiation of oil and meal in the agricultural products sector narrows, and the palm oil position increases [3]. Strategy Net Value and Fundamental Factors - **General Situation**: The inventory factor decreased by 1.79% last week, and the comprehensive signal this week is short. On the fundamental factors, the supply side of methanol is neutral, the demand side of glacial acetic acid is neutral and bearish, the inventory side of methanol releases a short signal, and the spread side is neutral and bullish [3]. - **Iron Ore**: Last week, the supply factor decreased by 0.03%, the spread factor increased by 0.04%, and the comprehensive factor increased by 0.02%. The supply side has a stronger short feedback, the inventory side's short feedback slightly strengthens, and the signal remains neutral. The spot price center moves down, and the spread side is bearish [6]. - **Shanghai Aluminum**: Last week, the supply factor weakened by 0.38%, the demand factor decreased by 0.61%, the inventory factor strengthened by 0.32%, the spread factor decreased by 0.19%, and the synthetic factor weakened by 0.21%. This week, the comprehensive signal changes from short to neutral. The supply side turns to a long feedback, the inventory side maintains a long signal, and the spread side turns to a long feedback [6]. - **Glass**: The inventory factor increased by 0.18%, the profit factor increased by 0.38%, and the synthetic factor strengthened by 0.26%. This week, the comprehensive signal is neutral. The demand side is neutral and bullish, the inventory side continues to be long, the profit side is bearish, and the spread side is neutral and bearish [7].

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]

Group 1: Report Overview - The report is a weekly tracking of commodity quantitative CTA by Guotou Futures Research Institute's Financial Engineering Group on February 10, 2026 [1][2] Group 2: Industry Performance - Commodity proportion changed little this week. The factor intensity of precious metals and non - ferrous metals stabilized and rebounded, while that of black and agricultural products decreased due to cross - sectional rotation. Currently, non - ferrous and chemical sectors are cross - sectionally strong, and the black sector is weak [3] - In the precious metals sector, gold showed signs of momentum reversal and gradually stabilized, and the trading volume of silver slightly increased [3] - In the non - ferrous metals sector, short - cycle momentum increased, and the term structure differentiation narrowed. Aluminum and nickel were cross - sectionally strong [3] - In the black sector, time - series momentum declined marginally, and rebar was weak cross - sectionally [3] - In the energy and chemical sector, short - cycle momentum cross - sectional differentiation expanded. Styrene was cross - sectionally strong, and soda ash was weak [3] - In the agricultural products sector, short - cycle momentum did not reverse significantly, and the trading volume remained below neutral [3] Group 3: Factor Returns 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 [5] - In terms of fundamental factors, the arrival volume of imported methanol continued to be low (supply long), the capacity utilization rate of formaldehyde and glacial acetic acid plants decreased (demand short), domestic production enterprises continued to destock (inventory long), and the spot prices of methanol in Shanxi and Henan released long signals (spread neutral - long) [5] Other Factors - For other factors, the table shows last week's and monthly returns of supply, demand, inventory, spread, and other related factors [4][8][11] Group 4: Strategy Net Value and Signals Methanol - Last week, the supply factor of methanol weakened, the inventory factor declined, the spread factor decreased, and the synthetic factor declined. This week, the comprehensive signal is long [5] Iron Ore - Last week, the comprehensive factor of iron ore was flat compared with the previous week. This week, the comprehensive signal changed from short to neutral. The arrival volume at ports changed little (supply signal neutral), the demand signal changed from short to long, the inventory signal became long feedback but remained neutral, and the spread signal changed from neutral to short [11] Shanghai Lead - Last week, the supply factor of Shanghai lead 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 [11] Float Glass - Last week, the inventory factor of float glass 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. The supply is neutral, the demand signal strength weakened and became neutral, the inventory remains neutral, and the profit remains short [12]

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]

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 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]

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints of the Report - This week, the proportion of long positions in commodities decreased slightly. The factor intensity of the black and chemical sectors declined, while the non - ferrous sector increased slightly. The cross - sectionally stronger sector is non - ferrous, and the weaker ones are chemicals and agricultural products. The overall signal for commodities this week is a combination of long and short positions in different sectors and factors [3]. 3. Summary by Related Catalogs Commodity Overall Situation - The proportion of long positions in commodities decreased slightly this week. The factor intensity of the black and chemical sectors declined, and the non - ferrous sector increased slightly. The cross - sectionally stronger sector is non - ferrous, and the weaker ones are chemicals and agricultural products [3]. Specific Sector Analysis Non - ferrous Metals - Gold's time - series momentum declined, silver's trading volume remained at a high level, and the cross - sectional divergence widened. The short - term momentum of the non - ferrous sector increased marginally, the cross - sectional momentum divergence narrowed, and copper and zinc were strong while tin was weak in the cross - section [3]. Black Metals - The term structure showed narrowing divergence. The trading volumes of coking coal and coke remained at low levels, and the short - term momentum of iron ore reversed and declined [3]. Energy and Chemicals - The long - term momentum factor declined, and ethylene glycol was at the short end of the cross - section [3]. Agricultural Products - The cross - sectional divergence of oilseeds and meals narrowed, and the trading volume of soybean oil decreased marginally [3]. Strategy Net Worth and Fundamental Factors Commodities - The demand factor weakened by 0.01%, the inventory factor increased by 0.36%, the synthetic factor strengthened by 0.01%, and the comprehensive signal this week was short. For methanol, the domestic production capacity utilization rate was flat, the demand side's long - position strength weakened to neutral, the inventory side signaled short - positions, and the spread side was slightly long [3]. Float Glass - Last week, the inventory factor decreased by 0.39%, the profit factor strengthened by 0.74%, and this week's comprehensive signal was long. The supply, demand, and inventory sides signaled long - positions, the spread side was neutral, and the profit side continued to signal short - positions [9]. Iron Ore - Last week, the supply factor decreased by 0.22%, the comprehensive factor weakened by 0.04%, and this week's comprehensive signal changed from long to short. The supply, demand, inventory, and spread sides all had changes in their signals, with the overall trend turning bearish [11]. Lead - 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's comprehensive signal remained short. The supply side's long - position feedback further weakened, the inventory side's short - position feedback weakened, and the spread side's short - position signal intensity increased [11].

Report Overview - Report Title: Commodity Quantitative CTA Weekly Tracking [1] - Research Institute: Guotou Futures Research Institute, Financial Engineering Group [2] - Report Date: November 25, 2025 [2] 1. Overall Commodity Market Conditions - The commodity market is currently dominated by short - term signals this week, with the factor intensity of the energy and chemical sector decreasing, and the black and agricultural product sectors showing an upward trend. The non - ferrous sector is relatively strong in the cross - section, while the energy sector is relatively weak. [4] - Gold's time - series momentum has declined, the trading volume of silver has changed little, and the divergence at both ends of the cross - section has narrowed. [4] 2. Sector - Specific Analysis Non - ferrous Sector - The position - holding factor of the non - ferrous sector has increased marginally, the divergence of cross - sectional momentum has narrowed, tin is strong, and alumina is weak in the cross - section. [4] - The non - ferrous sector has a time - series momentum of - 0.13, a cross - sectional momentum of 0.54, a term structure of 0.99, and a position - holding weight of 1.1. [7] Black Sector - The position - holding volume of coking coal and coke in the black sector remains low, but the short - term momentum in the time - series has rebounded. [4] - The black sector has a time - series momentum of - 0.42, a cross - sectional momentum of 0.18, a term structure of 0.29, and a position - holding weight of 0.79. [7] Energy Sector - The short - term momentum factor of the energy sector has declined, and the chemical sector is at the strong end of the cross - section. [4] - The energy sector has a time - series momentum of 0.02, a cross - sectional momentum of 0.74, a term structure of - 0.6, and a position - holding weight of 0.06. [7] Agricultural Product Sector - The cross - sectional divergence of oilseeds and meals has narrowed, and the long - term momentum of soybean oil is lower than that of soybean meal. [4] - The agricultural product sector has a time - series momentum of - 0.09, a cross - sectional momentum of 0.05, a term structure of 0.17, and a position - holding weight of - 0.16. [7] Precious Metal Sector - The precious metal sector has a time - series momentum of 0.37 and a position - holding weight of - 1.07. [7] Equity Index Sector - The equity index sector has a cross - sectional momentum of 0.49, a term structure of 0.68, and a position - holding weight of 2.15. [7] 3. Strategy Net Value and Fundamental Factors Analysis Methanol - Last week, the supply factor weakened by 0.02%, the demand factor increased by 0.03%, the inventory factor strengthened by 0.38%, and the synthetic factor increased by 0.26%. This week, the comprehensive signal is short - term. [6] - The import arrival volume of methanol releases a short - term signal, the supply side is neutral to bearish; the raw material procurement volume of traditional downstream manufacturers has decreased, the demand side is bearish; the port inventory has decreased month - on - month, the inventory side has turned neutral; the Inner Mongolia - Shandong regional spread factor of methanol releases a long - term signal, and the spread side is neutral to bullish. [6] Float Glass - Last week, the inventory factor increased by 0.16%, and the synthetic factor strengthened by 0.13%. This week, the comprehensive signal is neutral. [10] - The capacity utilization rate of float glass enterprises is flat compared with last week, the supply side is neutral; the transaction area of commercial housing in second - tier cities has increased, the demand side is neutral to bullish; the inventory of Chinese float glass enterprises has increased from a decrease, the bullish strength of the inventory side has weakened and turned neutral; the loss of producing float glass from thermal coal has increased slightly, and the profit side is neutral to bearish. [10] Iron Ore - Last week, the supply factor decreased by 0.11%, the inventory factor weakened by 0.11%, and the comprehensive factor decreased by 0.06%. This week, the comprehensive signal has turned bullish. [11][13] - The shipping volumes from Australia and Brazil and the arrival volume at Tianjin Port have all decreased, and the supply - side signal has turned from bearish to bullish. The consumption volume of imported sintering ore powder by steel mills and the proportion of lump ore in the furnace have increased, the bearish feedback on the demand side has weakened, and the signal has turned neutral. The inventory of iron ore at major ports across the country has accumulated, the bullish feedback on the inventory side has weakened, and the signal remains neutral. The freight rate and spot price have increased slightly, the spread side has turned to bullish feedback, and the signal remains neutral. [13] Shanghai Aluminum - Last week, the supply factor decreased by 0.06%, the demand factor strengthened by 0.76%, the inventory factor increased by 0.83%, the spread factor strengthened by 0.7%, and the synthetic factor increased by 0.56%. This week, the comprehensive signal has turned neutral. [13] - The price of domestic lead concentrates from SMM has decreased, the proportion of waste battery prices in the price of recycled refined lead has increased, and the supply - side signal has turned bullish. The cumulative registered and non - registered warehouse receipts of SHFE futures have increased, the bearish feedback on the inventory side has further strengthened, and the signal remains bearish. The spread between the near and far months of LME lead has widened, and the spread - side signal has turned bullish. [13]

Report Information - Title: Commodity Quantitative CTA Weekly Tracking [1] - Author: Research Institute of Guotou Futures, Financial Engineering Group - Date: November 11, 2025 Industry Investment Rating - Not provided Core View - This week, the proportion of long positions in commodities has rebounded. The factor strength of the black sector has declined, while those of the precious metal and non - ferrous sectors have increased. Currently, the non - ferrous and precious metal sectors are relatively strong in cross - section, and the black and energy sectors are relatively weak. [3] Summary by Commodity Sector Overall Commodity - The proportion of long positions in commodities has rebounded this week, with the black sector's factor strength decreasing and the precious metal and non - ferrous sectors' increasing. The non - ferrous and precious metal sectors are cross - sectionally strong, while the black and energy sectors are weak. [3] Precious Metals - The time - series momentum of gold has marginally rebounded, and the trading volume of silver has increased significantly. The cross - sectional divergence has narrowed. [3] Non - Ferrous Metals - The position factor of the non - ferrous sector has marginally rebounded, and the long - term momentum continues to rise. Lithium carbonate is strong and nickel is weak in cross - section. There is a divergence between long - and short - cycle momentum. [2][3] Black Metals - The positions of iron ore and rebar have decreased, reflecting poor market demand after the realization of positive news. Coking coal is relatively strong in cross - section. [3] Energy - The short - cycle momentum factor of the energy sector has declined, and the chemical industry sector is in the cross - sectionally short end. [3] Agricultural Products - The cross - sectional divergence of oil and meal has narrowed. The short - cycle momentum of soybean oil has marginally increased, and the momentum of soybean meal has remained unchanged. [3][9] Summary by Commodity Variety Methanol - Last week, the supply factor increased by 0.33%, and the synthetic factor strengthened by 0.21%. This week, the comprehensive signal is short. Fundamentally, the supply side is short, the demand side is long, the inventory side is short, and the spread side is neutral to short. [4] Float Glass - Last week, the inventory factor increased by 0.38%, the spread factor weakened by 0.19%, and the synthetic factor decreased by 0.14%. This week, the comprehensive signal is long. Fundamentally, the supply side is neutral, the demand side is neutral, the inventory side has turned neutral from strong short, the spread side is long, and the profit side is neutral to long. [7] Iron Ore - Last week, the supply factor decreased by 0.99%, and the comprehensive factor weakened by 0.2%. This week, the comprehensive signal has turned neutral. The supply side has turned from long to short, the demand side has turned to short feedback, the inventory side has turned to long, and the spread side has strengthened the long feedback. [7] Lead - Last week, the supply factor decreased by 0.07%, the demand factor weakened by 0.07%, the spread factor decreased by 0.06%, and the synthetic factor weakened by 0.05%. This week, the comprehensive signal remains short. The supply side's short feedback has weakened but remains short, the inventory side has turned to short, and the spread side remains short. [7]