国投期货 商品量化CTA周度跟踪 国投期货研究院 金融工程组 2025/11/25 | 黑色动周期动量回升 | | --- | 商品本周维持空头信号主导,主要表现 为能化板块因子强度下降,黑色和农产 品板块有所回升。目前,截面偏强的板 块是有色,截面偏弱的是能源。具体来 看,黄金时序动量下降,白银的持仓量 变化不大,截面两端分化收窄。有色板 量 (1) 块持仓量因子边际上升,截面动量分化 收窄,截面上锡偏强,氧化铝偏弱。黑 CTA 色板块,焦煤焦炭持仓量维持低位,但 是短周期动量时序回升。能源板块短周 期动量因子回落,化工板块处于截面偏 强端。农产品方面,油粕截面分化扩收 窄,豆油长周期动量低于豆粕。 | | 上周收益(%) | 当月收益(%) | | --- | --- | --- | | 供給 | -0.02 | 1.86 | | 需求 | 0.03 | -1.00 | | 库存 | 0.38 | 0.27 | | 价差 | 0.00 | 0.00 | | 大类累加 | 0.26 | 0.15 | 用 醇 策略净值方面,上周供给因子走弱0. 02%,需求因子走高0.03%,库存因子走 强0.38%, 合成 ...

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]

Report Summary 1. Report Industry Investment Rating - No information provided about the industry investment rating in the report. 2. Core Viewpoints - This week, the proportion of short positions in commodities increased slightly, mainly due to the decline in the factor strength of the black and chemical sectors. Currently, the precious metals sector is relatively strong in cross - section, while the chemical and black sectors are relatively weak [3]. - The comprehensive signals of methanol, float glass, iron ore, and lead are short, neutral, neutral, and short respectively this week, based on the performance of various factors such as supply, demand, inventory, and price difference [5][8][11][18]. 3. Summary by Related Content Commodity Sector Analysis - **Precious Metals**: Gold's time - series momentum increased marginally, while silver's momentum weakened marginally, and the cross - sectional difference gradually narrowed [3]. - **Non - ferrous Metals**: The position factor of the non - ferrous metals sector rebounded marginally, and copper was relatively strong in the cross - section [3]. - **Black Metals**: The long - cycle momentum factors of coking coal and coke declined, and the position of iron ore remained low [3]. - **Energy and Chemicals**: The cross - sectional momentum differentiation in the energy and chemical sector widened, and ethylene glycol and PTA were relatively weak in the cross - section [3]. - **Agricultural Products**: The short - cycle momentum factors of soybean oil and palm oil remained low, and the momentum of soybean meal was relatively strong in the cross - section [3]. Strategy Net Value and Fundamental Factors - **Methanol**: Last week, the supply factor decreased by 0.19%, the demand factor weakened by 0.18%, the inventory factor decreased by 0.37%, the price difference factor strengthened by 0.25%, and the synthetic factor decreased by 0.37%. Fundamentally, the supply side is short, the demand side is short, the inventory side's long - position strength weakens, and the price difference side is neutral to long [4][5]. - **Float Glass**: Last week, the inventory factor decreased by 0.86%, the price difference factor strengthened by 0.77%, and the synthetic factor weakened by 0.35%. Fundamentally, the supply side is neutral, the inventory side is long, the profit side is short, and the price difference side is short [8]. - **Iron Ore**: Last week, the supply factor weakened by 0.39%, the inventory factor increased by 0.47%, the price difference factor decreased by 0.31%, and the synthetic factor weakened by 0.08%. Fundamentally, the supply side signal changed from short to neutral, the demand side signal changed from long to neutral, the inventory side signal remained neutral, and the price difference side signal remained neutral [10][11][13]. - **Lead**: Last week, the supply factor decreased by 0.18%, the demand factor weakened by 0.17%, the inventory factor decreased by 0.13%, the price difference factor weakened by 0.1%, and the synthetic factor decreased by 0.14%. Fundamentally, the supply side signal remains short, the inventory side signal remains short, and the price difference side's short - position feedback weakens but the signal remains short [15][18].

Report Title - The report is titled "Commodity Quantitative CTA Weekly Tracking" by Guotou Futures [1] Report Date - The report was published on July 29, 2025, by the Financial Engineering Group of Guotou Futures Research Institute [2] Core View - The proportion of short positions in commodities increased this week, mainly due to the decline in the factor strength of the black and non - ferrous sectors. The relatively strong sector in cross - section is agriculture, while the relatively weak one is energy [3] Commodity Market Analysis Overall Situation - The proportion of short positions in commodities increased this week, with the black and non - ferrous sectors showing a decline in factor strength. The agriculture sector is cross - sectionally strong, and the energy sector is weak [3] Sector - Specific Analysis - **Precious Metals**: The time - series momentum of gold has stabilized, and the differentiation within the precious metals sector has narrowed [3] - **Non - Ferrous Metals**: The position factor of the non - ferrous sector has significantly declined, and the cross - sectional differentiation has increased. Copper is relatively strong, and nickel is relatively weak [3] - **Black Metals**: The momentum factor has marginally decreased but has not reversed, and the term structure differentiation has narrowed [3] - **Energy and Chemicals**: There is cross - sectional momentum differentiation, with chemicals being weaker than energy [3] - **Agriculture**: The positions of oilseeds and meals have both declined, with soybean meal having a larger decline. It is recommended to go long on the oil - meal ratio [3] Strategy Net Value and Fundamental Factors Methanol - **Strategy Net Value**: Last week, the supply factor strengthened by 0.02%, the demand factor increased by 0.72%, the inventory factor weakened by 0.02%, and the spread factor decreased by 0.05%. This week, the comprehensive signal turned short [5] - **Fundamental Factors**: The domestic methanol plant capacity utilization rate increased (supply short); the raw material procurement volume of methanol - to - olefins enterprises and traditional downstream manufacturers decreased (demand short continued); the East China port significantly destocked (inventory turned long); the domestic methanol spot market price continuously released long signals, but the futures closing price released short signals, and the long strength of the spread weakened and turned neutral [5] Float Glass - **Strategy Net Value**: Last week, the inventory factor strengthened by 0.84%, the spread factor increased by 1.77%. This week, the comprehensive signal is neutral [8] - **Fundamental Factors**: The float glass production volume increased slightly month - on - month (supply remained neutral); the number of commercial housing transactions in third - tier cities decreased (demand was neutrally bearish); float glass enterprises continued to destock (inventory long continued); the glass spot price in the Shahe market released short signals (spread short); the pre - tax gross profit of power - coal - made float glass turned from negative to positive (profit was neutrally bullish) [8] Iron Ore - **Strategy Net Value**: Last week, the supply factor weakened by 0.04%, the inventory factor remained unchanged, the spread factor strengthened by 0.47%, and the synthetic factor strengthened by 0.22%. This week, the comprehensive signal remains neutral [8] - **Fundamental Factors**: The cumulative value of iron ore raw ore production continued to decline (supply signal remained neutral); the global crude steel production this month increased compared to last month (demand signal remained short); the iron concentrate powder inventory in 45 ports continued to decline this week (inventory remained neutral); the price of Atlas powder sold at Rizhao Port increased (spread signal turned neutral) [8] Shanghai Aluminum - **Strategy Net Value**: Last week, the supply factor weakened by 0.31%, the demand factor strengthened by 0.31%, the inventory factor weakened by 0.08%, the spread factor weakened by 0.28%, and the synthetic factor weakened by 0.11%. This week, the comprehensive signal remains short [8] - **Fundamental Factors**: The domestic lead concentrate processing fee continued to decline (supply signal remained short); the export volume of Chinese starting lead - acid batteries this month continued to decrease (demand signal remained long); the combined inventory of LME lead continued to decline (inventory turned neutral); the LME lead 0 - 3 month premium and discount decreased (spread signal remained short) [8] Performance Data Commodity CTA Factors | Factor | Last Week's Return (%) | Current Month's Return (%) | | --- | --- | --- | | Supply | 0.02 | - 0.19 | | Demand | 0.72 | 0.30 | | Inventory | - 0.02 | 1.00 | | Spread | - 0.05 | 0.14 | | Aggregate of Major Categories | 0.00 | - 0.33 | [4] Other Factors in Different Commodities - **Float Glass**: Supply (last week: 0.00%, current month: 1.97%), Demand (last week: 0.00%, current month: 1.51%), Inventory (last week: 0.84%, current month: 3.57%), Spread (last week: 1.77%, current month: 2.20%), Profit (last week: 0.00%, current month: 0.00%), Aggregate of Major Categories (last week: 0.00%, current month: 1.97%) [8] - **Iron Ore**: Supply (last week: - 0.04%, current month: 0.00%), Inventory (last week: 0.00%, current month: - 0.36%), Spread (last week: 0.47%, current month: 0.47%), Aggregate of Major Categories (last week: 0.22%, current month: 0.11%) [8] - **Shanghai Aluminum**: Supply (last week: - 0.31%, current month: 0.50%), Demand (last week: 0.31%, current month: - 0.49%), Inventory (last week: - 0.08%, current month: 0.81%), Spread (last week: - 0.28%, current month: 0.91%), Aggregate of Major Categories (last week: - 0.11%, current month: 0.47%) [8] Factor Intensity in Different Sectors | Sector | Momentum Time - Series | Momentum Cross - Section | Term Structure | Position | | --- | --- | --- | --- | --- | | Black Metals | 0.05 | - 0.51 | 0.06 | 0.19 | | Non - Ferrous Metals | 0.56 | 0.93 | - 0.62 | - 0.64 | | Energy and Chemicals | 0.01 | 0.57 | 0.02 | 0.16 | | Agriculture | 0.41 | - 0.67 | 0.93 | | | Stock Index | 0.31 | - 0.38 | 0.45 | - 0.48 | | Precious Metals | 0.34 | | | 0.09 | [6]

Group 1: Industry Investment Rating - No relevant information provided Group 2: Core Viewpoints - The proportion of long positions in commodities has increased, with little change in the cross - sectional ranking of sectors. The momentum of precious metals has rebounded and remains at the stronger end of the cross - section. Specifically, the short - term momentum of precious metals has rebounded, and silver has a larger marginal rebound. The divergence in the position volume of the non - ferrous sector has narrowed, with tin and aluminum relatively strong. In the black sector, the term structure shows an expected decline, and the position volume factor of iron ore has decreased significantly, making iron ore relatively weak in the cross - section. The internal divergence of the energy - chemical sector has narrowed, and the momentum of energy varieties has stabilized. Among agricultural products, soybean oil and palm oil are relatively weak in the term cross - section, while soybean meal is relatively strong [3] Group 3: Summary by Related Content 1. Performance Data - **Last week and current month's returns of different factors**: The last - week and current - month returns of factors such as demand, inventory, and spread are presented. For example, the last - week return of demand is 0.20% and the current - month return is 0.48%, and the last - week return of spread is - 0.15% and the current - month return is 0.61% [4] - **Factor performance of different sectors**: The performance of momentum time - series, momentum cross - section, term structure, and position volume factors in different sectors like black, non - ferrous, energy - chemical, agricultural products, equity index, and precious metals sectors are shown. For instance, in the black sector, the momentum time - series factor is 1.46, and the position volume factor is 0.33 [5] 2. Strategy Net Value and Signal Analysis - **Methanol**: Last week, the demand factor of the strategy net value increased by 0.20%, the spread factor decreased by 0.15%, and this week's comprehensive signal is long. Fundamental factors show that the arrival volume of imported methanol signals long on the supply side, the raw material procurement volume of methanol - to - olefin enterprises signals long on the demand side, the port inventory signals long on the inventory side, and the methanol 5 - 9 spread signals short but with a low contribution, making the spread side neutral - short [7] - **Float Glass**: Last week, the supply factor of the strategy net value weakened by 0.30%, the demand factor decreased by 0.28%, the inventory factor decreased by 0.17%, and the synthetic factor weakened by 0.36%. This week's comprehensive signal is short. Fundamental factors indicate that the weekly output of float glass enterprises is flat, making the supply side neutral; the sales volume of commercial housing in 30 large - and medium - sized Chinese cities decreased, making the demand side turn short; the inventory of float glass enterprises is high, making the inventory side short; the Guangzhou - Wuhan regional spread signals short, while the Wuhan - Shahe regional spread signals long, with similar contributions [8] - **Iron Ore**: Last week, the supply and spread factors of the strategy net value remained unchanged, the iron ore factor increased by 2.51%, and the synthetic factor increased by 0.79%. This week's comprehensive signal turns long. Fundamental factors show that the cumulative year - on - year increase in iron ore production signals long on the supply side; the global output of WSA crude steel has rebounded this month, signaling long on the demand side; the inventory of iron ore concentrates in 45 ports has decreased this week, keeping the inventory side short; the price of Atlas iron powder for sale at Rizhao Port has rebounded, making the spread side turn neutral [8] - **Lead**: Last week, the supply factor of the strategy net value strengthened by 0.65%, the demand factor strengthened by 0.63%, the inventory factor strengthened by 0.70%, the spread factor remained unchanged, and the synthetic factor strengthened by 0.47%. This week's comprehensive signal remains short. Fundamental factors indicate that the price of SMM domestic lead concentrates has rebounded, making the supply side turn neutral - long; the export volume of Chinese lead alloys in April has decreased compared to March, keeping the demand side short; the registered lead warrants at the LME have rebounded, making the inventory side turn neutral - short; the processing fee of SMM domestic lead concentrates has continued to decline, making the spread side turn short [11]

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]