Systematic Flows
Based on key momentum signals, CTAs are likely moderately long across most global equity markets and are neutral to long the front end and short the long end in US and EMEA rates
CTAs Monitor
Based on a series of momentum signals followed by systematic strategies, we believe CTAs are still long Gold and short Oil, but trends are declining.
US equities, specifically the S&P 500 and NASDAQ-100, have notched meaningful gains in price trend, which may have led some short- to medium-term trend followers to get long.
We expect CTAs that are already long in these indices to build the positions outside of a bearish path next week. Meanwhile, shorts that may remain from longer-term trend followers could continue to fall off next week.
CFTC Positioning
Asset Managers increased longs in NDX and cut longs across UST futures week-over-week.
Aggregate US equity net longs rose and remain above average. Nasdaq 100 net shorts fell to neutral, while shorts in the Russell 2000 rose, though they remain very modest. S&P 500 net longs remained elevated.
Despite the suppressed moves, dealers have remained relatively light on the gamma front - getting longer on moves to the downside and shorter on moves to the upside. Dealers have been long less than 2bn of S&P gamma for 67 consecutive days… approaching the longest streak in the last 5 years.
Tech remains significantly under owned by Asset managers and leveraged funds which increase the odds of forced buybacks on a scenario of upside continuation.
Systematic Flows
CTAs raised their equity longs in aggregate this week (36th percentile), but they are still below long-term median levels, with a divide between Europe and EM longs on the one side and shorts in the US and Japan on the other.
We believe the Systematic strategies positioning is still notably underweight. The lack of movement is notable given an abundance of catalysts in both directions over the last two weeks
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Disclaimer: Investing involves risk, including the possible loss of principal. Past performance is not indicative of future results. The information provided is for informational purposes only and does not constitute investment advice, an offer to buy or sell securities, or a recommendation of any investment product. Investors should conduct their own research and consult with a qualified financial advisor before making any investment decisions.