Systematic Flows Monitor

Latest edition · August 28, 2026

BofA Stretched Treasury shorts and elevated equity longs drive CTA gains

Hawkish Jackson Hole commentary reinforced CTA short positioning in US Treasuries and maintained extended equity longs in large-cap indices. Systematic equity positioning remains vulnerable to a downside shock, where systematic strategies could sell up to $163bn globally.

BofA Global Research highlights that CTA positioning remains stretched short across US Treasury futures and elevated long across major equity indices following Fed Chair Warsh's hawkish Jackson Hole speech. While large-cap indices like the S&P 500 and Nasdaq-100 remain supported, the Russell 2000 is trading just 1.4% above its nearest stop-loss trigger. In a bearish market path, systematic strategies (CTAs, risk parity, and equity vol control) could sell up to $163bn in global equities over the coming week. Meanwhile, SPX hedger gamma ended at $8.4bn (83rd percentile), dampening realized volatility into the close.

Key takeaways from the latest edition

• 1.Following Chair Warsh's hawkish Jackson Hole speech, US Treasury futures short-cover triggers moved further away, keeping CTA Treasury short positions intact.
• 2.CTA equity positioning remains elevated across large-cap indices like S&P 500 and Nasdaq-100, but a 1.4% decline in Russell 2000 places it only 1.4% above stop-loss triggers.
• 3.In a severe equity down market, systematic strategies could sell $163bn globally over the subsequent week, led by unwinds from CTAs and equity vol control.

What this series covers

• Systematic Equity Flows Snapshot
• SPX Option Gamma Positioning
• Trend Following (CTA) Model
• Leveraged and Inverse ETFs
• Risk Parity Model
• S&P 500 Equity Vol Control
• Appendix
• Research Analysts

Edition archive

• BofA Stretched Treasury shorts and elevated equity longs drive CTA gains

  August 28, 2026

• CTA equity longs return as Treasury and gold shorts are tested

  August 7, 2026

• Nasdaq pressure brings broader CTA equity unwind risk into focus

  July 26, 2026

• Systematic Flows Monitor - Equity Trend stays elevated

  July 10, 2026

• Systematic Flows Monitor - Trend followers remain long equities and short US Tsy futures

  July 3, 2026

• BofA Systematic Flows Monitor CTA equity re-risking set to slow while Treasury shorts approach capacity 20260508

  May 11, 2026