Bank of America Systematic Flows Monitor: Stretched Treasury Shorts & CTA Equity Positioning

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.

Key Takeaways

• 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.

Table of Contents

• 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

Report data

Exhibit 1: Systematic strategies could sell $163bn in a down market, sell $1bn if markets are flat, and sell $9bn in an up market — as of August 28, 2026.

Reports in this series

Systematic Flows Monitor is shown in chronological order through this edition, published on August 28, 2026.

Part of the Systematic Flows Monitor series — view all 7 editions

Looking for the latest edition? Systematic Flows Monitor Equity longs hold while CTAs sell USD and rebuild commodity longs (Sep 4, 2026)

1. May 11BofA Systematic Flows Monitor CTA equity re-risking set to slow while Treasury shorts approach capacity 20260508
2. Jul 3Systematic Flows Monitor - Trend followers remain long equities and short US Tsy futures
3. Jul 10Systematic Flows Monitor - Equity Trend stays elevated
4. Jul 26Nasdaq pressure brings broader CTA equity unwind risk into focus
5. Aug 7CTA equity longs return as Treasury and gold shorts are tested

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