Futures Commodities CTA Market Update

This report provides a quantitative update on CTA commodity net length positioning and simulated 1-month conditional market flow projections.

Key Takeaways

• 1.The report provides simulated historical net length and conditional market flow projections for various commodities using a CTA strategy model.

Table of Contents

• Broad Commodity and Sector Net Length
• Net Length Sector Breakdown
• Conditional Market Flows
• Legend
• Simulated Historical Net Length
• Momentum Thresholds Cross Section
• Simulated Realized Flows
• Conditional Forecasts by Market - 1-Month

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