Futures Global Bonds CTA Market Update

This report outlines current positioning for the systematic CTA community in global bond markets, noting a trend of small-size short covering. Future flows are highly dependent on global rate trends triggering signal flips.

Key Takeaways

• 1.Systematic trend-following community is performing small-size short covering with signals largely in neutral territory.
• 2.A downward trend in global rates could trigger a broad flip in signals, leading to material duration demand from the systematic community.

Table of Contents

• Thoughts From the Desk
• Conditional Forecasts by Country/Region
• Global Forecasts and Breakdown by Country Position
• Historical Projections, Magnitudes
• Global - 1-Week Baseline Historical Projections
• 1-Week Hist. Flat Projs
• Simulated Historical Net Length
• Estimated Bond CTA/Trend Positioning
• Realized Flows by Market
• Positioning Comparison
• Momentum Thresholds by Market

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