Futures Global Equity CTA Market Update

Despite recent market volatility, Goldman Sachs reports no new negative CTA trend signals, suggesting net baseline flows remain negligible. However, further market declines could trigger up to $60bn in systematic equity selling over the next month.

Key Takeaways

• 1.CTA trend signals remain strongly positive despite recent market moves, resulting in no new negative trend signals.
• 2.Systematic trend-following community is estimated to sell approximately $60bn of global equities over the next month if markets trend lower.

Table of Contents

• Thoughts From the Desk
• Conditional Regional Forecasts
• Conditional Market Forecasts 1-Month
• Figure 1 - Legend
• Figure 1a - Simulated Historical Net Length - 1Y time series
• Figure 1b - Simulated Historical Net Length - 1Y time series
• Figure 2a: Momentum Thresholds - N. America
• Figure 2b - Momentum Thresholds - EMEA
• Figure 2c - Momentum Thresholds - Asia-PAC & EM
• Figure 3a - Simulated Realized Flows
• Figure 3b - Simulated Realized Flows

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