Futures Global Equity CTA Market Update

This report outlines current conditional market forecasts and momentum thresholds for global equity CTA strategies.

Key Takeaways

• 1.The report provides conditional regional and market forecasts for global equity CTA positioning based on simulated historical net length data.

Table of Contents

• Exhibit 1 - Conditional Regional Forecasts
• Exhibit 2 - 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
• Asia-Pac & EM - 1-Day Thresholds
• Asia-Pac & EM - 1-Week Thresholds (vol-normalized)
• Figure 3a - Simulated Realized Flows
• N. America
• Figure 3b - Simulated Realized Flows
• Asia-Pac & EM
• More in Macro

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