CTA Positioning and Flows Biweekly Update

UBS reports that CTAs are currently in a risk-on posture, heavily long on equities and credit while maintaining near-record shorts in global bonds and increasing USD short positions.

Key Takeaways

• 1.CTAs are in a 'risk-on' mood, remaining bullish on equities (especially US large-caps) and credit, while maintaining deep short positions in bonds.
• 2.Bond positioning is asymmetrically skewed toward buying, with shorts at the 1st percentile since 1990; a decline in yields could trigger $250mln DV01 of demand.
• 3.USD short exposure has doubled recently ($40-50bn sold), though flows are expected to stabilize with potential reversals in CNH, GBP, and CAD.

Table of Contents

• Firmly in risk-on mood
• Current signals: bullish stocks/credit/commo, bearish bonds/USD
• Potential trades in a couple of charts
• Potential Trades
• Levels to watch on S&P 500
• Levels to watch on UST 10y (TY)
• What our model says about CTAs' positioning in FX
• What our model says about CTAs' positioning in Equities
• What our model says about CTAs' positioning in Rates - Bond Futures (G10)
• What our model says about CTAs' positioning in Rates - Money Market Futures (G10)
• What our model says about CTAs' positioning in Credit
• What our model says about CTAs' positioning in Commodities

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