This report provides a biweekly update on CTA positioning across equities, bonds, credit, FX, and commodities, noting that low realized volatility is driving re-leveraging and carry-harvesting behaviors.
Key Takeaways
- 1.CTA activity in equities is expected to remain subdued due to low realized volatility and a re-leveraging dynamic.
- 2.Bond markets face significant flow potential if yield moves exceed 1.5 standard deviations (~20bps).
- 3.CTAs have accumulated ~$200bn in USD exposure; flows are expected to stabilize with a pro-carry bias.
Table of Contents
- Potential Trades
- Levels to watch on S&P 500
- Levels to watch on UST 10y
- 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
- Valuation Method and Risk Statement
- Required Disclosures
- UBS Global Research Disclaimer
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Authors
Nicolas Le RouxBhanu BawejaPaul WinterJulien ConzanoGerry FowlerShahab JalinoosReinout De BockManik NarainMatthew MishMaxwell Grinacoff, CFA
Securities
SPXUS 10-Year Treasury
Themes
CTA De-leveraging and Carry
Regions
EuropeAsia PacificLatin AmericaUnited StatesChina