CTAs' Positioning and Flows - Biweekly Update

This report provides a biweekly update on CTA positioning, noting significant USD accumulation, supportive equity environments, and aggressive selling in commodities. CTAs are shifting to add duration in bonds while maintaining short biases in money market futures.

Key Takeaways

• 1.CTAs are aggressively buying USD, with an expected further $40-50bn in the coming two weeks.
• 2.Equities expect a 3pp volatility decline, supporting long positioning as CTAs re-leverage.
• 3.Commodities are seeing aggressive selling across all cohorts, with energy contracts the most vulnerable.

Table of Contents

• Potential Trades
• Signal (ex-ante return proxy) vs expected flows
• 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

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