【UBS-2024研报】Global Strategy _CTAs Positioning and Flows.pdf

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Global Strategy

CTAs' Positioning and Flows - Biweekly Update

 !

"#$#!

• Despite the S&P making new all-time highs, CTAs have quietly been reducing their

equity exposure (by $15/20bln, ie. ~20%). They notably sold the UK FTSE and European

indices, which have been trading in ranges since May, and now appear close to their

• In FX, since October 1st, CTAs have bought $275/300bln of USD, switching from very

short to very long (now at 82%le). The frenzy dollar buying might come to an end, as we

forecast limited flows for the remaining of November. While the EUR, CHF, SEK and GBP

may still face some (mild) CTAs selling pressure in the coming two weeks, commodities

currencies may benefit from some profit taking.

• Limited activity from CTAs in the commodity space since our last update. This is about

to change, as our model anticipates strong selling in Metals, especially in Precious, and

active buying in Energy and Agriculturals.

%&'( )$

a) Equities: bullish most markets, especially US. Bearish Latam indices, Kospi2 & CAC

Levels to watch on UST 10y

What our CTA model says about FX?

What our CTA model says about Equities?

What our CTA model says about Rates?

What our CTA model says about Credit?

What our CTA model says about Commodities?

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

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Global

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O'

*#

  12 November 2024 ab 2

Potential 'Going with the momentum' Trades:

  12 November 2024 ab 3

How to read the simulation tables below:

If we take the example of simulation 1, it indicates the S&P would sell off linearly from

6044 to 5661 (-6.33% sell-off, Figure 6S&P Simulated Prices and Figure 7S&P Simulated Changes (%)) over the next two weeks. After 9

business days, the S&P should be at 5699 (-5.70%) and, as a result, the signal would

move from +1.00 at t0 to +0.98 at t+9bds (Figure 8S&P Expected Signal, in response to simulated prices), i.e. a -0.02 change in signal (Figure

9 S&P Expected Change in Signal, in response to simulated prices). CTAs' position in S&P would decrease from $+14.10bln to $+13.80bln (Figure 10S&P Expected Position ($bln), in response to simulated prices) in

response to the simulated prices, i.e. a selling flow of $-0.30bln (Figure 11 S&P Expected Flows ($bln), in response to simulated prices).

* Y& VP 4-! $  !  

!

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!

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  12 November 2024 ab 4

How to read the simulation tables below:

If we take the example of simulation 1, it shows the UST 10y would sell off linearly from

4.30 to 4.62 (+31bps sell-off, Figure 13UST 10y Simulated Yields and Figure 14UST 10y Simulated Changes (bps)) over the next 2 weeks. After 7

business days, UST 10y should be at 4.52 (+22bps) and as a result, the signal would

increase from -0.56 to -0.73 (Figure 15UST 10y Expected Signal, in response to simulated yields), i.e. a -0.16 change in signal (Figure 16UST 10y Expected Change in Signal, in response to simulated yields). CTAs'

position in UST 10y would increase from $-13.26 DV01mn to $-17.08 DV01mn (Figure

17UST 10y Expected Position ($DV01 mn), in response to simulated yields), i.e. a selling flow of $-3.82 DV01mn (Figure 18UST 10y Expected Flows ($DV01 mn), in response to simulated yields). Extrapolating the UST 10y change

* T& ( "  4-! $  ! 

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