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What are CTAs buying and selling: Oil, dollar, S&P 500

Published 05/06/2024, 06:17 AM
Updated 05/06/2024, 06:19 AM
© Reuters.  What are CTAs buying and selling: Oil, dollar, S&P 500

Analysts at Bank of America said in a note Monday that Commodity Trading Advisors (CTAs) have seen large declines on the back of bond shorts and USDJOY and oil longs.

The bank said that even after the drop in US Treasury yields last week, trend followers remain quite stretched short across the curve of UST futures.

"These positions, along with USDJPY and Oil longs, drove a large decline (benchmark index's weekly return in the 1st percentile since 2000) in CTAs through the week," said BofA.

"The losses CTAs are accumulating on UST bond futures shorts should bring unwind triggers closer, and looking ahead to next week, we see the largest potential for short covering in 2yr and 5yr futures," analysts explained.

Nevertheless, the firm said CTA equity positioning looks relatively stable. Outside of the US, BofA notes shorts in Bund, Gilt, and KTB futures could continue growing next week.

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