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Investing.com -- Commodity trading advisors (CTAs) remain heavily long global equities, Bank of America said, with positioning across key equity futures still elevated despite a recent pullback.
The bank’s model shows trend followers’ long exposure in S&P 500, Nasdaq-100, Russell 2000, and Nikkei futures “shrunk in the wake of 10-Oct losses but are still meaningfully elevated versus history and could increase further on declining volatility.”
Euro Stoxx 50 longs have also expanded to levels last seen in February, when the index outperformed other regions early in the year. With major benchmarks hovering around all-time highs, BofA analysts said that “stop-loss triggers remain relatively far at this point.”
They suggest CTAs could continue adding to long equity positions this week if realized volatility keeps falling.
In commodities, trend followers may have reduced part of their gold exposure after the metal’s sharp 5.3% decline last week ended a nine-week winning streak.
“Even after this week’s losses, CTAs are likely still quantifying a bullish price trend for Gold but could have pared some of their positions on the increase in volatility,” analysts led by Chintan Kotecha wrote, adding that full unwinds are projected only after an additional 4.4% drop in December futures.
The report shows CTAs building short positions in crude oil despite the rebound in futures prices, though BofA expects that accumulation to slow, while aluminum longs remain “stretched.”
In fixed income, the model indicates growing long positions in U.S. Treasury futures—particularly at shorter maturities—while investors remain short in Korean and Chinese bonds.
As for the foreign exchange, the U.S. dollar gained last week, reducing short positioning. The only consensus short USD position now is against the Mexican peso, while consensus longs remain versus the yen and Canadian dollar.
Mixed positioning continues across the euro, pound, and Australian dollar, where medium- to long-term trend followers are still short USD.