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Seth Golden posted an update 4 years, 2 months ago
According to Nomura, trend-chasing CTAs seem to still be gradually accumulating long positions in US equity futures. Although they are likely to be drawn into more position adjustments as the US presidential election draws closer, “trend-following investors in general are still eying anything above 3,390 (for the S&P 500) and 11,610 (for the NASDAQ 100) as an invitation to continue chasing the market up”, according to Nomura. Some key observations:CTAs have a gradually growing aggregate net long position in S&P 500 futures. The S&P 500 has held above 3,390 despite the recent downward adjustment, during which CTAs averaged down on the assumption that the decline is a dip and not a trend. CTAs’ overall position does not look overextended, as it is at just the 38th percentile level for the period since 2000. CTAs will likely build their net long position back up to around the 50th percentile level.
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