Systematic Flows Monitor: CTA US Tsy short covering intensifies as equity longs hold on after declines

Research evidence excerpt

Systematic Flows Monitor: CTA US Tsy short covering intensifies as equity longs hold on after declines

Accessible version

Systematic Flows Monitor

CTA US Tsy short covering intensifies as

equity longs hold on after declines

Falling yields bring CTA US Tsy shorts to stop out triggers 26 June 2026

Trend follower US Tsy shorts faced losses as US yields declined again this week. Coming Equity Derivatives

into the week, shorts at the back end were already under pressure, and as the week Global

progressed, more CTAs capitulated on WN, US, UXY, and, finally, TY shorts. More buying

in these contracts could come as more trend followers cover shorts on risk management

triggers or rising futures price trends. At the front end of the curve, our model indicates

that short positions remain stretched with more negative trend levels, but the decline in

yields has brought buy to cover levels closer (approximately 15bps higher in TU and

14bps higher in FV futures). Outside the US, CTA could also be buyers of Bund futures.

Table of Contents

Equity positioning remains sizable despite weakness

This week’s pullback in equities marked a modest reversal after the prior stretch of Systematic Equity Flows Snapshot 2

gains, with the S&P 500 declining for five consecutive sessions and beginning to erode SPX Option Gamma Positioning 3

short-term trends. Despite the move lower, estimated CTA positioning remained largely Trend Following (CTA) Model 4

unchanged across regions, except in Europe where buying continued. This suggests that Leveraged and Inverse ETFs 14

recent downside has not yet been sufficient to trigger broad deleveraging. That said, the Risk Parity Model 16

recent moves have reduced the buffer to stop loss triggers with the S&P 500 trigger S&P 500 Equity Vol Control 16