Cross Asset Systematic Highlights Ducks in a row: Improving our Positioning Strategy with Crowding metrics

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Cross Asset Systematic Highlights Ducks in a row: Improving our Positioning Strategy with Crowding metrics

J P M O R G A N Global Markets Strategy

15 May 2026

Cross Asset Systematic

Highlights

Ducks in a row: Improving our Positioning Strategy with

Crowding metrics

• Unlike the murky world of positioning indicators, we have for a long time Cross Asset Systematic Strategy

AC offered a clear methodology for a CFTC Positioning Strategy, which is our Thomas Salopek

‘Variation in Hedging Pressure’ (VHP). (1-212) 834-5476

• We improved on Positioning by adding Momentum, since we don’t just want thomas.salopek@jpmorgan.comJ.P. Morgan Securities LLC

things that are over- or under-owned, we want things where Momentum agrees, AC Mengjiao Wang

and the Positioning is starting to revert. What about Crowding, and how does (44-78) 9704-9696

it fit into Positioning? mengjiao.wang@jpmorgan.com

• The current positioning strategy traded the front month, and the CFTC data is J.P. Morgan Securities plc

aggregated, making it difficult to draw conclusions about the forward months. Dobromir Tzotchev, PhD

So we explore ways to assess most and least crowded contracts. Our Crowding (44-20) 7134-5331

dobromir.tzotchev@jpmorgan.com

indicator here is FOMO, which is the z-score of the recent Sharpe ratio relative J.P. Morgan Securities plc

to the long-run Sharpe.

• Both Momentum & Crowding produce similar improvements to the

Positioning strategy in isolation (.38 to ~.5), but the combination of all three

produces a Sharpe of 0.86.

• Where are all three signals firing together currently? Bullish on Heating Oil and

Gold, with the FOMO crowding identifying the favorable contracts as HO1

and GC4, respectively.

• Why are positioning strategies special? They have often done well when other