Systematic Flows Monitor: Systematic flows stabilize as equity buying slows and Treasury shorts near capacity

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Systematic Flows Monitor: Systematic flows stabilize as equity buying slows and Treasury shorts near capacity

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Systematic Flows Monitor

Systematic flows stabilize as equity buying

slows and Treasury shorts near capacity

Equity buying slows as unwind risk builds on downside 15 May 2026

As we noted last week, CTA buying has continued to slow with our models indicating just Equity Derivatives

~$2bn of new equity longs added this week. Short‑ and medium‑term signals remain Global

max long on trend (but not on vol), while longer‑term trends are still recovering from the

March drawdown and prior mean‑reverting price action. Looking ahead, flow dynamics

have shifted. Across price paths, scope for incremental buying looks limited, with a

growing risk of unwinds. Unwind triggers remain pretty far below spot, however, and are

uneven across regions: ~3% lower for the S&P 500 and ~5% for the Russell 2000, while

Europe and Japan are closer to ~10% declines. Nasdaq triggers are unlikely to be

reached over the next week. Should downside triggers reach, then CTA selling could Table of Contents

reach ~$100bn globally, led by ~$50bn in the US, ~$35bn in Europe, and ~$15bn in Asia.

Systematic Equity Flows Snapshot 2

CTA meaningfully short US Treasury futures SPX Option Gamma Positioning 3

Trend followers benefitted from this week’s rise in yields on inflation fears as CTAs Trend Following (CTA) Model 4

remain short US Treasury futures. As we noted last week, these shorts are close to Leveraged and Inverse ETFs 14

capacity in 2yr and 5yr contracts, but 10yr and 30yr shorts are not quite there yet. The Risk Parity Model 16

next moves in positioning will be largely dependent on vol. Should futures continue to S&P 500 Equity Vol Control 16