Systematic Flows Monitor: Systematic flows remain stable led by long equities and short bonds

研报英文原文证据摘录

Systematic Flows Monitor: Systematic flows remain stable led by long equities and short bonds

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Systematic Flows Monitor

Systematic flows remain stable led by long

equities and short bonds

Equity buying slows as positioning remains below highs 22 May 2026

CTA equity longs declined by roughly ~$9bn this week, with selling concentrated in Equity Derivatives

Europe and Asia while US positioning edged modestly higher. Overall, systematic equity Global

positioning remains meaningfully below January highs, when CTA exposure was nearly

twice current levels. What is constraining positioning is a combination of higher realized

volatility (SPX ~13% vs. ~9% in January) and slower‑moving trend models, which

continue to lag the recent rally given their longer lookbacks. Looking ahead, flow

dynamics are still skewed toward potential unwinds, though a meaningful decline would

be required to trigger broad‑based selling with equities near all‑time highs. In large

upside scenarios, a rise in volatility could prompt modest CTA and risk parity unwinds, Table of Contents

while in more stable markets, lower volatility could support incremental buying. Any

significant equity downside would likely see CTA selling led by the US. Systematic Equity Flows Snapshot 2

SPX Option Gamma Positioning 3

CTAs keeping a close eye on US Treasury futures vol Trend Following (CTA) Model 4

Trend followers remain short US Treasury futures with the largest shorts at the front Leveraged and Inverse ETFs 14

end of the curve. Our model indicates that 10yr and 30yr shorts grew this week as lower Risk Parity Model 16

yields left trend lookback windows. With price trends nearing their lower bound, S&P 500 Equity Vol Control 16