Systematic Flows Monitor: Equity gains keep CTAs long while Treasury short-covering risks rise

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Systematic Flows Monitor: Equity gains keep CTAs long while Treasury short-covering risks rise

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Systematic Flows Monitor

Equity gains keep CTAs long while

Treasury short-covering risks rise

Another week of equity gains keeps trend followers long 18 June 2026

Following the CTA equity deleveraging we discussed in last week’s report, positioning Equity Derivatives

appears to have stabilized as equities continued to move higher. Importantly, entry and Global

exit rules vary across CTA frameworks, and while more reactive models may have

reduced exposure during the drawdown, slower-moving or less risk-sensitive strategies

may not have stopped out at all. Consistent with this, our model shows that both S&P

500 and NASDAQ-100 positioning recovered early in the week as indices rebounded

(NDX +3.1%, SPX +1.7% Monday), leaving CTAs still meaningfully long both indices.

Positioning is also still elevated in Russell 2000 and Nikkei futures. Meanwhile, European

equities could continue to see buying from CTAs on higher price trends, but the pace of Table of Contents

accumulation is likely to moderate relative to prior weeks. Volatility continues to matter

for trend follower positioning and remains the reason why equity longs are still lower Systematic Equity Flows Snapshot 2

than Jan/Feb levels despite elevated equity price trends. SPX Option Gamma Positioning 3

Trend Following (CTA) Model 4

CTAs could be stopping out of long duration US Tsy shorts Leveraged and Inverse ETFs 14

US yields declined this week despite the hawkish messaging out of Chair Warsh’s first Risk Parity Model 16

FOMC meeting on Wednesday (see US Watch: 17-Jun-26). This brought trend follower S&P 500 Equity Vol Control 16