Systematic Flows Monitor: Trend followers remain long equities and short US Tsy futures

研报英文原文证据摘录

Systematic Flows Monitor: Trend followers remain long equities and short US Tsy futures

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Systematic Flows Monitor

Trend followers remain long equities and

short US Tsy futures

Equity positioning remains elevated on strong trends 03 July 2026

Global equities were mixed through Thursday with the S&P 500, Euro Stoxx 50, and Equity Derivatives

Nasdaq posting gains while the Russell 200 and Nikkei 225 declined. Despite the moves, Global

estimated CTA equity positioning was largely unchanged and remains elevated across

most regions. With price trends still near max levels, positioning is largely dependent on

changes in realized vol. A continued decline in vol would be necessary to bring CTA longs

back to levels seen in Jan/Feb before the outbreak of the conflict in Iran. This week’s

gains in S&P 500 and Nasdaq pushed stop-loss triggers further away with all major

equity benchmarks now more than 2.5% above their nearest sell levels, reducing the

immediate risk of systematic deleveraging. That said, bearish scenarios would still Table of Contents

generate selling over the week ahead, particularly in the US and Europe.

Systematic Equity Flows Snapshot 3

CTA US Tsy shorts intact as yields once again move higher SPX Option Gamma Positioning 4

US yields rose with the 10yr breaking a three-week streak of declines. Coming into the Trend Following (CTA) Model 5

week, some models may have been stopped out of WN, US, UXY, and TY shorts on the Leveraged and Inverse ETFs 16

recent decline in yields, but this week’s moves bring shorts back into consensus at most Risk Parity Model 18

tenors across model speeds. Shorts remain most stretched at the front end with trends S&P 500 Equity Vol Control 18

holding at more negative levels.