UBS Equities-Global Strategy _CTAs Positioning and Flows - Biweekly Upda...-106497188
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Global Strategy
CTAs' Positioning and Flows - Biweekly Update
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• CTAs have re-engaged in stocks buying in February, providing support and
counterbalancing the latest backup in UST yields. They added another $15-20bln worth
of global stocks, pushing their overall exposure to its 87%ile of a 30+yr distribution.
Recent inflows should prove temporary with CTAs likely pausing again.
• In rates, CTAs continued to reduce their duration risk in the last two weeks, selling
around $10/15mln Dv01 in aggregate. Interestingly, flows were quite mixed with CTAs
selling EU and US duration but buying a bit of Asian duration. Our model expects the
outflows to intensify in the next two weeks (selling $25/30mln Dv01) and become more
homogenous across regions.
• In credit, no change, CTAs are max long the asset class.
• In FX, CTAs' inflows into the USD did not fade in February. They bought another
$50/60bln MTD (mostly against G10 currencies) which comes on top of the $70/80bln
done in January. As a result, CTAs have switched from net short to net long USD in the
middle of last week. Flows should moderate significantly from here but not reverse.
• In commodities, CTAs continued to buy oil and are now net long the cohort. We expect
CTAs flows to remain positive for oil, neutral for agriculturals and negative for metals.
()*++,#-+
a) Equities: bullish Japan, EU and US, neutral UK and EM ex Asia, bearish Asia
b) Bonds: bullish Asia, neutral EU, bearish US and Canada
c) Credit: bullish across the board
d) Currencies: bullish LatAm FX and GBP, neutral $, bearish JPY and Asia FX (excl. INR)
e) Commodities: bullish Cotton, Cattle Feeder and Live Cattle, bearish LME Lead,
Copper, Soybean Meal and Zinc
Potential trades in couple of charts
Levels to watch on S&P 500
Levels to watch on UST 10y
What our CTA model says about FX?
What our CTA model says about Equities?
What our CTA model says about Rates?
What our CTA model says about Credit?
What our CTA model says about Commodities?
) (./$ 0 *)
-1.00
-0.75
-0.50
-0.25
0.00
0.25
0.50
0.75
1.00
US10Y EU10Y SPX SX5E MESA
(EM Eq)
XIN9I EUR MXN CNH CdxHY Crude Gold
Signal (t)
Exp. Signal (t+2w)
Signal value [-1,+1]
Source: UBS, Bloomberg
)( $ 1$ 2 3 4
/560*
-15
-10
-5
0
5
10
15
US10Y EU10Y SPX SX5E MESA
(EM Eq)
XIN9I EUR MXN CNH CdxHY Crude Gold
Position (t, %ADV)
Expected Flows (t, t+2w, %ADV)
(%ADV)
XIN9I: -22% ADV
CDX HY: +33% ADV
Source: UBS, Bloomberg
This report has been prepared by UBS Europe SE. /7/8#. (.99(/.9:7 /7 !,9 9#(:#,#+ ;<=>?@;<A
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Global
71
Strategist
nicolas.le-roux@ubs.com
+33-14-888 5000
PP20
Strategist
bhanu.baweja@ubs.com
+44-20-7568 6833
%S
Analyst
paul-j.winter@ubs.com
+61-2-9324 2080
TR
Strategist
james.malcolm@ubs.com
+44-20-7568 8924
R*7
Strategist
manik.narain@ubs.com
+44-20-7568 3635
R(
Strategist
mike.cloherty@ubs.com
+1-203-719 4281
R2R+(/
Strategist
matthew.mish@ubs.com
+1-203-719 1242
2
Strategist
gerry.fowler@ubs.com
+44-20-7567 5490
T(U
Strategist
julien.conzano@ubs.com
+44-20-7567 2067
R12 +(/
Strategist
maxwell.grinacoff@ubs.com
+1-212-713 3892
# 13 February 2024 ab 2
Global Strategy UBS Research
%.
Potential 'Going with the momentum' Trades:
Equities: bullish KOSPI2, RTY and SX5E, bearish OBX and UKX
FX: bullish NZD and BRL, bearish PEN, CZK, and MYR
Rates (bondfutures): bearish US across the curve, Canada 10y and EU 2y
Rates (front-end futures): bearish US and Canada 2y
Credit: bullish across the board
Commodities: bullish Cotton, Cattle Feeder and Live Cattle, bearish LME Lead,
Copper, Soybean Meal and Zinc
)R)today vs forecast
-1.00
-0.80
-0.60
-0.40
-0.20
0.00
0.20
0.40
0.60
0.80
1.00
RTY
KOSPI2
SX5E
UKX
NZD
PEN
CZK
CA10Y
US10Y
SFR4
BA4
ItxMain
Cotton
Cattle
Feeder
Lme Lead
Copper
Signal (t)
Exp. Signal (t+2w)
Signal value [-1,+1]
Source: UBS, Bloomberg
)( $ 1$ 2 3 4
/56
-30
-25
-20
-15
-10
-5
0
5
10
15
20
RTY
KOSPI2
SX5E
UKX
NZD
PEN
CZK
CA10Y
US10Y
SFR4
BA4
ItxMain
Cotton
Cattle
Feeder
Lme Lead
Copper
Position (t, %ADV)
Expected Flows (t, t+2w, %ADV)
(%ADV)
Itx Main: +149% ADV
Source: UBS, Bloomberg
#31"$161$ 2
V)R)today vs expected change
BRL
NZD
PEN
KOSPI2
OBX
RTY
SX5E
UKX
EU2YFut
CA10YFut
SFR4
BA4
LmeCopper
LmeLead
Zinc
Cotton
LiveCattle
SoybeanMeal
CattleFeeder
US10YFut
-0.6
-0.5
-0.4
-0.3
-0.2
-0.1
0.0
0.1
0.2
0.3
0.4
0.5
0.6
-1.0 -0.8 -0.6 -0.4 -0.2 0.0 0.2 0.4 0.6 0.8 1.0
Expected change in signal (t, t+2w)
Current signal (t)
FX EQ Rates Credit Commo
Potential assets to sell based
on CTA signal
Potential assets to buy based
on CTA signal
Source: UBS, Bloomberg
The securities and futures products described herein may not be eligible for sale in all
jurisdictions or to certain categories of investors. Options, derivative products and
futures are not suitable for all investors, and trading in these instruments is considered
risky. Past performance is not necessarily indicative of future results.
W2W
* 2(./
1$
$
.$ 2
(./
# 13 February 2024 ab 3
2#'%V
How to read the simulation tables below:
If we take the example of simulation 1, it indicates the S&P would sell-off linearly from
5044 to 4800 (-4.84% sell-off, Figure 6S&P Simulated Prices and Figure 7S&P Simulated Changes (%)) over the next two weeks. After 9
business days, the S&P should be at 4824 (-4.35%) and, as a result, the signal would
move from +1.00 at t0 to +0.99 at t+7bds (Figure 8S&P Expected Signal, in response to simulated prices), i.e. a -0.01 change in signal (Figure
9 S&P Expected Change in Signal, in response to simulated prices). CTAs' position in S&P would decrease from $+18.76bln to $+18.52bln (Figure 10S&P Expected Position ($bln), in response to simulated prices) in
response to the simulated prices, i.e. a selling flow of $-0.24bln (Figure 11 S&P Expected Flows ($bln), in response to simulated prices).
Extrapolating the S&P change in signal to all equity indices, we would get a total equity
flow of $-47.54bln (Figure 12Total Equities Expected Flows ($bln), using S&P as a proxy, in response to simulated pricesFigure 12).
X)#'%#%
Simu 1 Simu 2 Simu 3 Simu 4 Simu 5 Simu 6 Simu 7 Simu 8 Simu 9
t0 5,044 5,044 5,044 5,044 5,044 5,044 5,044 5,044 5,044
t+1bds 5,019 5,025 5,032 5,038 5,044 5,050 5,056 5,062 5,068
t+2bds 4,995 5,007 5,019 5,032 5,044 5,056 5,068 5,080 5,093
t+3bds 4,971 4,989 5,007 5,025 5,044 5,062 5,080 5,099 5,117
t+4bds 4,946 4,971 4,995 5,019 5,044 5,068 5,093 5,117 5,141
t+5bds 4,922 4,952 4,983 5,013 5,044 5,074 5,105 5,135 5,166
t+6bds 4,897 4,934 4,971 5,007 5,044 5,080 5,117 5,154 5,190
t+7bds 4,873 4,916 4,958 5,001 5,044 5,086 5,129 5,172 5,215
t+8bds 4,849 4,897 4,946 4,995 5,044 5,093 5,141 5,190 5,239
t+9bds 4,824 4,879 4,934 4,989 5,044 5,099 5,154 5,208 5,263
t+10bds 4,800 4,861 4,922 4,983 5,044 5,105 5,166 5,227 5,288
Source: UBS, Bloomberg
Y)#'%#(346
Simu 1 Simu 2 Simu 3 Simu 4 Simu 5 Simu 6 Simu 7 Simu 8 Simu 9
t0
t+1bds -0.48 -0.36 -0.24 -0.12 0.00 0.12 0.24 0.36 0.48
t+2bds -0.97 -0.73 -0.48 -0.24 0.00 0.24 0.48 0.73 0.97
t+3bds -1.45 -1.09 -0.73 -0.36 0.00 0.36 0.73 1.09 1.45
t+4bds -1.94 -1.45 -0.97 -0.48 0.00 0.48 0.97 1.45 1.94
t+5bds -2.42 -1.81 -1.21 -0.60 0.00 0.60 1.21 1.81 2.42
t+6bds -2.90 -2.18 -1.45 -0.73 0.00 0.73 1.45 2.18 2.90
t+7bds -3.39 -2.54 -1.69 -0.85 0.00 0.85 1.69 2.54 3.39
t+8bds -3.87 -2.90 -1.94 -0.97 0.00 0.97 1.94 2.90 3.87
t+9bds -4.35 -3.27 -2.18 -1.09 0.00 1.09 2.18 3.27 4.35
t+10bds -4.84 -3.63 -2.42 -1.21 0.00 1.21 2.42 3.63 4.84
Source: UBS, Bloomberg
Z) #'% 1$ #+ $
$
Simu 1 Simu 2 Simu 3 Simu 4 Simu 5 Simu 6 Simu 7 Simu 8 Simu 9
t0 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00
t+1bds 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00
t+2bds 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00
t+3bds 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00
t+4bds 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00
t+5bds 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00
t+6bds 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00
t+7bds 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00
t+8bds 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00
t+9bds 0.99 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00
t+10bds 0.97 0.99 1.00 1.00 1.00 1.00 1.00 1.00 1.00
Source: UBS , Bloomberg
[) #'% 1$ ( #+ $
$
Simu 1 Simu 2 Simu 3 Simu 4 Simu 5 Simu 6 Simu 7 Simu 8 Simu 9
t0
t+1bds 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
t+2bds 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
t+3bds 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
t+4bds 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
t+5bds 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
t+6bds 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
t+7bds 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
t+8bds -0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
t+9bds -0.01 -0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
t+10bds -0.04 -0.01 -0.00 0.00 0.00 0.00 0.00 0.00 0.00
Source: UBS, Bloomberg
) #'% 1$ % 3-6+ $
$
Simu 1 Simu 2 Simu 3 Simu 4 Simu 5 Simu 6 Simu 7 Simu 8 Simu 9
t0 18.76 18.76 18.76 18.76 18.76 18.76 18.76 18.76 18.76
t+1bds 18.76 18.76 18.76 18.76 18.76 18.76 18.76 18.76 18.76
t+2bds 18.76 18.76 18.76 18.76 18.76 18.76 18.76 18.76 18.76
t+3bds 18.76 18.76 18.76 18.76 18.76 18.76 18.76 18.76 18.76
t+4bds 18.76 18.76 18.76 18.76 18.76 18.76 18.76 18.76 18.76
t+5bds 18.76 18.76 18.76 18.76 18.76 18.76 18.76 18.76 18.76
t+6bds 18.76 18.76 18.76 18.76 18.76 18.76 18.76 18.76 18.76
t+7bds 18.76 18.76 18.76 18.76 18.76 18.76 18.76 18.76 18.76
t+8bds 18.72 18.76 18.76 18.76 18.76 18.76 18.76 18.76 18.76
t+9bds 18.52 18.73 18.76 18.76 18.76 18.76 18.76 18.76 18.76
t+10bds 18.10 18.58 18.75 18.76 18.76 18.76 18.76 18.76 18.76
Source: UBS, Bloomberg
) #'% 1$ 2 3-6+ $
$
Simu 1 Simu 2 Simu 3 Simu 4 Simu 5 Simu 6 Simu 7 Simu 8 Simu 9
t0 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
t+1bds 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
t+2bds 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
t+3bds 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
t+4bds 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
t+5bds 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
t+6bds 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
t+7bds 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
t+8bds -0.04 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
t+9bds -0.24 -0.03 0.00 0.00 0.00 0.00 0.00 0.00 0.00
t+10bds -0.66 -0.18 -0.01 0.00 0.00 0.00 0.00 0.00 0.00
Source: UBS, Bloomberg
).&1$23-6+#'%$1+$$
Simu 1 Simu 2 Simu 3 Simu 4 Simu 5 Simu 6 Simu 7 Simu 8 Simu 9
t0 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
t+1bds -0.16 0.26 0.68 1.10 1.51 1.92 2.33 2.73 3.13
t+2bds -2.11 -0.89 0.31 1.51 2.68 3.83 4.96 6.07 7.14
t+3bds -5.70 -3.35 -1.02 1.28 3.53 5.71 7.80 9.80 11.68
t+4bds -10.32 -6.59 -2.86 0.83 4.42 7.84 11.04 13.98 16.64
t+5bds -16.00 -10.68 -5.28 0.09 5.27 10.13 14.51 18.36 21.66
t+6bds -22.51 -15.52 -8.25 -0.95 6.07 12.50 18.08 22.72 26.39
t+7bds -29.86 -20.95 -11.68 -2.19 6.89 15.01 21.75 26.93 30.64
t+8bds -38.20 -27.03 -15.54 -3.64 7.73 17.63 25.38 30.83 34.32
t+9bds -47.54 -33.86 -19.87 -5.38 8.53 20.27 28.89 34.33 37.50
t+10bds -57.98 -41.41 -24.73 -7.38 9.34 22.97 32.30 37.44 40.08
-125
-100
-75
-50
-25
0
25
50
75
100
125
150
175
Dec-22 Feb-23 Apr-23 Jun-23 Aug-23 Oct-23 Dec-23 Feb-24
Total Notional vs. USD ($bn)
Source: UBS, Bloomberg
摘要：
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作者：梧桐
分类：外资研报
价格：免费
属性：32 页
大小：4.19MB
格式：PDF
时间：2024-03-02
