Tuesday, 08 December, 2020
NATWEST CTA Trend Follower
NATWEST CTA Trend Follower
* CTAs are less bearish on the US Dollar than a few months ago, especially against those currencies which should benefit most from global industry reflation theme – AUD, CAD and MXN FX
* Speculative net long positioning (as % of OI) in JPYUSD cross is largest in last four years, supported by max bullish model signal
* Heading into the ECB meet, CTA net long positioning in EUR FX is large, in sync with price action
* CTA longs in Gold and Silver are close to last few year highs, though the model signal has fallen recently
* CTAs have been buying Brent futures, but long positioning is fairly modest and lags max bullish signal by large gap
* Copper longs are making new record, at more than a decade high, well supported by price action
* CTAs have been selling US equity (S&P500) futures despite max bullish model signal. Positioning has moved to neutral
* Net CTA positioning in 10yr USTs ( TY) is close to 3-year high, though the model signal is turning lower
* For UST classic long bond futures, model signal is max bearish for the first time in last two years. CTA shorts are close to record, in sync with price action
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