Tuesday, 12 January, 2021
NATWEST CTA trend follower
NATWEST CTA trend follower
* The US Dollar model signal stays put at max bearish level. Speculative net short positioning (as % of OI) is at more than a decade record
* Model signals for all currencies we track continue to be max bullish against the USD, with only signal for GBPUSD FX turning marginally lower
* CTAs are net short AUD and MXN FX despite max bullish price action. Positioning for both these currencies is quite low with respect to last 5yr history too
* Oil and Copper signals are all max bullish. CTAs have been buying Brent futures, but lag price action by large gap
* Model signal for precious metals – Gold and Silver – has turned up significantly, more for Silver as compared to Gold. Silver longs lag bullish momentum and have been larger before, so there is room for trend to run
* Specs continue to sell S&P500 futures, are net short despite max bullish price action
* For US Treasury markets, model signal is quite bearish for 10yr futures and further long-end of the curve. CTAs aren’t net short TY (UST 10yr futures) yet, while classic long bond shorts are close to record
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