Commodity Trading Advisors, commonly known as CTAs, kept adding equity exposure in the week that ended Aug. 14, according to research from Bank of America. The bank said that gains across major indexes sustained positive price trends, prompting continued buying from trend-following strategies.
BofA highlighted that estimated CTA equity positioning has climbed to its highest level since the Iran conflict began in March. Analysts at the bank noted there remains scope for further increases in those positions if the diminished summer volatility persists.
Model signals and trend strength
Bank of America's models show the Nasdaq-100's trend signals are mixed across time horizons. The short-term trend signal registers at -7%, while the medium-term signal is 63% and the long-term signal reads 100%. Taken together, the readings indicate a predominantly positive positioning backdrop despite a short-term weakness.
In BofA's Aug. 14 model, the Nasdaq-100 was logged at 30,140, with an estimated threshold for initiating long-position unwinds at 28,090. The bank's projections suggest medium-term trend strength could improve along median or bullish five-day price trajectories, supporting the potential for additional buying from slower-moving trend-followers.
Buying and selling sensitivities
BofA's analysis indicates systematic strategies could purchase roughly $11 billion of equities if global markets climb over the coming week, or about $19 billion if markets hold broadly flat. By contrast, a down market could prompt roughly $96 billion of systematic selling, according to the same models.
Despite the recent increases in equity longs, the bank said systematic sell triggers remain relatively distant across major indexes. Generally, declines exceeding 4% would be needed to generate meaningful CTA selling activity, the note found. Nevertheless, BofA cautioned that systematic positioning has shifted to be more skewed toward downside risk following the recent accumulation of long equity exposure.
Bank of America's findings point to a market environment where trend-following strategies can amplify moves—supporting equities if trends stay positive but capable of accelerating selling if markets deteriorate beyond the modelled sell thresholds.