📝CTA Equity Allocation Moves Back to Neutral: Deutsche Bank
- Rosbel Durán
- Aug 21, 2022
- 1 min read
Positioning in systematic strategies has rebounded from extremes as vol fell and trend signals became less negative, but is still quite low (z-score: -1.3, 9th percentile).
Vol control funds have increased equity exposure from 37% in mid- June to 54% currently (13th percentile). However, allocations have room to increase if vol declines further .
CTAs have cut equity shorts sharply with allocations nearly back to neutral, as trend signals turned less negative.
Risk parity funds’ equity portfolio weight remains very low as they react slowly to falling vol.
Discretionary investors’ positioning has moved closer to neutral (z-score: -0.19, 29th percentile), commensurate with the slowing in macro growth.
-Deutsche Bank
*Report from Aug. 13, 2022
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