Discretionary positioning tends to be closely tied to indicators of macro growth, such as the ISM. At current levels, discretionary positioning is commensurate with a steep drop in the ISM to 47 as compared to the near 53 released yesterday. The gap between discretionary positioning with growth which has held in is in fact slightly larger than at the June market low. Systematic strategies positioning also fell modestly as vol rose over the last two weeks, and remains very low (8th percentile, z-score: -1.36). Investor sentiment: (bull minus bear spread) reversed its tentative recovery over the last 2 months, falling to extremely bearish levels again (3rd percentile). Vol control: funds cut their equity exposure to 51% (10th percentile) from over 56% two weeks ago as vol rose. CTA: equity positions are close to neutral (17th percentile), while Risk Parity funds equity allocations continue to remain very low.
- Deutsche Bank Strategy
**report dating 09/02/22
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