CTAs lost 4.3% in just three days since March 8, mainly due to bonds (2.3% loss) and equities (1.2% loss) -- although all asset classes contributed negatively to the performance, writes strategist Nicolas Le Roux. In response, CTAs have significantly reduced their long positions in equities, selling $25-30 bn of stocks since the announcement of the SVB collapse. More selling flows are coming (another $25-30 bn), which will put their overall exposure back to zero, from being in the 60%ile just one week ago. In fixed income, CTAs have already bought back 25% of their shorts (S30/35 mn Dv01) in the past 3 days, and Nicolas expects them to buy much more in the coming days (—$60/70 mn Dv01). • In FX, CTA positioning is turning more defensive while in commodities selling pressure on agricultural and industrial metals should remain but precious metals look likely to benefit.
- UBS Strategy
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