BofA Global Research-Systematic Flows Monitor CTAs entering 2024 long equities, ...-105621641

Trading ideas and investment strategies discussed herein may give rise to significant risk and are not suitable for all investors. Investors should have experience in relevant markets and the financial resources to absorb any losses arising from applying these ideas or strategies. >> Employed by a non-US affiliate of BofAS and is not registered/qualified as a research analyst under the FINRA rules. Refer to "Other Important Disclosures" for information on certain BofA Securities entities that take responsibility for the information herein in particular jurisdictions. BofA Securities does and seeks to do business with issuers covered in its research reports. As a result, investors should be aware that the firm may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their investment decision. Refer to important disclosures on page 22 to 23. 12639920 Systematic Flows Monitor CTAs entering 2024 long equities, long bonds, short USD, short commodities Trend follower equity positioning remains elevated According to our CTA model, trend followers have stretched equity long positions in the S&P 500, NASDAQ-100 and EURO STOXX 50 index futures. As we’ve noted in recent weeks, the Russell 2000 long was catching up in size and in median to bullish price paths over the next week the position should also be in stretched territory. Positioning in Nikkei 225 futures is also long but not at as extreme levels. Of each of these markets, the EURO STOXX 50 long is closest to its stop loss trigger which is currently 1.9% away (4437 index level). While our model indicates positioning is stretched, actual CTAs could still be accumulating their longs gradually in the near-term. CTAs still have room to add to US Treasury bond longs Our CTA model indicates that trend followers could still be accumulating longs in US Treasury bond futures. Their positions have been growing at a steady pace in recent weeks with continued buying expected in the near-term. Bund longs are already stretched, however, and a 0.8% decline in Bund futures (136.15 level) could trigger a full unwind in our model. In our daily CTA model update (please email us to be added) we cover more bond markets globally and generally non-US fixed income appears more stretched long. Expect trend followers to be adding to JPY and CAD longs Trend followers could continue to add downward pressure to USD to start the new year with buying concentrated most in JPY and CAD followed by EUR and AUD. Short USD positions are not stretched, yet, making the risk of stop loss triggers less. Aluminum could still be subject to short covering Our CTA model covered its Aluminum short already but actual CTAs could still be in the process of covering in the next week. In other commodities, our model indicates CTAs are short Oil, long Gold but neither is stretched. 29 December 2023