Investing.com – Commodity trading advisors (CTAs) maintain a strong long position on the US dollar, as evidenced by the associated bullish move in both the dollar and the benchmark CTA index last Thursday, according to Bank of America.
This trend has been consistent, with the dollar showing gains over the past five weeks and in 13 of the past 14 weeks.
A couple of weeks ago, it was noted that some trend followers may allocate more risk to foreign exchange (FX) as its trend is relatively stronger than those in stocks, bonds and commodities. This could be a major factor, as a reversal in the dollar and subsequent unwinding of the CTA may occur more aggressively due to increased risk distribution.
Next week, trend-following short positions on the JPY are expected to increase. It was also noted that the Brazilian Real was recently added to the daily update, and the model suggests that if CTAs are active in this market, they will be long on the dollar against the Real.
According to the model, trend followers are likely to remain long positions in the Nasdaq-100, but their positions are outside peak levels due to lower price trend and higher realized volatility. The Nasdaq-100 sell-off trigger in the model indicates that trend-following selling may intensify if the level reaches 20880.
Regarding , if long positions are still in place, they should be close to settling in the near term. Outside the US, CTAs appear to be long-standing and neutral in futures.
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