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Trend-followers are selling the S&P 500 at accelerating pace
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Picture: Trend-followers are selling the S&P 500 at accelerating pace
According to GammaLab's CTA tracker, S&P 500 exposure among major trend-following funds has fallen to $43B, down from roughly $60B at the end of August, and is expected to decline further. This continues to add mechanical supply to the market.
CTAs have accelerated their selling as the S&P dropped below a sell trigger near 7,580, now offloading futures at a rate of $5B per day.
Trend-following funds adjust their positioning slowly, so even if the market turns higher, we won't see CTAs buying back in below 7,790.
Vol-control funds are currently still adding exposure, but risk is tilted heavily to the downside.