Investing.com — Commodity Trading Advisors (CTA) maintain a strong long position in the U.S. dollar, as indicated by the correlated move in the dollar and the CTA benchmark this past Thursday, according to Bank of America .
This trend has been consistent, with the dollar posting gains over the past five weeks and 13 of the past 14 weeks.
Two weeks ago, it was noted that some trend followers might allocate more risk to foreign exchange (FX), as their trend is relatively stronger than that of stocks, bonds and commodities. This could be a key factor, as a dollar reversal and subsequent unwinding of CTA positions could occur more aggressively due to increased risk allocation.
In the coming week, trend followers’ short positions in the Japanese yen are expected to increase. It was also noted that the Brazilian real was recently added to the daily update, and the model indicates that if CTAs were active in this market, they would be long the dollar relative to the real.
According to the model, trend followers are likely still long the and NASDAQ-100, but their positioning is below peak levels due to a decreasing price trend and higher realized volatility. The NASDAQ-100 sell trigger in the model suggests that trend follower selling could intensify if the level hits 20,880.
Regarding the , if long positioning is still in place, it should be close to flattening in the short term. Outside of the US, CTAs appear to be long Nikkei 225 futures and neutral on futures.
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