sell-side
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ingested 2026-03-31
Source
"Weinberg, Andrew" <aweinberg@btig.com>
Published
2026-03-31
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17976
File
CTAs_Positioning_and_Flows_-_Biweekly_Update_-_UBS.pdf
ab 31 March 2026
Global Research
Global Strategy
CTAs' Positioning and Flows - Biweekly Update
Details on the methodology/model can be found in our Q-Series report
Short everything with no intention to buy back
• CTAs have sold another $40/50bln of global equities since our last update, turning net
short the asset class for the first time since Liberation Day (April last year). While
underweight positioning tends to be short-lived in stocks, we expect CTAs' flows to
remain (mildly) negative in the near term, especially in the US & Europe.
• After selling $400mln of global Dv01 in March, a 30yr+ record, CTAs are max short the
entire bond market. No region was spared. One of the consequences is that CTAs in
effect can only buy from here, although we see very limited appetite to do so at the
moment. Rising volatilities may be the first trigger, but we need lower yields (at least -
30bps) to convince CTAs to start buying back some of their shorts.
• In credit, the selling pressures are not fading. CTAs bought spread protections in size
this month (~$40m of spread Dv01), and our forecasted flows remain strongly negative.
• In FX, the US Dollar is back in CTAs' favour. In the last two weeks, they bought
$80/90bln of the greenback, 70%/30% against DM/EM currencies. We foresee a similar
pattern in April, although CTAs' FX flows should moderate from here.
• In commodities, CTAs have massively reduced their metals exposure, and are now
close to neutral in both precious & industrials. They doubled their longs in agriculturals,
but did not do much in energy. Aside from some deleveraging, we expect April to be
"lighter" in terms of CTAs' activity.
Current signals: bearish stocks/bonds/credit, bullish USD/energy/agriculturals
a) Equities: bullish (but cutting) Japan, EM Asia ex China; bearish EU, US & China
b) Bonds: bearish across the board
c) Credit: bearish across the board
d) Currencies: bullish USD, Latam FX & CNH; bearish Asia & G10 FX
e) Commodities: bullish Energy & Agriculturals; neutral Metals
Potential trades in a couple of charts
Levels to watch on S&P 500
Levels to watch on UST 10y
What our CTA model says about FX?
What our CTA model says about Equities?
What our CTA model says about Rates?
What our CTA model says about Credit?
What our CTA model says about Commodities?
Figure 1: CTA price momentum signals in major markets:
today vs forecast
-1.00
-0.75
-0.50
-0.25
0.00
0.25
0.50
0.75
1.00
US10Y EU10Y SPX SX5E MESA
(EM Eq)
XIN9I EUR MXN CNH CdxHY Brent Gold
Signal (t)
Exp. Signal (t+2w)
Signal value [-1,+1]
Source: UBS, Bloomberg
Figure 2: Current positions and expected flows (as % of
ADV) in major markets
-25
-20
-15
-10
-5
0
5
10
US10Y EU10Y SPX SX5E MESA
(EM Eq)
XIN9I EUR MXN CNH CdxHY Brent Gold
Position (t, %ADV)
Expected Flows (t, t+2w, %ADV)
(%ADV)
EU10y: -48%ADV
Source: UBS, Bloomberg
This report has been prepared by UBS Europe SE. ANALYST CERTIFICATION AND REQUIRED DISCLOSURES, including
information on the Quantitative Research Review published by UBS, begin on page 29.
Global Macro Strategy
Global
Nicolas Le Roux
Strategist
nicolas.le-roux@ubs.com
+33-14-953 2118
Bhanu Baweja
Strategist
bhanu.baweja@ubs.com
+44-20-7568 6833
Paul Winter
Analyst
paul-j.winter@ubs.com
+61-2-9324 2080
Julien Conzano
Strategist
julien.conzano@ubs.com
+44-20-7567 2067
Gerry Fowler
Strategist
gerry.fowler@ubs.com
+44-20-7567 5490
Shahab Jalinoos
Strategist
shahab.jalinoos@ubs.com
+1-212-882-5532
Reinout De Bock
Strategist
reinout.de-bock@ubs.com
+44-20-7567 0152
Manik Narain
Strategist
manik.narain@ubs.com
+44-20-7568 3635
Matthew Mish, CFA
Strategist
matthew.mish@ubs.com
+1-203-719 1242
Maxwell Grinacoff, CFA
Strategist
maxwell.grinacoff@ubs.com
+1-212-713 3892
This report is intended exclusively for:
aweinberg@ btig.com
aweinberg@ btig.com
aweinberg@ btig.com
This report is intended exclusively for:
aweinberg@ btig.com
aweinberg@ btig.com
aweinberg@ btig.com
This report is intended exclusively for:
aweinberg@ btig.com
aweinberg@ btig.com
aweinberg@ btig.com
Global Strategy31 March 2026 ab 2
Global Strategy UBS Research
Potential Trades
Potential 'Going with the momentum' Trades:
Equities: bearish CAC, SX5E, US indices and TOP40
FX: bearish NZD, CAD, THB, SGD and SEK
Rates (bond futures): bearish Italy 10y and France 10y
Rates (front-end futures): bearish US 2y
Credit: bearish across the board
Commodities: bullish Sugar and Cotton; bearish LME Lead and Palladium
Figure 3: Momentum signals: today vs forecast
-1.00
-0.80
-0.60
-0.40
-0.20
0.00
0.20
0.40
0.60
0.80
1.00
CAC
INDU
RTY
TOP40
THB
NZD
SGD
CAD
IT10Y
SFR8
ItxMain
Lme Lead
Sugar
Palladium
Signal (t)
Exp. Signal (t+2w)
Signal value [-1,+1]
Source: UBS, Bloomberg
Figure 4: Current positions and expected flows (as % of
ADV)
-25
-20
-15
-10
-5
0
5
10
CAC
INDU
RTY
TOP40
THB
NZD
SGD
CAD
IT10Y
SFR8
ItxMain
Lme Lead
Sugar
Palladium
Position (t, %ADV)
Expected Flows (t, t+2w, %ADV)
(%ADV) Itx Main(t, t+2w):-45%ADV LME Lead:
-93%ADV
Source: UBS, Bloomberg
Signal (ex-ante return proxy) vs expected flows
Figure 5: Momentum signals: today vs expected change
CAD
NZD
SEKSGDTHB
CAC
INDU
RTY
SX5E
FR10YFut
IT10YFut
SFR8
CdxIG
CdxHY
ItxMain
ItxXover
CdxEM
LmeLead
Sugar
Cotton
-0.6
-0.5
-0.4
-0.3
-0.2
-0.1
0.0
0.1
0.2
0.3
0.4
0.5
0.6
-1.0 -0.8 -0.6 -0.4 -0.2 0.0 0.2 0.4 0.6 0.8 1.0
Expected change in signal (t, t+2w)
Current signal (t)
FX EQ Rates Credit Commo
Potential assets to sell
based on CTA signal
Potential assets to buy
based on CTA signal
Source: UBS, Bloomberg
The securities and futures products described herein may not be eligible for sale in all
jurisdictions or to certain categories of investors. Options, derivative products and
futures are not suitable for all investors, and trading in these instruments is considered
risky. Past performance is not necessarily indicative of future results.
'Going with the momentum' means
looking for assets where CTAs are
expected to add to their current
positioning
This is our preferred way of using the
CTA model
aweinberg@ btig.com
aweinberg@ btig.com
aweinberg@ btig.com
aweinberg@ btig.com
Global Strategy31 March 2026 ab 3
Levels to watch on S&P 500
Main message from the simulation tables below:
CTAs have sold another $40/50bln of global equities since our last update, turning net
short the asset class for the first time since Liberation Day (April) last year. In the last two
occurrences, they did not stay underweight for too long (couple of weeks or so), yet we
expect CTAs' flows to remain negative in the short horizon, especially in the US and
Europe. Realized volatilities should continue to shoot higher, forcing deleveraging and
somewhat limiting outflows.
Figure 6: S&P Simulated Prices
Simu 1 Simu 2 Simu 3 Simu 4 Simu 5 Simu 6 Simu 7 Simu 8 Simu 9
t0 6,419 6,419 6,419 6,419 6,419 6,419 6,419 6,419 6,419
t+1bds 6,375 6,386 6,397 6,408 6,419 6,429 6,440 6,451 6,462
t+2bds 6,332 6,354 6,375 6,397 6,419 6,440 6,462 6,483 6,505
t+3bds 6,289 6,321 6,354 6,386 6,419 6,451 6,483 6,516 6,548
t+4bds 6,245 6,289 6,332 6,375 6,419 6,462 6,505 6,548 6,592
t+5bds 6,202 6,256 6,310 6,364 6,419 6,473 6,527 6,581 6,635
t+6bds 6,159 6,224 6,289 6,354 6,419 6,483 6,548 6,613 6,678
t+7bds 6,115 6,191 6,267 6,343 6,419 6,494 6,570 6,646 6,722
t+8bds 6,072 6,159 6,245 6,332 6,419 6,505 6,592 6,678 6,765
t+9bds 6,029 6,126 6,224 6,321 6,419 6,516 6,613 6,711 6,808
t+10bds 5,986 6,094 6,202 6,310 6,419 6,527 6,635 6,743 6,851
Source: UBS, Bloomberg
Figure 7: S&P Simulated Changes (%)
Simu 1 Simu 2 Simu 3 Simu 4 Simu 5 Simu 6 Simu 7 Simu 8 Simu 9
t0
t+1bds -0.67 -0.51 -0.34 -0.17 0.00 0.17 0.34 0.51 0.67
t+2bds -1.35 -1.01 -0.67 -0.34 0.00 0.34 0.67 1.01 1.35
t+3bds -2.02 -1.52 -1.01 -0.51 0.00 0.51 1.01 1.52 2.02
t+4bds -2.70 -2.02 -1.35 -0.67 0.00 0.67 1.35 2.02 2.70
t+5bds -3.37 -2.53 -1.69 -0.84 0.00 0.84 1.69 2.53 3.37
t+6bds -4.05 -3.04 -2.02 -1.01 0.00 1.01 2.02 3.04 4.05
t+7bds -4.72 -3.54 -2.36 -1.18 0.00 1.18 2.36 3.54 4.72
t+8bds -5.40 -4.05 -2.70 -1.35 0.00 1.35 2.70 4.05 5.40
t+9bds -6.07 -4.55 -3.04 -1.52 0.00 1.52 3.04 4.55 6.07
t+10bds -6.75 -5.06 -3.37 -1.69 0.00 1.69 3.37 5.06 6.75
Source: UBS, Bloomberg
Figure 8: S&P Expected Signal, in response to simulated
prices
Simu 1 Simu 2 Simu 3 Simu 4 Simu 5 Simu 6 Simu 7 Simu 8 Simu 9
t0 -0.37 -0.37 -0.37 -0.37 -0.37 -0.37 -0.37 -0.37 -0.37
t+1bds -0.41 -0.41 -0.41 -0.41 -0.41 -0.41 -0.41 -0.41 -0.41
t+2bds -0.45 -0.45 -0.45 -0.45 -0.45 -0.45 -0.45 -0.44 -0.44
t+3bds -0.49 -0.48 -0.48 -0.48 -0.48 -0.47 -0.47 -0.47 -0.46
t+4bds -0.52 -0.51 -0.51 -0.50 -0.50 -0.49 -0.49 -0.48 -0.48
t+5bds -0.54 -0.54 -0.53 -0.53 -0.52 -0.51 -0.51 -0.50 -0.49
t+6bds -0.57 -0.56 -0.55 -0.55 -0.54 -0.53 -0.52 -0.51 -0.49
t+7bds -0.59 -0.58 -0.57 -0.56 -0.55 -0.54 -0.53 -0.51 -0.49
t+8bds -0.61 -0.60 -0.59 -0.58 -0.57 -0.55 -0.53 -0.51 -0.48
t+9bds -0.63 -0.62 -0.61 -0.60 -0.58 -0.56 -0.54 -0.51 -0.46
t+10bds -0.65 -0.64 -0.63 -0.61 -0.59 -0.57 -0.54 -0.49 -0.42
Source: UBS, Bloomberg
Figure 9: S&P Expected Change in Signal, in response to
simulated prices
Simu 1 Simu 2 Simu 3 Simu 4 Simu 5 Simu 6 Simu 7 Simu 8 Simu 9
t0
t+1bds -0.04 -0.04 -0.04 -0.04 -0.04 -0.04 -0.04 -0.04 -0.04
t+2bds -0.08 -0.08 -0.08 -0.07 -0.07 -0.07 -0.07 -0.07 -0.07
t+3bds -0.11 -0.11 -0.11 -0.10 -0.10 -0.10 -0.10 -0.09 -0.09
t+4bds -0.14 -0.14 -0.13 -0.13 -0.12 -0.12 -0.12 -0.11 -0.11
t+5bds -0.17 -0.16 -0.16 -0.15 -0.15 -0.14 -0.13 -0.12 -0.11
t+6bds -0.20 -0.19 -0.18 -0.17 -0.16 -0.15 -0.14 -0.13 -0.12
t+7bds -0.22 -0.21 -0.20 -0.19 -0.18 -0.17 -0.15 -0.14 -0.12
t+8bds -0.24 -0.23 -0.22 -0.21 -0.19 -0.18 -0.16 -0.14 -0.11
t+9bds -0.26 -0.25 -0.24 -0.22 -0.21 -0.19 -0.16 -0.13 -0.09
t+10bds -0.28 -0.26 -0.25 -0.24 -0.22 -0.20 -0.16 -0.12 -0.05
Source: UBS, Bloomberg
Figure 10: S&P Expected Position ($bln), in response to
simulated prices
Simu 1 Simu 2 Simu 3 Simu 4 Simu 5 Simu 6 Simu 7 Simu 8 Simu 9
t0 -5.60 -5.60 -5.60 -5.60 -5.60 -5.60 -5.60 -5.60 -5.60
t+1bds -6.20 -6.20 -6.20 -6.20 -6.20 -6.20 -6.20 -6.20 -6.20
t+2bds -6.75 -6.74 -6.72 -6.71 -6.69 -6.68 -6.66 -6.65 -6.63
t+3bds -7.26 -7.23 -7.19 -7.15 -7.11 -7.07 -7.03 -6.99 -6.95
t+4bds -7.72 -7.66 -7.60 -7.53 -7.47 -7.40 -7.32 -7.25 -7.17
t+5bds -8.14 -8.05 -7.97 -7.87 -7.77 -7.67 -7.56 -7.44 -7.32
t+6bds -8.52 -8.41 -8.30 -8.17 -8.04 -7.89 -7.74 -7.57 -7.39
t+7bds -8.87 -8.74 -8.60 -8.45 -8.28 -8.09 -7.89 -7.66 -7.39
t+8bds -9.18 -9.04 -8.88 -8.70 -8.49 -8.26 -8.00 -7.68 -7.24
t+9bds -9.46 -9.31 -9.13 -8.92 -8.68 -8.40 -8.06 -7.58 -6.88
t+10bds -9.72 -9.56 -9.37 -9.13 -8.86 -8.52 -8.06 -7.35 -6.30
Source: UBS, Bloomberg
Figure 11: S&P Expected Flows ($bln), in response to
simulated prices
Simu 1 Simu 2 Simu 3 Simu 4 Simu 5 Simu 6 Simu 7 Simu 8 Simu 9
t0 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
t+1bds -0.60 -0.60 -0.60 -0.60 -0.60 -0.60 -0.60 -0.60 -0.60
t+2bds -1.15 -1.14 -1.12 -1.11 -1.09 -1.08 -1.06 -1.05 -1.03
t+3bds -1.66 -1.63 -1.59 -1.55 -1.51 -1.47 -1.43 -1.39 -1.35
t+4bds -2.12 -2.06 -2.00 -1.93 -1.87 -1.80 -1.72 -1.65 -1.57
t+5bds -2.54 -2.45 -2.36 -2.27 -2.17 -2.07 -1.95 -1.84 -1.71
t+6bds -2.92 -2.81 -2.70 -2.57 -2.44 -2.29 -2.14 -1.97 -1.79
t+7bds -3.26 -3.14 -3.00 -2.85 -2.68 -2.49 -2.29 -2.06 -1.79
t+8bds -3.58 -3.44 -3.28 -3.10 -2.89 -2.66 -2.40 -2.08 -1.64
t+9bds -3.86 -3.71 -3.53 -3.32 -3.08 -2.80 -2.46 -1.98 -1.28
t+10bds -4.12 -3.96 -3.76 -3.53 -3.26 -2.92 -2.46 -1.75 -0.70
Source: UBS, Bloomberg
Figure 12: Total Equities Expected Flows ($bln), using S&P as a proxy, in response to simulated prices
Simu 1 Simu 2 Simu 3 Simu 4 Simu 5 Simu 6 Simu 7 Simu 8 Simu 9
t0 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
t+1bds -4.16 -3.94 -3.73 -3.51 -3.30 -3.08 -2.86 -2.63 -2.41
t+2bds -8.53 -7.97 -7.40 -6.81 -6.21 -5.59 -4.96 -4.30 -3.63
t+3bds -13.01 -12.01 -10.99 -9.92 -8.80 -7.62 -6.38 -5.05 -3.63
t+4bds -17.47 -16.02 -14.49 -12.87 -11.13 -9.24 -7.15 -4.84 -2.29
t+5bds -21.80 -19.90 -17.87 -15.65 -13.21 -10.44 -7.26 -3.59 0.55
t+6bds -25.88 -23.59 -21.08 -18.28 -15.08 -11.27 -6.67 -1.22 5.02
t+7bds -29.64 -27.03 -24.09 -20.74 -16.74 -11.72 -5.37 2.33 11.01
t+8bds -33.10 -30.22 -26.91 -23.04 -18.23 -11.81 -3.31 6.98 18.12
t+9bds -36.26 -33.17 -29.53 -25.19 -19.56 -11.54 -0.53 12.46 25.75
t+10bds -39.17 -35.88 -31.98 -27.19 -20.74 -10.89 2.91 18.48 33.46
-125
-100
-75
-50
-25
0
25
50
75
100
125
150
175
Jan-24 Apr-24 Jul-24 Oct-24 Jan-25 Apr-25 Jul-25 Oct-25 Jan-26 Apr-26
Total Notional vs. USD ($bn)
Source: UBS, Bloomberg
aweinberg@ btig.com
aweinberg@ btig.com
aweinberg@ btig.com
aweinberg@ btig.com
Global Strategy31 March 2026 ab 4
Levels to watch on UST 10y (TY)
Main message from the simulation tables below:
After selling $400mln of global Dv01 in March, a 30yr+ record, CTAs are max short the
bond market. No region was spared. One of the consequences is that CTAs in effect can
only buy from here, although we see very limited appetite to do so at the moment.
Rising volatilities may be the first trigger, but we need lower yields (at least -30bps), to
convince CTAs to start buying back some of their shorts.
Figure 13: UST 10y Simulated Yields
Simu 1 Simu 2 Simu 3 Simu 4 Simu 5 Simu 6 Simu 7 Simu 8 Simu 9
t0 4.39 4.39 4.39 4.39 4.39 4.39 4.39 4.39 4.39
t+1bds 4.42 4.41 4.40 4.39 4.39 4.38 4.37 4.36 4.36
t+2bds 4.45 4.43 4.42 4.40 4.39 4.37 4.36 4.34 4.33
t+3bds 4.48 4.45 4.43 4.41 4.39 4.36 4.34 4.32 4.30
t+4bds 4.51 4.48 4.45 4.42 4.39 4.36 4.33 4.30 4.27
t+5bds 4.53 4.50 4.46 4.42 4.39 4.35 4.31 4.27 4.24
t+6bds 4.56 4.52 4.48 4.43 4.39 4.34 4.30 4.25 4.21
t+7bds 4.59 4.54 4.49 4.44 4.39 4.33 4.28 4.23 4.18
t+8bds 4.62 4.56 4.51 4.45 4.39 4.33 4.27 4.21 4.15
t+9bds 4.65 4.59 4.52 4.45 4.39 4.32 4.25 4.19 4.12
t+10bds 4.68 4.61 4.53 4.46 4.39 4.31 4.24 4.16 4.09
Source: UBS, Bloomberg
Figure 14: UST 10y Simulated Changes (bps)
Simu 1 Simu 2 Simu 3 Simu 4 Simu 5 Simu 6 Simu 7 Simu 8 Simu 9
t0
t+1bds 3 2 1 1 0 -1 -1 -2 -3
t+2bds 6 4 3 1 0 -1 -3 -4 -6
t+3bds 9 7 4 2 0 -2 -4 -7 -9
t+4bds 12 9 6 3 0 -3 -6 -9 -12
t+5bds 15 11 7 4 0 -4 -7 -11 -15
t+6bds 18 13 9 4 0 -4 -9 -13 -18
t+7bds 21 16 10 5 0 -5 -10 -16 -21
t+8bds 24 18 12 6 0 -6 -12 -18 -24
t+9bds 27 20 13 7 0 -7 -13 -20 -27
t+10bds 30 22 15 7 0 -7 -15 -22 -30
Source: UBS, Bloomberg
Figure 15: UST 10y Expected Signal, in response to
simulated yields
Simu 1 Simu 2 Simu 3 Simu 4 Simu 5 Simu 6 Simu 7 Simu 8 Simu 9
t0 -0.69 -0.69 -0.69 -0.69 -0.69 -0.69 -0.69 -0.69 -0.69
t+1bds -0.72 -0.72 -0.72 -0.72 -0.72 -0.72 -0.72 -0.72 -0.72
t+2bds -0.75 -0.75 -0.74 -0.74 -0.74 -0.74 -0.74 -0.74 -0.74
t+3bds -0.77 -0.77 -0.77 -0.76 -0.76 -0.76 -0.76 -0.76 -0.75
t+4bds -0.79 -0.79 -0.79 -0.78 -0.78 -0.78 -0.77 -0.77 -0.76
t+5bds -0.82 -0.81 -0.81 -0.80 -0.80 -0.79 -0.78 -0.77 -0.77
t+6bds -0.84 -0.83 -0.83 -0.82 -0.81 -0.80 -0.79 -0.78 -0.76
t+7bds -0.85 -0.85 -0.84 -0.83 -0.82 -0.81 -0.80 -0.78 -0.74
t+8bds -0.87 -0.86 -0.86 -0.85 -0.84 -0.82 -0.80 -0.76 -0.69
t+9bds -0.88 -0.88 -0.87 -0.86 -0.85 -0.83 -0.80 -0.72 -0.59
t+10bds -0.90 -0.89 -0.88 -0.87 -0.86 -0.83 -0.78 -0.65 -0.45
Source: UBS, Bloomberg
Figure 16: UST 10y Expected Change in Signal, in response
to simulated yields
Simu 1 Simu 2 Simu 3 Simu 4 Simu 5 Simu 6 Simu 7 Simu 8 Simu 9
t0
t+1bds -0.03 -0.03 -0.03 -0.03 -0.03 -0.03 -0.03 -0.03 -0.03
t+2bds -0.05 -0.05 -0.05 -0.05 -0.05 -0.05 -0.05 -0.05 -0.04
t+3bds -0.08 -0.07 -0.07 -0.07 -0.07 -0.07 -0.06 -0.06 -0.06
t+4bds -0.10 -0.10 -0.09 -0.09 -0.09 -0.08 -0.08 -0.07 -0.07
t+5bds -0.12 -0.12 -0.11 -0.11 -0.10 -0.10 -0.09 -0.08 -0.07
t+6bds -0.14 -0.14 -0.13 -0.12 -0.12 -0.11 -0.10 -0.08 -0.07
t+7bds -0.16 -0.15 -0.15 -0.14 -0.13 -0.12 -0.10 -0.08 -0.05
t+8bds -0.18 -0.17 -0.16 -0.15 -0.14 -0.13 -0.11 -0.07 0.01
t+9bds -0.19 -0.18 -0.18 -0.17 -0.15 -0.13 -0.10 -0.03 0.11
t+10bds -0.20 -0.20 -0.19 -0.18 -0.16 -0.14 -0.08 0.04 0.25
Source: UBS, Bloomberg
Figure 17: UST 10y Expected Position ($DV01 mn), in
response to simulated yields
Simu 1 Simu 2 Simu 3 Simu 4 Simu 5 Simu 6 Simu 7 Simu 8 Simu 9
t0 -33.09 -33.09 -33.09 -33.09 -33.09 -33.09 -33.09 -33.09 -33.09
t+1bds -34.33 -34.33 -34.33 -34.33 -34.33 -34.33 -34.33 -34.33 -34.33
t+2bds -35.54 -35.50 -35.46 -35.42 -35.38 -35.34 -35.30 -35.26 -35.22
t+3bds -36.73 -36.64 -36.54 -36.43 -36.33 -36.22 -36.11 -35.99 -35.87
t+4bds -37.87 -37.71 -37.54 -37.36 -37.17 -36.97 -36.76 -36.53 -36.30
t+5bds -38.91 -38.70 -38.47 -38.21 -37.92 -37.61 -37.28 -36.91 -36.50
t+6bds -39.87 -39.62 -39.33 -38.99 -38.61 -38.18 -37.69 -37.13 -36.42
t+7bds -40.72 -40.44 -40.10 -39.70 -39.22 -38.65 -37.99 -37.09 -35.37
t+8bds -41.49 -41.19 -40.83 -40.37 -39.79 -39.08 -38.18 -36.30 -32.72
t+9bds -42.14 -41.85 -41.46 -40.95 -40.28 -39.42 -37.92 -34.37 -28.01
t+10bds -42.71 -42.43 -42.03 -41.49 -40.73 -39.69 -37.07 -31.13 -21.26
Source: UBS, Bloomberg
Figure 18: UST 10y Expected Flows ($DV01 mn), in
response to simulated yields
Simu 1 Simu 2 Simu 3 Simu 4 Simu 5 Simu 6 Simu 7 Simu 8 Simu 9
t0 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
t+1bds -1.24 -1.24 -1.24 -1.24 -1.24 -1.24 -1.24 -1.24 -1.24
t+2bds -2.45 -2.41 -2.37 -2.34 -2.30 -2.26 -2.21 -2.17 -2.13
t+3bds -3.64 -3.55 -3.45 -3.35 -3.24 -3.13 -3.02 -2.90 -2.78
t+4bds -4.78 -4.62 -4.45 -4.27 -4.08 -3.88 -3.67 -3.44 -3.21
t+5bds -5.83 -5.61 -5.38 -5.12 -4.84 -4.53 -4.19 -3.82 -3.41
t+6bds -6.78 -6.53 -6.24 -5.90 -5.52 -5.09 -4.60 -4.04 -3.33
t+7bds -7.63 -7.35 -7.01 -6.61 -6.13 -5.56 -4.91 -4.00 -2.28
t+8bds -8.40 -8.11 -7.74 -7.28 -6.70 -5.99 -5.09 -3.21 0.37
t+9bds -9.05 -8.76 -8.37 -7.86 -7.19 -6.33 -4.83 -1.28 5.08
t+10bds -9.62 -9.34 -8.94 -8.40 -7.64 -6.60 -3.98 1.96 11.83
Source: UBS, Bloomberg
Figure 19: Total Bond Future Expected Flows ($DV01 mn), in response to simulated yields
Simu 1 Simu 2 Simu 3 Simu 4 Simu 5 Simu 6 Simu 7 Simu 8 Simu 9
t0 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
t+1bds -1.59 -1.46 -1.33 -1.19 -1.05 -0.91 -0.76 -0.60 -0.44
t+2bds -2.87 -2.57 -2.26 -1.92 -1.57 -1.20 -0.79 -0.34 0.18
t+3bds -3.83 -3.38 -2.88 -2.33 -1.73 -1.06 -0.27 0.72 1.95
t+4bds -4.41 -3.85 -3.21 -2.46 -1.59 -0.57 0.82 2.80 5.52
t+5bds -4.61 -4.01 -3.27 -2.35 -1.23 0.23 2.61 6.37 11.82
t+6bds -4.47 -3.87 -3.08 -2.03 -0.67 1.38 5.32 12.03 22.72
t+7bds -4.05 -3.48 -2.68 -1.55 0.05 2.92 9.21 21.02 40.92
t+8bds -3.38 -2.85 -2.07 -0.89 0.92 4.92 14.84 35.04 66.79
t+9bds -2.55 -2.06 -1.31 -0.11 1.91 7.44 22.96 54.40 99.26
t+10bds -1.59 -1.15 -0.44 0.76 3.02 10.68 34.01 78.34 135.61
-300
-250
-200
-150
-100
-50
0
50
100
150
200
Jan-24 Apr-24 Jul-24 Oct-24 Jan-25 Apr-25 Jul-25 Oct-25 Jan-26 Apr-26
Total Notional (DV01, USD mn)
Source: UBS, Bloomberg
aweinberg@ btig.com
aweinberg@ btig.com
aweinberg@ btig.com
aweinberg@ btig.com
Global Strategy31 March 2026 ab 5
What our model says about CTAs' positioning in FX
Current trading signals, positioning and expected short-term flows
Main takeaways:
The US Dollar is back in CTAs' favour
In the last two weeks, they bought $80/90bln of the greenback, 70%/30%
against DM/EM currencies
We foresee a similar pattern in April, although CTAs' FX flows should moderate
from here ($20/30bln of USD buying expected over the next two weeks)
'Contrarian' trades: bullish IDR, PHP , TWD and JPY; bearish MYR, ILS, AUD, CNH
and Latam FX
'Go with momentum' trades: bearish NZD, CAD, THB, SGD and SEK
Figure 20: Quick refresher of all the metrics computed in our framework - example of EUR/$
Name EUR Description
Signal (t) -0.55 Current momentum signal. The sign gives the recommended direction (+ = long, - =
short). The magnitude gives the confidence level [0 to 100%]
Signal (t-2w) -0.32 Past momentum signal, observed 2 weeks ago
Exp. Signal (t+2w) -0.48 Expected momentum signal, with forecast horizon of 2 weeks
Volatility (t) 6.9% Underlying current realized volatility, estimated over a 3m rolling window
Volatility (t-2w) 6.2% Underlying past realized volatility, observed 2 weeks ago (also estimated over a 3m rolling
window)
Exp. Vol (t+2w) 8.2% Underlying expected volatility. We used the current 2m realized rolling volatility as a forecast
Position (t, $bln) -18.68 Current position in $unit. It is the product of : current momentum signal, inverse of underlying
volatility, underlying liquidity factor, asset class weight and overall portfolio volatility scaling
Position (t-2w, $bln) -11.81 Past position in $unit, observed 2 weeks ago
Exp. Pos. (t+2w, $bln) -13.60 Expected position in $unit. Same calculation as for the current position, but using expected
values for signal, underlying realized volatility and overall portfolio scaling
Max Abs Pos Last 10y 47.99 Maximum absolute position, observed over the last 10 yrs, in $unit
Position (t, %ADV) -0.93 Current position in %ADV (average daily volume) unit. It is equal to Current position in
$unit divided by ADV in $unit
Position (t-2w, %ADV) -0.59 Past position in %ADV unit. It is equal to past position in $unit divided by ADV in $unit
Exp. Pos (t+2w, %ADV) -0.68 Expected position in %ADV unit. It is equal to Expected position in $unit divided by ADV in
$unit
Recent Flows (t-2w, t, %ADV) -0.34 Recent flows observed in the last two weeks, expressed in %ADV term. It is the difference
between current and past positions, in %ADV unit
Expected Flows (t, t+2w, %ADV) 0.25 Expected flows for the next two weeks, expressed in %ADV term. It is the different
between expected and current positions, in %ADV unit
Expected Flows, From Signal Chg 0.11
Expected Flows, From Vol Chg 0.14
Max Abs Pos Last 10y %ADV 2.40 Maximum absolute position, observed over the last 10 yrs, in %ADV unit
ADV ($bln) 2,000 ADV (average daily volume) in $unit
Decomposition of the expected flows in %ADV. Distinguish the contribution from 1) expected
change in signal and 2) expected change in underlying volatility
Source: UBS, Bloomberg
aweinberg@ btig.com
aweinberg@ btig.com
aweinberg@ btig.com
aweinberg@ btig.com
Global Strategy31 March 2026 ab 6
Figure 21: Momentum signals - ranked by current momentum signal
-1.00 -0.80 -0.60 -0.40 -0.20 0.00 0.20 0.40 0.60 0.80 1.00
IDR
INR
JPY
KRW
TWD
PHP
DKK
EUR
THB
PLN
CZK
NZD
SGD
PEN
SEK
GBP
HUF
CHF
CAD
CLP
ZAR
MXN
MYR
ILS
AUD
NOK
CNH
BRL
COP
TRY
Expected Signal (t+2w)
Current Signal (t)
Past Signal (t-2w)
Signal value [-1,+1]
Long vs. USD
Short vs. USD
-100
-80
-60
-40
-20
0
20
40
60
80
100
-350
-280
-210
-140
-70
0
70
140
210
280
350
Jan-20 Jan-21 Jan-22 Jan-23 Jan-24 Jan-25 Jan-26
Total Notional vs. USD Total Notional vs. USD (%PMV)
Source: UBS, Bloomberg
Figure 22: Current positions and expected flows (as % of ADV) - ranked by current
momentum signal
-25 -20 -15 -10 -5 0 5 10 15 20 25
IDR
INR
JPY
KRW
TWD
PHP
DKK
EUR
THB
PLN
CZK
NZD
SGD
PEN
SEK
GBP
HUF
CHF
CAD
CLP
ZAR
MXN
MYR
ILS
AUD
NOK
CNH
BRL
COP
TRY
Expected Flows (t, t+2w, %ADV)
Position (t, %ADV)
(%ADV)
Long vs. USD
Short vs. USD
Source: UBS, Bloomberg
The US Dollar is back in CTAs' favour
In the last two weeks, they bought
$80/90bln of the greenback,
70%/30% against DM/EM currencies
We foresee a similar pattern in April,
although CTAs' FX flows should
moderate from here ($20/30bln of
USD buying expected over the next
two weeks)
aweinberg@ btig.com
aweinberg@ btig.com
aweinberg@ btig.com
aweinberg@ btig.com
Global Strategy31 March 2026 ab 7
Figure 23: Expected flows decomposition (as % of ADV) - ranked by current
momentum signal
-15 -13 -11 -9 -7 -5 -3 -1 1 3 5
IDR
INR
JPY
KRW
TWD
PHP
DKK
EUR
THB
PLN
CZK
NZD
SGD
PEN
SEK
GBP
HUF
CHF
CAD
CLP
ZAR
MXN
MYR
ILS
AUD
NOK
CNH
BRL
COP
TRY
Expected Flows (t, t+2w, from Signal Change)
Expected Flows (t, t+2w, from Volatility Change)
(%ADV)
Long vs. USD
Short vs. USD
Source: UBS, Bloomberg
Figure 24: Positions as % of ADV - ranked by current momentum signal
-25 -20 -15 -10 -5 0 5 10 15 20 25
IDR
INR
JPY
KRW
TWD
PHP
DKK
EUR
THB
PLN
CZK
NZD
SGD
PEN
SEK
GBP
HUF
CHF
CAD
CLP
ZAR
MXN
MYR
ILS
AUD
NOK
CNH
BRL
COP
TRY
Expected Position (t, t+2w, %ADV)
Position (t, %ADV)
Past Position (t-2w, %ADV)
(%ADV)
Long vs. USD
Short vs. USD
Source: UBS, Bloomberg
aweinberg@ btig.com
aweinberg@ btig.com
aweinberg@ btig.com
aweinberg@ btig.com
Global Strategy31 March 2026 ab 8
Figure 25: Model detailed output - Part 1- ranked by current momentum signal
Name Signal
(t)
Signal
(t-2w)
Exp. Signal
(t+2w)
Volatility
(t)
Volatility
(t-2w)
Exp. Vol
(t+2w)
Position
(t, $bn)
Position
(t-2w, $bn)
Exp. Pos.
(t+2w, $bn)
IDR -1.00 -0.98 -0.82 5.0% 5.0% 5.0% -5.8 -5.7 -4.8
INR -1.00 -1.00 -0.99 5.8% 5.3% 6.3% -10.0 -11.0 -9.1
JPY -1.00 -1.00 -0.87 8.9% 8.4% 9.8% -26.0 -27.5 -20.7
KRW -1.00 -0.98 -0.91 11.6% 11.2% 12.5% -5.0 -5.1 -4.2
TWD -1.00 -1.00 -0.88 5.0% 5.0% 5.0% -5.8 -5.8 -5.1
PHP -0.75 -0.26 -0.78 5.9% 5.5% 6.8% -3.7 -1.4 -3.3
DKK -0.61 -0.39 -0.53 6.9% 6.2% 8.2% -2.6 -1.8 -1.9
EUR -0.55 -0.32 -0.48 6.9% 6.2% 8.2% -18.7 -11.8 -13.6
THB -0.52 0.18 -0.62 9.2% 8.5% 10.0% -1.6 0.6 -1.8
PLN -0.45 -0.18 -0.41 9.3% 8.4% 11.3% -1.4 -0.6 -1.1
CZK -0.44 -0.16 -0.44 7.7% 7.2% 9.2% -1.7 -0.7 -1.4
NZD -0.31 0.21 -0.53 10.1% 9.0% 11.6% -3.6 2.6 -5.3
SGD -0.29 0.20 -0.46 5.0% 5.0% 5.0% -3.4 2.4 -5.4
PEN -0.27 -0.01 -0.33 6.7% 5.8% 8.2% -0.6 -0.0 -0.6
SEK -0.22 0.20 -0.33 10.9% 9.8% 12.9% -2.4 2.4 -3.0
GBP -0.21 0.04 -0.24 7.3% 6.7% 8.3% -6.6 1.5 -6.7
HUF -0.21 0.23 -0.12 13.4% 11.6% 16.1% -0.4 0.6 -0.2
CHF -0.18 0.46 -0.37 8.9% 8.7% 10.5% -2.4 6.1 -4.1
CAD -0.10 0.66 -0.49 5.1% 5.4% 5.8% -2.2 14.2 -9.8
CLP 0.03 0.36 -0.06 15.2% 13.3% 17.0% 0.1 0.8 -0.1
ZAR 0.11 0.48 -0.03 14.2% 12.6% 16.9% 0.5 2.2 -0.1
MXN 0.34 0.62 0.22 10.3% 9.1% 12.1% 1.9 4.0 1.0
MYR 0.70 0.99 0.30 5.6% 5.2% 6.3% 3.6 5.5 1.4
ILS 0.74 0.94 0.54 8.3% 8.1% 8.7% 2.6 3.4 1.8
AUD 0.78 0.99 0.47 10.0% 8.9% 11.7% 18.2 25.7 9.4
NOK 0.79 0.90 0.56 10.2% 9.1% 12.1% 9.0 11.5 5.4
CNH 0.84 0.99 0.58 2.9% 2.6% 3.4% 16.7 22.1 10.0
BRL 0.98 0.99 0.75 12.6% 12.1% 13.8% 4.5 4.8 3.2
COP 1.00 0.85 0.80 14.4% 15.1% 14.8% 2.0 1.6 1.6
TRY 1.00 1.00 1.00 5.0% 5.0% 5.0% 5.8 5.8 5.8
Source: UBS, Bloomberg
Figure 26: Model detailed output - Part 2 - ranked by current momentum signal
Name Position
(t, %ADV)
Position
(t-2w, %ADV)
Exp. Pos
(t+2w, %ADV)
Recent Flows
(t-2w, t, %ADV)
Expected Flows
(t, t+2w, %ADV)
Expected Flows
from Signal chg
Expected Flows
from Vol chg
ADV
($bn)
IDR -23 -23 -19 -0 4 4 0 25
INR -9 -10 -8 1 1 0 1 115
JPY -3 -3 -2 0 1 0 0 1,000
KRW -4 -4 -3 0 1 0 0 135
TWD -10 -10 -9 0 1 1 0 60
PHP -19 -7 -17 -12 2 -1 3 20
DKK -6 -5 -5 -2 2 1 1 40
EUR -1 -1 -1 -0 0 0 0 2,000
THB -5 2 -6 -8 -1 -1 1 30
PLN -3 -2 -3 -2 1 0 1 40
CZK -7 -3 -6 -4 1 0 1 25
NZD -3 2 -4 -5 -1 -2 0 135
SGD -3 2 -4 -5 -2 -2 0 120
PEN -6 -0 -6 -5 -0 -1 1 10
SEK -2 2 -2 -4 -0 -1 0 135
GBP -1 0 -1 -1 -0 -0 0 850
HUF -2 2 -1 -4 1 1 0 25
CHF -1 2 -1 -3 -1 -1 0 325
CAD -1 4 -3 -5 -2 -3 0 325
CLP 0 4 -0 -4 -1 -1 0 20
ZAR 1 3 -0 -2 -1 -1 -0 75
MXN 2 3 1 -2 -1 -1 -0 115
MYR 24 37 9 -13 -15 -13 -2 15
ILS 13 17 9 -4 -4 -3 -0 20
AUD 4 6 2 -2 -2 -1 -0 450
NOK 7 10 5 -2 -3 -2 -1 120
CNH 6 8 4 -2 -2 -2 -1 285
BRL 6 7 5 -0 -2 -1 -1 70
COP 13 11 10 2 -3 -3 -0 15
TRY 8 8 8 0 0 0 0 70
Source: UBS, Bloomberg
aweinberg@ btig.com
aweinberg@ btig.com
aweinberg@ btig.com
aweinberg@ btig.com
Global Strategy31 March 2026 ab 9
What our model says about CTAs' positioning in
Equities
Current trading signals, positioning and expected short-term flows
Main takeaways:
CTAs have sold another $40/50bln of global equities since our last update, turning
net short the asset class for the first time since Liberation Day (April last year)
In the last two occurrences, they did not stay underweight for too long (couple of
weeks or so). Yet, we expect CTAs' flows to remain negative in the near term,
especially in the US and Europe
Realized volatilities should continue to drift higher, forcing deleveraging and
somewhat limiting outflows
'Contrarian' trades: bullish XIN9I and SIMSCI; bearish OBX, FBMKLCI, AEX and
OMX
'Go with momentum' trades: bearish CAC, SX5E, US indices and TOP40
Figure 27: Quick refresher of all the metrics computed in our framework
Name SPX Description
Signal (t) -0.37 Current momentum signal. The sign gives the recommended direction (+ = long, - =
short). The magnitude gives the confidence level [0 to 100%]
Signal (t-2w) -0.00 Past momentum signal, observed 2 weeks ago
Exp. Signal (t+2w) -0.57 Expected momentum signal, with forecast horizon of 2 weeks
Volatility (t) 12.8% Underlying current realized volatility, estimated over a 3m rolling window
Volatility (t-2w) 11.4% Underlying past realized volatility, observed 2 weeks ago (also estimated over a 3m rolling
window)
Exp. Vol (t+2w) 14.3% Underlying expected volatility. We used the current 2m realized rolling volatility as a forecast
Position (t, $bln) -5.60 Current position in $unit. It is the product of : current momentum signal, inverse of underlying
volatility, underlying liquidity factor, asset class weight and overall portfolio volatility scaling
Position (t-2w, $bln) -0.05 Past position in $unit, observed 2 weeks ago
Exp. Pos. (t+2w, $bln) -7.63 Expected position in $unit. Same calculation as for the current position, but using expected
values for signal, underlying realized volatility and overall portfolio scaling
Max Abs Pos Last 10y 26.51 Maximum absolute position, observed over the last 10 yrs, in $unit
Position (t, %ADV) -1.19 Current position in %ADV (average daily volume) unit. It is equal to Current position in
$unit divided by ADV in $unit
Position (t-2w, %ADV) -0.01 Past position in %ADV unit. It is equal to past position in $unit divided by ADV in $unit
Exp. Pos (t+2w, %ADV) -1.63 Expected position in %ADV unit. It is equal to Expected position in $unit divided by ADV in
$unit
Recent Flows (t-2w, t, %ADV) -1.18 Recent flows observed in the last two weeks, expressed in %ADV term. It is the difference
between current and past positions, in %ADV unit
Expected Flows (t, t+2w, %ADV) -0.43 Expected flows for the next two weeks, expressed in %ADV term. It is the different
between expected and current positions, in %ADV unit
Expected Flows, From Signal Chg -0.59
Expected Flows, From Vol Chg 0.16
Max Abs Pos Last 10y %ADV 5.65 Maximum absolute position, observed over the last 10 yrs, in %ADV unit
ADV ($bln) 469 ADV (average daily volume) in $unit
Decomposition of the expected flows in %ADV. Distinguish the contribution from 1) expected
change in signal and 2) expected change in underlying volatility
Source: UBS, Bloomberg
aweinberg@ btig.com
aweinberg@ btig.com
aweinberg@ btig.com
aweinberg@ btig.com
Global Strategy31 March 2026 ab 10
Figure 28: Momentum signals - ranked by current momentum signal
-1.00 -0.80 -0.60 -0.40 -0.20 0.00 0.20 0.40 0.60 0.80 1.00
NIFTY
HSCEI
DAX
CAC
AS51
NDX
SPX
INDU
HSI
XIN9I
SIMSCI
SX5E
RTY
TOP40
SMI
MID
FTSEMIB
MEXBOL
MESA
IBEX
OMX
AEX
UKX
SPTSX
XU100
NKY
TPX
IBOV
SET50
FBMKLCI
TWSE
KOSPI2
OBX
Expected Signal (t+2w)
Current Signal (t)
Past Signal (t-2w)
Signal value [-1,+1]
Long equities
Short equities
-50
-40
-30
-20
-10
0
10
20
30
40
50
-175
-125
-75
-25
25
75
125
175
Jan-20 Jan-21 Jan-22 Jan-23 Jan-24 Jan-25 Jan-26
Total Notional (USD bn) Total Notional (%PMV)
Source: UBS, Bloomberg
Figure 29: Current positions and expected flows (as % of ADV) - ranked by current
momentum signal
-40 -30 -20 -10 0 10 20 30 40 50 60
NIFTY
HSCEI
DAX
CAC
AS51
NDX
SPX
INDU
HSI
XIN9I
SIMSCI
SX5E
RTY
TOP40
SMI
MID
FTSEMIB
MEXBOL
MESA
IBEX
OMX
AEX
UKX
SPTSX
XU100
NKY
TPX
IBOV
SET50
FBMKLCI
TWSE
KOSPI2
OBX
Expected Flows (t, t+2w, %ADV)
Position (t, %ADV)
(%ADV)
Long equities
Short equities
Source: UBS, Bloomberg
CTAs have sold another $40/50bln of
global equities since our last update,
turning net short the asset class for
the first time since Liberation Day
(April last year)
In the last two occurrences, they did
not stay underweight for too long
(couple of weeks or so). Yet, we
expect CTAs' flows to remain
negative in the near term, especially
in the US and Europe
Realized volatilities should continue
to drift higher, forcing deleveraging
and somewhat limiting outflows
aweinberg@ btig.com
aweinberg@ btig.com
aweinberg@ btig.com
aweinberg@ btig.com
Global Strategy31 March 2026 ab 11
Figure 30: Expected flows decomposition (as % of ADV) - ranked by current
momentum signal
-20 -15 -10 -5 0 5 10 15
NIFTY
HSCEI
DAX
CAC
AS51
NDX
SPX
INDU
HSI
XIN9I
SIMSCI
SX5E
RTY
TOP40
SMI
MID
FTSEMIB
MEXBOL
MESA
IBEX
OMX
AEX
UKX
SPTSX
XU100
NKY
TPX
IBOV
SET50
FBMKLCI
TWSE
KOSPI2
OBX
Expected Flows (t, t+2w, from Signal Change)
Expected Flows (t, t+2w, from Volatility Change)
(%ADV)
Long equities
Short equities
Source: UBS, Bloomberg
Figure 31: Positions as % of ADV - ranked by current momentum signal
-40 -30 -20 -10 0 10 20 30 40 50 60
NIFTY
HSCEI
DAX
CAC
AS51
NDX
SPX
INDU
HSI
XIN9I
SIMSCI
SX5E
RTY
TOP40
SMI
MID
FTSEMIB
MEXBOL
MESA
IBEX
OMX
AEX
UKX
SPTSX
XU100
NKY
TPX
IBOV
SET50
FBMKLCI
TWSE
KOSPI2
OBX
Expected Position (t, t+2w, %ADV)
Position (t, %ADV)
Past Position (t-2w, %ADV)
(%ADV)
Long equities
Short equities
Source: UBS, Bloomberg
aweinberg@ btig.com
aweinberg@ btig.com
aweinberg@ btig.com
aweinberg@ btig.com
Global Strategy31 March 2026 ab 12
Figure 32: Model detailed output - Part 1 - ranked by current momentum signal
Name Signal
(t)
Signal
(t-2w)
Exp. Signal
(t+2w)
Volatility
(t)
Volatility
(t-2w)
Exp. Vol
(t+2w)
Position
(t, $bn)
Position
(t-2w, $bn)
Exp. Pos.
(t+2w, $bn)
NIFTY -0.97 -0.92 -0.99 16.7% 13.7% 19.7% -1.4 -1.6 -1.2
HSCEI -0.70 -0.53 -0.67 21.9% 20.3% 23.5% -1.5 -1.2 -1.4
DAX -0.64 -0.29 -0.73 17.2% 15.5% 20.1% -3.6 -1.8 -3.5
CAC -0.55 -0.02 -0.71 14.0% 12.5% 16.0% -1.9 -0.1 -2.1
AS51 -0.43 0.14 -0.46 14.5% 13.5% 16.6% -1.4 0.5 -1.3
NDX -0.40 -0.12 -0.59 16.9% 15.4% 18.4% -4.5 -1.5 -6.1
SPX -0.37 -0.00 -0.57 12.8% 11.4% 14.3% -5.6 -0.0 -7.6
INDU -0.33 0.08 -0.53 13.5% 12.8% 14.7% -2.3 0.6 -3.5
HSI -0.32 -0.10 -0.39 21.6% 19.5% 23.6% -0.7 -0.2 -0.8
XIN9I -0.31 -0.20 -0.12 14.3% 12.8% 15.8% -0.5 -0.4 -0.2
SIMSCI -0.20 -0.09 -0.03 17.4% 16.3% 18.9% -0.3 -0.1 -0.0
SX5E -0.17 0.32 -0.41 16.8% 15.3% 19.1% -1.0 2.0 -2.1
RTY -0.05 0.25 -0.18 19.2% 18.3% 21.1% -0.2 1.3 -0.8
TOP40 -0.02 0.37 -0.10 25.6% 23.8% 29.7% -0.0 0.4 -0.1
SMI -0.02 0.43 -0.14 14.1% 12.5% 16.3% -0.1 1.6 -0.4
MID 0.06 0.42 -0.14 16.9% 15.6% 18.3% 0.1 0.6 -0.2
FTSEMIB 0.08 0.39 -0.00 17.5% 16.0% 20.5% 0.2 1.2 -0.0
MEXBOL 0.23 0.55 0.21 21.6% 20.0% 23.7% 0.0 0.1 0.0
MESA 0.24 0.62 0.02 23.9% 20.4% 27.4% 1.0 2.9 0.1
IBEX 0.31 0.34 0.18 18.8% 17.6% 22.1% 0.8 0.9 0.4
OMX 0.31 0.81 0.12 17.2% 15.2% 18.8% 0.9 2.6 0.3
AEX 0.34 0.83 0.04 15.9% 14.3% 15.9% 0.5 1.4 0.1
UKX 0.34 0.88 0.19 13.9% 12.2% 15.5% 2.4 6.9 1.2
SPTSX 0.38 0.93 0.38 14.3% 12.9% 16.5% 2.6 6.9 2.2
XU100 0.41 0.60 0.21 24.8% 23.7% 27.8% 0.2 0.3 0.1
NKY 0.45 0.78 0.30 28.1% 25.5% 31.7% 0.8 1.5 0.5
TPX 0.65 0.85 0.49 24.7% 22.1% 27.6% 1.3 1.8 0.8
IBOV 0.74 0.84 0.64 21.5% 21.8% 24.1% 0.8 0.9 0.6
SET50 0.77 0.77 0.74 23.1% 21.6% 26.7% 0.4 0.4 0.3
FBMKLCI 0.85 0.67 0.54 13.9% 13.3% 15.7% 0.1 0.1 0.1
TWSE 0.88 0.94 0.65 25.4% 25.3% 29.3% 0.8 0.9 0.5
KOSPI2 0.97 1.00 0.67 51.6% 48.6% 61.1% 0.9 1.0 0.5
OBX 0.99 0.98 0.98 12.5% 11.6% 13.9% 0.2 0.2 0.2
Source: UBS, Bloomberg
Figure 33: Model detailed output - Part 2 - ranked by current momentum signal
Name Position
(t, %ADV)
Position
(t-2w, %ADV)
Exp. Pos
(t+2w, %ADV)
Recent Flows
(t-2w, t, %ADV)
Expected Flows
(t, t+2w, %ADV)
Expected Flows
from Signal chg
Expected Flows
from Vol chg
ADV
($bn)
NIFTY -26 -30 -23 4 4 -0 4 5
HSCEI -33 -27 -29 -6 3 1 2 5
DAX -10 -5 -9 -5 0 -1 1 37
CAC -17 -1 -19 -16 -2 -5 2 11
AS51 -8 3 -8 -11 1 -1 1 18
NDX -2 -1 -3 -1 -1 -1 0 230
SPX -1 -0 -2 -1 -0 -1 0 469
INDU -6 2 -9 -8 -3 -4 1 37
HSI -6 -2 -6 -4 -1 -1 1 13
XIN9I -11 -8 -4 -3 7 6 1 5
SIMSCI -12 -5 -2 -6 10 9 1 2
SX5E -1 3 -3 -4 -1 -2 0 76
RTY -1 5 -3 -6 -2 -3 0 25
TOP40 -2 28 -6 -30 -4 -5 1 1
SMI -1 14 -4 -15 -3 -3 0 12
MID 1 10 -3 -9 -4 -5 0 6
FTSEMIB 3 13 -0 -11 -3 -2 -0 9
MEXBOL 11 30 10 -19 -2 -1 -1 0
MESA 3 10 0 -7 -3 -3 -0 30
IBEX 17 20 8 -3 -9 -7 -2 5
OMX 21 61 7 -40 -13 -12 -1 4
AEX 22 59 2 -37 -20 -20 -0 2
UKX 7 21 4 -14 -4 -3 -1 32
SPTSX 9 24 8 -15 -1 -0 -1 29
XU100 16 24 7 -8 -9 -7 -1 1
NKY 11 20 6 -10 -4 -3 -1 7
TPX 3 5 2 -1 -1 -1 -0 39
IBOV 13 15 10 -2 -3 -2 -1 6
SET50 34 36 28 -2 -6 -1 -4 1
FBMKLCI 36 29 20 6 -16 -12 -3 0
TWSE 3 4 2 -0 -1 -1 -0 25
KOSPI2 5 5 3 -0 -2 -1 -1 18
OBX 166 177 147 -10 -19 -2 -17 0
Source: UBS, Bloomberg
aweinberg@ btig.com
aweinberg@ btig.com
aweinberg@ btig.com
aweinberg@ btig.com
Global Strategy31 March 2026 ab 13
What our model says about CTAs' positioning in
Rates - Bond Futures (G10)
Current trading signals, positioning and expected short-term flows
Main takeaways:
After selling $400mln of global Dv01 in March, a 30yr+ record, CTAs are max short
the entire bond market. No region was spared
One of the consequences is that CTAs in effect can only buy from here, although
we see very limited appetite to do so at the moment
Rising volatilities may be the first trigger, but we need lower yields (at least -
30bps), to convince CTAs to start buying back some of their shorts
'Contrarian' trades: bullish EU 30y and Canada 10y
Go with momentum' trades: bearish Italy 10y and France 10y
Figure 34: Quick refresher of all the metrics computed in our framework
Name US10Y Description
Signal (t) -0.69 Current momentum signal. The sign gives the recommended direction (+ = long, - =
short). The magnitude gives the confidence level [0 to 100%]
Signal (t-2w) 0.07 Past momentum signal, observed 2 weeks ago
Exp. Signal (t+2w) -0.76 Expected momentum signal, with forecast horizon of 2 weeks
Volatility (t) 54.1 Underlying current realized volatility, estimated over a 3m rolling window
Volatility (t-2w) 47.7 Underlying past realized volatility, observed 2 weeks ago (also estimated over a 3m rolling
window)
Exp. Vol (t+2w) 61.6 Underlying expected volatility. We used the current 2m realized rolling volatility as a forecast
Position (t, $Dv01 mln) -33.09 Current position in $unit. It is the product of : current momentum signal, inverse of underlying
volatility, underlying liquidity factor, asset class weight and overall portfolio volatility scaling
Position (t-2w, $Dv01 mln) 3.81 Past position in $unit, observed 2 weeks ago
Exp. Pos. (t+2w, $Dv01 mln) -31.82 Expected position in $unit. Same calculation as for the current position, but using expected
values for signal, underlying realized volatility and overall portfolio scaling
Max Abs Pos Last 10y 66.93 Maximum absolute position, observed over the last 10 yrs, in $unit
Position (t, %ADV) -21.28 Current position in %ADV (average daily volume) unit. It is equal to Current position in
$unit divided by ADV in $unit
Position (t-2w, %ADV) 2.45 Past position in %ADV unit. It is equal to past position in $unit divided by ADV in $unit
Exp. Pos (t+2w, %ADV) -20.46 Expected position in %ADV unit. It is equal to Expected position in $unit divided by ADV in
$unit
Recent Flows (t-2w, t, %ADV) -23.72 Recent flows observed in the last two weeks, expressed in %ADV term. It is the difference
between current and past positions, in %ADV unit
Expected Flows (t, t+2w, %ADV) 0.81 Expected flows for the next two weeks, expressed in %ADV term. It is the different
between expected and current positions, in %ADV unit
Expected Flows, From Signal Chg -1.92
Expected Flows, From Vol Chg 2.74
Max Abs Pos Last 10y %ADV 43.04 Maximum absolute position, observed over the last 10 yrs, in %ADV unit
ADV ($Dv01 mln) 156 ADV (average daily volume) in $unit
Decomposition of the expected flows in %ADV. Distinguish the contribution from 1) expected
change in signal and 2) expected change in underlying volatility
Source: UBS, Bloomberg
aweinberg@ btig.com
aweinberg@ btig.com
aweinberg@ btig.com
aweinberg@ btig.com
Global Strategy31 March 2026 ab 14
Figure 35: Momentum signals - ranked by current momentum signal
-1.00 -0.80 -0.60 -0.40 -0.20 0.00 0.20 0.40 0.60 0.80 1.00
US2Y
EU5Y
EU10Y
JP10Y
AD10Y
KR10Y
EU30Y
EU2Y
US5Y
FR10Y
US30Y
CA10Y
GB10Y
US10Y
IT10Y
US20Y
Expected Signal (t+2w)
Current Signal (t)
Past Signal (t-2w)
Signal value [-1,+1]
-10
-8
-6
-4
-2
0
2
4
6
8
10
-350
-250
-150
-50
50
150
250
350
Jan-20 Jan-21 Jan-22 Jan-23 Jan-24 Jan-25 Jan-26
Total Notional (DV01, USD mn) Total Notional (yrs Duration)
Source: UBS, Bloomberg
Figure 36: Current positions and expected flows (as % of ADV) - ranked by current
momentum signal
-80 -70 -60 -50 -40 -30 -20 -10 0 10 20
US2Y
EU5Y
EU10Y
JP10Y
AD10Y
KR10Y
EU30Y
EU2Y
US5Y
FR10Y
US30Y
CA10Y
GB10Y
US10Y
IT10Y
US20Y
Expected Flows (t, t+2w, %ADV)
Position (t, %ADV)
(%ADV)
Source: UBS, Bloomberg
After selling $400mln of global Dv01
in March, a 30yr+ record, CTAs are
max short the entire bond market.
No region was spared
One of the consequences is that CTAs
can only buy from here, although we
see very limited appetite to do so at
the moment
Rising volatilities may be the first
trigger, but we need lower yields (at
least -30bps), to convince CTAs to
start buying back some of their
shorts
aweinberg@ btig.com
aweinberg@ btig.com
aweinberg@ btig.com
aweinberg@ btig.com
Global Strategy31 March 2026 ab 15
Figure 37: Expected flows decomposition (as % of ADV) - ranked by current
momentum signal
-10 -5 0 5 10 15 20
US2Y
EU5Y
EU10Y
JP10Y
AD10Y
KR10Y
EU30Y
EU2Y
US5Y
FR10Y
US30Y
CA10Y
GB10Y
US10Y
IT10Y
US20Y
Expected Flows (t, t+2w, from Signal Change)
Expected Flows (t, t+2w, from Volatility Change)
(%ADV)
Source: UBS, Bloomberg
Figure 38: Positions as % of ADV - ranked by current momentum signal
-80 -70 -60 -50 -40 -30 -20 -10 0 10 20
US2Y
EU5Y
EU10Y
JP10Y
AD10Y
KR10Y
EU30Y
EU2Y
US5Y
FR10Y
US30Y
CA10Y
GB10Y
US10Y
IT10Y
US20Y Expected Position (t, t+2w, %ADV)
Position (t, %ADV)
Past Position (t-2w, %ADV)
(%ADV)
Source: UBS, Bloomberg
aweinberg@ btig.com
aweinberg@ btig.com
aweinberg@ btig.com
aweinberg@ btig.com
Global Strategy31 March 2026 ab 16
Figure 39: Model detailed output - Part 1- ranked by current momentum signal
Name Signal
(t)
Signal
(t-2w)
Exp. Signal
(t+2w)
Volatility
(t)
Volatility
(t-2w)
Exp. Vol
(t+2w)
Position
(t, $DV01 mn)
Position
(t-2w, $DV01 mn)
Exp. Pos.
(t+2w, $DV01 mn)
US2Y -1.00 -1.00 -0.97 71.4 59.0 82.5 -4.5 -5.5 -3.8
EU5Y -1.00 -0.99 -0.98 59.9 55.8 69.1 -21.5 -22.9 -18.3
EU10Y -1.00 -0.81 -0.97 50.6 46.1 56.1 -50.9 -45.2 -44.6
JP10Y -1.00 -0.83 -0.91 40.9 39.2 43.2 -31.5 -27.3 -27.2
AD10Y -1.00 -1.00 -0.91 78.8 70.8 85.8 -8.2 -9.1 -6.9
KR10Y -1.00 -0.94 -0.91 89.8 82.2 101.6 -3.6 -3.7 -2.9
EU30Y -0.99 -0.82 -0.81 54.5 54.1 54.5 -23.5 -19.6 -19.0
EU2Y -0.99 -1.00 -0.98 64.1 54.1 75.6 -5.0 -6.0 -4.2
US5Y -0.85 -0.34 -0.87 67.4 58.9 77.3 -16.2 -7.4 -14.5
FR10Y -0.84 0.13 -0.95 67.8 59.8 76.6 -8.0 1.4 -8.0
US30Y -0.81 -0.15 -0.71 64.9 64.1 65.5 -16.0 -3.1 -14.0
CA10Y -0.78 -0.19 -0.74 58.8 58.5 65.2 -8.6 -2.1 -7.3
GB10Y -0.75 -0.33 -0.82 127.9 108.9 145.0 -7.6 -3.9 -7.3
US10Y -0.69 0.07 -0.76 54.1 47.7 61.6 -33.1 3.8 -31.8
IT10Y -0.68 0.00 -0.84 79.4 67.1 89.8 -5.5 0.0 -6.0
US20Y -0.62 0.21 -0.64 63.8 56.7 71.4 -12.4 4.7 -11.5
Source: UBS, Bloomberg
Figure 40: Model detailed output - Part 2- ranked by current momentum signal
Name Position
(t, %ADV)
Position
(t-2w, %ADV)
Exp. Pos
(t+2w, %ADV)
Recent Flows
(t-2w, t, %ADV)
Expected Flows
(t, t+2w, %ADV)
Expected Flows
from Signal chg
Expected Flows
from Vol chg
ADV
($DV01 mn)
US2Y -14 -17 -12 3 2 0 2 31
EU5Y -55 -58 -47 3 8 1 7 39
EU10Y -48 -43 -42 -5 6 1 5 106
JP10Y -43 -37 -37 -6 6 4 2 73
AD10Y -29 -32 -24 3 5 2 2 29
KR10Y -42 -43 -34 1 8 4 5 9
EU30Y -79 -66 -64 -13 15 15 0 30
EU2Y -22 -26 -18 4 4 0 3 23
US5Y -24 -11 -22 -13 2 -1 3 67
FR10Y -29 5 -29 -34 -0 -4 4 27
US30Y -25 -5 -22 -20 3 3 0 64
CA10Y -76 -19 -65 -57 11 4 7 11
GB10Y -30 -16 -29 -14 1 -2 4 25
US10Y -21 2 -20 -24 1 -2 3 156
IT10Y -21 0 -23 -21 -2 -5 3 26
US20Y -21 8 -19 -28 2 -1 2 60
Source: UBS, Bloomberg
aweinberg@ btig.com
aweinberg@ btig.com
aweinberg@ btig.com
aweinberg@ btig.com
Global Strategy31 March 2026 ab 17
What our model says about CTAs' positioning in
Rates - Money Market Futures (G10)
Current trading signals, positioning and expected short-term flows
Main takeaways:
Like in bonds, current signalling is very negative in money market futures
CTAs' positioning is likely to remain fairly stable over the next few weeks, unless
front-end yields start to move (significantly) lower
'Contrarian' trades: bullish across the board
'Go with momentum' trades: bearish US 2y
Figure 41: Quick refresher of all the metrics computed in our framework
Name ER4 Description
Signal (t) -0.90 Current momentum signal. The sign gives the recommended direction (+ = long, - =
short). The magnitude gives the confidence level [0 to 100%]
Signal (t-2w) -0.84 Past momentum signal, observed 2 weeks ago
Exp. Signal (t+2w) -0.90 Expected momentum signal, with forecast horizon of 2 weeks
Volatility (t) 90.2 Underlying current realized volatility, estimated over a 3m rolling window
Volatility (t-2w) 79.0 Underlying past realized volatility, observed 2 weeks ago (also estimated over a 3m rolling
window)
Exp. Vol (t+2w) 107.2 Underlying expected volatility. We used the current 2m realized rolling volatility as a forecast
Position (t, $Dv01 mln) -1.67 Current position in $unit. It is the product of : current momentum signal, inverse of underlying
volatility, underlying liquidity factor, asset class weight and overall portfolio volatility scaling
Position (t-2w, $Dv01 mln) -1.80 Past position in $unit, observed 2 weeks ago
Exp. Pos. (t+2w, $Dv01 mln) -1.41 Expected position in $unit. Same calculation as for the current position, but using expected
values for signal, underlying realized volatility and overall portfolio scaling
Max Abs Pos Last 10y 7.71 Maximum absolute position, observed over the last 10 yrs, in $unit
Position (t, %ADV) -24.36 Current position in %ADV (average daily volume) unit. It is equal to Current position in
$unit divided by ADV in $unit
Position (t-2w, %ADV) -26.13 Past position in %ADV unit. It is equal to past position in $unit divided by ADV in $unit
Exp. Pos (t+2w, %ADV) -20.59 Expected position in %ADV unit. It is equal to Expected position in $unit divided by ADV in
$unit
Recent Flows (t-2w, t, %ADV) 1.76 Recent flows observed in the last two weeks, expressed in %ADV term. It is the difference
between current and past positions, in %ADV unit
Expected Flows (t, t+2w, %ADV) 3.77 Expected flows for the next two weeks, expressed in %ADV term. It is the different
between expected and current positions, in %ADV unit
Expected Flows, From Signal Chg -0.10
Expected Flows, From Vol Chg 3.87
Max Abs Pos Last 10y %ADV 112.25 Maximum absolute position, observed over the last 10 yrs, in %ADV unit
ADV ($Dv01 mln) 7 ADV (average daily volume) in $unit
Decomposition of the expected flows in %ADV. Distinguish the contribution from 1) expected
change in signal and 2) expected change in underlying volatility
Source: UBS, Bloomberg
aweinberg@ btig.com
aweinberg@ btig.com
aweinberg@ btig.com
aweinberg@ btig.com
Global Strategy31 March 2026 ab 18
Figure 42: Momentum signals - ranked by current momentum signal
-1.00 -0.80 -0.60 -0.40 -0.20 0.00 0.20 0.40 0.60 0.80 1.00
SFR4
IR4
IR8
ER8
ER4
SFI4 (ex L4)
SFI8 (ex L8)
SFR8
Expected Signal (t+2w)
Current Signal (t)
Past Signal (t-2w)
Signal value [-1,+1]
-1.2
-0.9
-0.6
-0.3
0.0
0.3
0.6
0.9
1.2
-42.0
-31.5
-21.0
-10.5
0.0
10.5
21.0
31.5
42.0
Jan-20 Jan-21 Jan-22 Jan-23 Jan-24 Jan-25 Jan-26
Total Notional (DV01,
USD mn)
Total Notional
(yrs Duration)
Source: UBS, Bloomberg
Figure 43: Current positions and expected flows (as % of ADV) - ranked by current
momentum signal
-80 -60 -40 -20 0 20 40
SFR4
IR4
IR8
ER8
ER4
SFI4 (ex L4)
SFI8 (ex L8)
SFR8 Expected Flows (t, t+2w, %ADV)
Position (t, %ADV)
(%ADV)
Source: UBS, Bloomberg
Like in bonds, current signalling is
very negative in money market
futures
CTAs' positioning is likely to remain
fairly stable over the next few
weeks, unless front-end yields start
to move (significantly) lower
aweinberg@ btig.com
aweinberg@ btig.com
aweinberg@ btig.com
aweinberg@ btig.com
Global Strategy31 March 2026 ab 19
Figure 44: Expected flows decomposition (as % of ADV) - ranked by current
momentum signal
-6 -4 -2 0 2 4 6 8 10 12 14
SFR4
IR4
IR8
ER8
ER4
SFI4 (ex L4)
SFI8 (ex L8)
SFR8 Expected Flows (t, t+2w, from Signal Change)
Expected Flows (t, t+2w, from Volatility Change)
(%ADV)
Source: UBS, Bloomberg
Figure 45: Positions as % of ADV - ranked by current momentum signal
-100 -75 -50 -25 0 25 50
SFR4
IR4
IR8
ER8
ER4
SFI4 (ex L4)
SFI8 (ex L8)
SFR8 Expected Position (t, t+2w, %ADV)
Position (t, %ADV)
Past Position (t-2w, %ADV)
(%ADV)
Source: UBS, Bloomberg
aweinberg@ btig.com
aweinberg@ btig.com
aweinberg@ btig.com
aweinberg@ btig.com
Global Strategy31 March 2026 ab 20
Figure 46: Model detailed output - Part 1 - ranked by current momentum signal
Name Signal
(t)
Signal
(t-2w)
Exp. Signal
(t+2w)
Volatility
(t)
Volatility
(t-2w)
Exp. Vol
(t+2w)
Position
(t, $DV01 mn)
Position
(t-2w, $DV01 mn)
Exp. Pos.
(t+2w, $DV01 mn)
SFR4 -1.00 -0.93 -0.94 87.0 71.6 102.6 -3.9 -4.4 -3.1
IR4 -0.99 -1.00 -0.96 90.6 78.4 97.5 -0.9 -1.1 -0.8
IR8 -0.99 -1.00 -0.89 105.2 94.0 113.8 -0.4 -0.4 -0.3
ER8 -0.98 -0.74 -0.97 71.9 70.3 84.1 -2.3 -1.8 -1.9
ER4 -0.90 -0.84 -0.90 90.2 79.0 107.2 -1.7 -1.8 -1.4
SFI4 (ex L4) -0.89 -0.57 -0.92 127.9 77.6 153.0 -0.6 -0.6 -0.5
SFI8 (ex L8) -0.86 -0.51 -0.92 105.5 86.5 123.7 -0.7 -0.5 -0.6
SFR8 -0.24 0.69 -0.31 76.8 70.0 86.8 -1.1 3.3 -1.2
Source: UBS, Bloomberg
Figure 47: Model detailed output - Part 2 - ranked by current momentum signal
Name Position
(t, %ADV)
Position
(t-2w, %ADV)
Exp. Pos
(t+2w, %ADV)
Recent Flows
(t-2w, t, %ADV)
Expected Flows
(t, t+2w, %ADV)
Expected Flows
from Signal chg
Expected Flows
from Vol chg
ADV
($DV01 mn)
SFR4 -19 -22 -15 3 4 1 3 20.2
IR4 -73 -85 -65 12 8 3 5 1.3
IR8 -71 -80 -59 9 12 7 5 0.6
ER8 -70 -54 -59 -16 11 1 10 3.3
ER4 -24 -26 -21 2 4 -0 4 6.9
SFI4 (ex L4) -16 -17 -14 1 2 -0 3 3.6
SFI8 (ex L8) -30 -21 -27 -8 3 -2 5 2.3
SFR8 -13 41 -15 -55 -2 -3 2 8.0
Source: UBS, Bloomberg
aweinberg@ btig.com
aweinberg@ btig.com
aweinberg@ btig.com
aweinberg@ btig.com
Global Strategy31 March 2026 ab 21
What our model says about CTAs' positioning in
Credit
Current trading signals, positioning and expected short-term flows
Main takeaways:
CTAs' selling pressures in Credit are not fading
They bought spread protection in size this month (~$40m of spread Dv01) ...
… and coming flows should remain strongly negative in April
'Contrarian' trades: none
'Go with momentum' trades: bearish across the board
Figure 48: Quick refresher of all the metrics computed in our framework
Name CdxHY Description
Signal (t) -0.28 Current momentum signal. The sign gives the recommended direction (+ = long, - =
short). The magnitude gives the confidence level [0 to 100%]
Signal (t-2w) 0.06 Past momentum signal, observed 2 weeks ago
Exp. Signal (t+2w) -0.48 Expected momentum signal, with forecast horizon of 2 weeks
Volatility (t) 200.0 Underlying current realized volatility, estimated over a 3m rolling window
Volatility (t-2w) 200.0 Underlying past realized volatility, observed 2 weeks ago (also estimated over a 3m rolling
window)
Exp. Vol (t+2w) 200.0 Underlying expected volatility. We used the current 2m realized rolling volatility as a forecast
Position (t, $Spd Dv01 k) -556.40 Current position in $unit. It is the product of : current momentum signal, inverse of underlying
volatility, underlying liquidity factor, asset class weight and overall portfolio volatility scaling
Position (t-2w, $Spd Dv01 k) 124.41 Past position in $unit, observed 2 weeks ago
Exp. Pos. (t+2w, $Spd Dv01 k) -946.04 Expected position in $unit. Same calculation as for the current position, but using expected
values for signal, underlying realized volatility and overall portfolio scaling
Max Abs Pos Last 10y 1,984.58 Maximum absolute position, observed over the last 10 yrs, in $unit
Position (t, %ADV) -13.09 Current position in %ADV (average daily volume) unit. It is equal to Current position in
$unit divided by ADV in $unit
Position (t-2w, %ADV) 2.93 Past position in %ADV unit. It is equal to past position in $unit divided by ADV in $unit
Exp. Pos (t+2w, %ADV) -22.26 Expected position in %ADV unit. It is equal to Expected position in $unit divided by ADV in
$unit
Recent Flows (t-2w, t, %ADV) -16.02 Recent flows observed in the last two weeks, expressed in %ADV term. It is the difference
between current and past positions, in %ADV unit
Expected Flows (t, t+2w, %ADV) -9.17 Expected flows for the next two weeks, expressed in %ADV term. It is the different
between expected and current positions, in %ADV unit
Expected Flows, From Signal Chg -9.17
Expected Flows, From Vol Chg 0.00
Max Abs Pos Last 10y %ADV 46.70 Maximum absolute position, observed over the last 10 yrs, in %ADV unit
ADV ($bln) 9 ADV (average daily volume) in $unit
Decomposition of the expected flows in %ADV. Distinguish the contribution from 1) expected
change in signal and 2) expected change in underlying volatility
Source: UBS, Bloomberg
aweinberg@ btig.com
aweinberg@ btig.com
aweinberg@ btig.com
aweinberg@ btig.com
Global Strategy31 March 2026 ab 22
Figure 49: Momentum signals - ranked by current momentum signal
-1.00 -0.80 -0.60 -0.40 -0.20 0.00 0.20 0.40 0.60 0.80 1.00
ItxMain
ItxXover
CdxHY
CdxIG
CdxEM
Expected Signal (t+2w)
Current Signal (t)
Past Signal (t-2w)
Signal value [-1,+1]
-1.0
-0.5
0.0
0.5
1.0
1.5
2.0
-35.0
-17.5
0.0
17.5
35.0
52.5
70.0
Jan-20 Jan-21 Jan-22 Jan-23 Jan-24 Jan-25 Jan-26
Total Notional (Spread DV01, USD mn) Total Notional (yrs Spread Duration)
Source: UBS, Bloomberg
Figure 50: Current positions and expected flows (as % of ADV) - ranked by current
momentum signal
-100 -75 -50 -25 0
ItxMain
ItxXover
CdxHY
CdxIG
CdxEM
Expected Flows (t, t+2w, %ADV)
Position (t, %ADV)
(%ADV)
Source: UBS, Bloomberg
Figure 51: Expected flows decomposition (as % of ADV) - ranked by current
momentum signal
-50.0 -45.0 -40.0 -35.0 -30.0 -25.0 -20.0 -15.0 -10.0 -5.0 0.0 5.0
ItxMain
ItxXover
CdxHY
CdxIG
CdxEM
Expected Flows (t, t+2w, from Signal Change)
Expected Flows (t, t+2w, from Volatility Change)
(%ADV)
Source: UBS, Bloomberg
CTAs' selling pressures in Credit are
not fading
They bought spread protection in
size this month (~$40m of spread
Dv01) ...
… and coming flows should remain
strongly negative in April
aweinberg@ btig.com
aweinberg@ btig.com
aweinberg@ btig.com
aweinberg@ btig.com
Global Strategy31 March 2026 ab 23
Figure 52: Positions as % of ADV - ranked by current momentum signal
-140 -120 -100 -80 -60 -40 -20 0 20 40 60
ItxMain
ItxXover
CdxHY
CdxIG
CdxEM
Expected Position (t, t+2w, %ADV)
Position (t, %ADV)
Past Position (t-2w, %ADV)
(%ADV)
Source: UBS, Bloomberg
Figure 53: Model detailed output - Part 1 - ranked by current momentum signal
Name Signal
(t)
Signal
(t-2w)
Exp. Signal
(t+2w)
Volatility
(t)
Volatility
(t-2w)
Exp. Vol
(t+2w)
Position
(t, $Spd DV01 k)
Position
(t-2w, $Spd DV01 k)
Exp. Pos.
(t+2w, $Spd DV01 k)
ItxMain -0.34 0.07 -0.54 50 50 50 -5,402 1,083 -8,647
ItxXover -0.28 0.21 -0.51 200 200 200 -561 413 -1,020
CdxHY -0.28 0.06 -0.48 200 200 200 -556 124 -946
CdxIG -0.26 0.10 -0.45 50 50 50 -4,136 1,660 -7,169
CdxEM -0.06 0.34 -0.29 200 200 200 -60 334 -284
Source: UBS, Bloomberg
Figure 54: Model detailed output - Part 2 - ranked by current momentum signal
Name Position
(t, %ADV)
Position
(t-2w, %ADV)
Exp. Pos
(t+2w, %ADV)
Recent Flows
(t-2w, t, %ADV)
Expected Flows
(t, t+2w, %ADV)
Expected Flows
from Signal chg
Expected Flows
from Vol chg
ADV
($bn)
ItxMain -75 15 -120 -90 -45 -45 0 13
ItxXover -25 19 -46 -44 -21 -21 0 4
CdxHY -13 3 -22 -16 -9 -9 0 9
CdxIG -36 15 -63 -51 -27 -27 0 23
CdxEM -8 45 -38 -52 -30 -30 0 2
Source: UBS, Bloomberg aweinberg@ btig.com
aweinberg@ btig.com
aweinberg@ btig.com
aweinberg@ btig.com
Global Strategy31 March 2026 ab 24
What our model says about CTAs' positioning in
Commodities
Current trading signals, positioning and expected short-term flows
Main takeaways:
CTAs have massively reduced their metals exposure, and are now close to neutral
in both precious & industrials
They doubled their longs in agriculturals, but did not do much in energy
Aside from some deleveraging, we expect April to be "quieter" in terms of CTAs'
activity
'Contrarian' trades: bullish Robusta Coffee; bearish Soybean Meal, Aluminium
and Lean Hogs
'Go with momentum' trades: bullish Sugar and Cotton; bearish LME Lead and
Palladium
Figure 55: Quick refresher of all the metrics computed in our framework
Name Crude Description
Signal (t) 1.00 Current momentum signal. The sign gives the recommended direction (+ = long, - =
short). The magnitude gives the confidence level [0 to 100%]
Signal (t-2w) 0.99 Past momentum signal, observed 2 weeks ago
Exp. Signal (t+2w) 0.95 Expected momentum signal, with forecast horizon of 2 weeks
Volatility (t) 58.4% Underlying current realized volatility, estimated over a 3m rolling window
Volatility (t-2w) 52.9% Underlying past realized volatility, observed 2 weeks ago (also estimated over a 3m rolling
window)
Exp. Vol (t+2w) 68.7% Underlying expected volatility. We used the current 2m realized rolling volatility as a forecast
Position (t, $mln) 1,047.02 Current position in $unit. It is the product of : current momentum signal, inverse of underlying
volatility, underlying liquidity factor, asset class weight and overall portfolio volatility scaling
Position (t-2w, $mln) 1,145.31 Past position in $unit, observed 2 weeks ago
Exp. Pos. (t+2w, $mln) 848.22 Expected position in $unit. Same calculation as for the current position, but using expected
values for signal, underlying realized volatility and overall portfolio scaling
Max Abs Pos Last 10y 2,759.05 Maximum absolute position, observed over the last 10 yrs, in $unit
Position (t, %ADV) 3.22 Current position in %ADV (average daily volume) unit. It is equal to Current position in
$unit divided by ADV in $unit
Position (t-2w, %ADV) 3.52 Past position in %ADV unit. It is equal to past position in $unit divided by ADV in $unit
Exp. Pos (t+2w, %ADV) 2.61 Expected position in %ADV unit. It is equal to Expected position in $unit divided by ADV in
$unit
Recent Flows (t-2w, t, %ADV) -0.30 Recent flows observed in the last two weeks, expressed in %ADV term. It is the difference
between current and past positions, in %ADV unit
Expected Flows (t, t+2w, %ADV) -0.61 Expected flows for the next two weeks, expressed in %ADV term. It is the different
between expected and current positions, in %ADV unit
Expected Flows, From Signal Chg -0.14
Expected Flows, From Vol Chg -0.47
Max Abs Pos Last 10y %ADV 8.48 Maximum absolute position, observed over the last 10 yrs, in %ADV unit
ADV ($bln) 33 ADV (average daily volume) in $unit
Decomposition of the expected flows in %ADV. Distinguish the contribution from 1) expected
change in signal and 2) expected change in underlying volatility
Source: UBS, Bloomberg
aweinberg@ btig.com
aweinberg@ btig.com
aweinberg@ btig.com
aweinberg@ btig.com
Global Strategy31 March 2026 ab 25
Figure 56: Momentum signals - ranked by current momentum signal
-1.00 -0.80 -0.60 -0.40 -0.20 0.00 0.20 0.40 0.60 0.80 1.00
LmeLead
RobustaCoffee
Cocoa
Coffee
Palladium
Zinc
Platinum
Cotton
Sugar
Copper
LeanHogs
Gold
LmeCopper
Silver
LmeTin
Corn
LmeNickel
SoybeanMeal
Natgas
LiveCattle
Wheat
CattleFeeder
HeardRedWheat
Soybean
LowSulphurGasoil
Gasoline
SoybeanOil
Aluminium
Crude
Brent
HeatingOil
Expected Signal (t+2w)
Current Signal (t)
Past Signal (t-2w)
Long commodities
Short commodities
Signal value [-1,+1]
-5.0
-4.0
-3.0
-2.0
-1.0
0.0
1.0
2.0
3.0
4.0
5.0
-18
-14
-11
-7
-4
0
4
7
11
14
18
Jan-20 Jan-21 Jan-22 Jan-23 Jan-24 Jan-25 Jan-26
Total Notional ($bn) Total Notional (%PMV)
Source: UBS, Bloomberg
Figure 57: Current positions and expected flows (as % of ADV) - ranked by current
momentum signal
-60 -40 -20 0 20 40 60 80 100
LmeLead
RobustaCoffee
Cocoa
Coffee
Palladium
Zinc
Platinum
Cotton
Sugar
Copper
LeanHogs
Gold
LmeCopper
Silver
LmeTin
Corn
LmeNickel
SoybeanMeal
Natgas
LiveCattle
Wheat
CattleFeeder
HeardRedWheat
Soybean
LowSulphurGasoil
Gasoline
SoybeanOil
Aluminium
Crude
Brent
HeatingOil
Expected Flows (t, t+2w, %ADV)
Position (t, %ADV)
Short commodities
Long commodities
(%ADV)
Source: UBS, Bloomberg
CTAs have massively reduced their
metals exposure, and are now close
to neutral in both precious &
industrials
They doubled their longs in
agriculturals, but did not do much in
energy
Aside from some deleveraging, we
expect April to be "quieter" in terms
of CTAs' activity
aweinberg@ btig.com
aweinberg@ btig.com
aweinberg@ btig.com
aweinberg@ btig.com
Global Strategy31 March 2026 ab 26
Figure 58: Expected flows decomposition (as % of ADV) - ranked by current
momentum signal
-25 -20 -15 -10 -5 0 5 10
LmeLead
RobustaCoffee
Cocoa
Coffee
Palladium
Zinc
Platinum
Cotton
Sugar
Copper
LeanHogs
Gold
LmeCopper
Silver
LmeTin
Corn
LmeNickel
SoybeanMeal
Natgas
LiveCattle
Wheat
CattleFeeder
HeardRedWheat
Soybean
LowSulphurGasoil
Gasoline
SoybeanOil
Aluminium
Crude
Brent
HeatingOil
Expected Flows (t, t+2w, from Signal Change)
Expected Flows (t, t+2w, from Volatility Change)
Short commodities
Long commodities
(%ADV)
Source: UBS, Bloomberg
Figure 59: Positions as % of ADV - ranked by current momentum signal
-100 -80 -60 -40 -20 0 20 40 60 80 100
LmeLead
RobustaCoffee
Cocoa
Coffee
Palladium
Zinc
Platinum
Cotton
Sugar
Copper
LeanHogs
Gold
LmeCopper
Silver
LmeTin
Corn
LmeNickel
SoybeanMeal
Natgas
LiveCattle
Wheat
CattleFeeder
HeardRedWheat
Soybean
LowSulphurGasoil
Gasoline
SoybeanOil
Aluminium
Crude
Brent
HeatingOil
Expected Position (t, t+2w, %ADV)
Position (t, %ADV)
Past Position (t-2w, %ADV)
Short commodities
Long commodities
(%ADV)
Source: UBS, Bloomberg
aweinberg@ btig.com
aweinberg@ btig.com
aweinberg@ btig.com
aweinberg@ btig.com
Global Strategy31 March 2026 ab 27
Figure 60: Model detailed output - Part 1 - ranked by current momentum signal
Name Signal
(t)
Signal
(t-2w)
Exp. Signal
(t+2w)
Volatility
(t)
Volatility
(t-2w)
Exp. Vol
(t+2w)
Position
(t, $mn)
Position
(t-2w, $mn)
Exp. Pos.
(t+2w, $mn)
LmeLead -1.00 -1.00 -0.93 15.7% 15.4% 14.2% -244 -249 -250
RobustaCoffee -0.97 -0.99 -0.74 31.1% 31.1% 34.3% -240 -242 -165
Cocoa -0.97 -0.99 -0.95 56.5% 58.6% 55.2% -131 -129 -131
Coffee -0.45 -0.73 -0.40 31.0% 29.6% 32.9% -221 -379 -184
Palladium -0.17 0.31 -0.26 79.0% 77.1% 72.6% -17 31 -27
Zinc 0.04 0.67 0.00 26.0% 26.3% 21.3% 11 193 2
Platinum 0.15 0.64 0.11 83.1% 81.5% 79.2% 14 60 11
Cotton 0.19 -0.64 0.43 13.6% 12.6% 15.7% 104 -392 206
Sugar 0.19 -0.64 0.37 24.0% 22.0% 25.2% 239 -893 451
Copper 0.25 0.78 0.15 34.4% 33.8% 32.5% 218 701 144
LeanHogs 0.28 0.86 0.09 17.0% 17.7% 14.9% 128 372 45
Gold 0.33 1.00 0.20 39.1% 35.0% 45.1% 522 1,749 271
LmeCopper 0.33 0.90 0.32 28.1% 27.7% 28.2% 181 495 172
Silver 0.36 0.82 0.27 101.9% 100.1% 109.1% 108 249 77
LmeTin 0.40 0.89 0.40 63.0% 62.1% 66.0% 25 55 23
Corn 0.46 0.15 0.37 18.1% 17.8% 16.1% 780 256 711
LmeNickel 0.51 0.55 0.33 40.3% 40.0% 33.1% 48 53 38
SoybeanMeal 0.55 0.40 0.16 20.8% 18.5% 22.7% 402 327 111
Natgas 0.60 0.64 0.49 119.3% 120.1% 132.0% 154 162 114
LiveCattle 0.67 0.42 0.64 14.0% 15.9% 15.1% 364 203 323
Wheat 0.67 0.53 0.60 24.8% 23.9% 28.4% 412 336 322
CattleFeeder 0.70 0.55 0.76 16.5% 18.0% 17.6% 323 231 331
HeardRedWheat 0.77 0.64 0.73 25.6% 23.7% 29.1% 230 207 192
Soybean 0.91 0.97 0.71 16.7% 16.7% 18.2% 1,665 1,777 1,192
LowSulphurGasoil 0.94 0.93 0.94 68.4% 60.3% 80.1% 211 235 179
Gasoline 0.99 0.98 0.98 44.1% 36.2% 50.3% 688 830 596
SoybeanOil 1.00 1.00 0.96 22.7% 22.3% 24.4% 671 687 598
Aluminium 1.00 1.00 0.83 24.7% 23.2% 28.2% 618 658 452
Crude 1.00 0.99 0.95 58.4% 52.9% 68.7% 1,047 1,145 848
Brent 1.00 1.00 0.97 54.1% 47.3% 62.4% 1,131 1,295 953
HeatingOil 1.00 0.99 0.97 64.9% 55.8% 74.9% 236 272 198
Source: UBS, Bloomberg
Figure 61: Model detailed output - Part 2 - ranked by current momentum signal
Name Position
(t, %ADV)
Position
(t-2w, %ADV)
Exp. Pos
(t+2w, %ADV)
Recent Flows
(t-2w, t, %ADV)
Expected Flows
(t, t+2w, %ADV)
Expected Flows
from Signal chg
Expected Flows
from Vol chg
ADV
($bn)
LmeLead -93 -95 -96 2 -3 7 -10 0.3
RobustaCoffee -23 -23 -16 0 7 5 2 1.1
Cocoa -5 -5 -5 -0 -0 0 -0 2.5
Coffee -15 -26 -13 11 3 2 1 1.5
Palladium -4 7 -6 -10 -2 -2 -0 0.5
Zinc 1 26 0 -24 -1 -1 0 0.7
Platinum 1 5 1 -4 -0 -0 0 1.3
Cotton 4 -15 8 18 4 5 -1 2.7
Sugar 6 -24 12 31 6 6 -0 3.7
Copper 4 13 3 -9 -1 -2 0 5.3
LeanHogs 14 42 5 -28 -9 -11 1 0.9
Gold 1 4 1 -3 -1 -0 -0 42.0
LmeCopper 5 14 5 -9 -0 -0 -0 3.5
Silver 1 3 1 -2 -0 -0 -0 8.3
LmeTin 23 51 22 -28 -1 -0 -1 0.1
Corn 10 3 9 6 -1 -2 1 8.1
LmeNickel 7 8 6 -1 -1 -3 1 0.7
SoybeanMeal 30 25 8 6 -22 -20 -2 1.3
Natgas 4 5 3 -0 -1 -1 -0 3.6
LiveCattle 17 10 15 8 -2 -1 -1 2.1
Wheat 13 11 10 2 -3 -1 -2 3.2
CattleFeeder 32 23 33 9 1 3 -2 1.0
HeardRedWheat 10 9 8 1 -2 -0 -1 2.3
Soybean 16 17 12 -1 -5 -3 -1 10.2
LowSulphurGasoil 3 3 3 -0 -0 -0 -0 7.1
Gasoline 14 17 12 -3 -2 -0 -2 4.8
SoybeanOil 82 84 73 -2 -9 -3 -6 0.8
Aluminium 40 43 30 -3 -11 -6 -5 1.5
Crude 3 4 3 -0 -1 -0 -0 32.5
Brent 5 6 4 -1 -1 -0 -1 22.9
HeatingOil 6 6 5 -1 -1 -0 -1 4.2
Source: UBS, Bloomberg
________________________________________________________________________
We would like to thank Sonam Jagga, Shiva Rohith Adhikari and Aryan Rathod,
our research support service professionals, for their assistance in preparing this research
report.
aweinberg@ btig.com
aweinberg@ btig.com
aweinberg@ btig.com
aweinberg@ btig.com
Global Strategy31 March 2026 ab 28
Valuation Method and Risk Statement
Risks of multi-asset investing include but are not limited to market risk, credit risk, interest rate
risk, and foreign exchange risk. Correlations of returns among different asset classes may
deviate from historical patterns. Geopolitical events and policy shocks pose risks that can
reduce asset returns. Valuations may be adversely affected during times of high market
volatility, thin liquidity, and economic dislocation. Valuation methods across sectors include
DCF, SOTP and multiples analysis.
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Global Strategy31 March 2026 ab 29
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Global Strategy31 March 2026 ab 30
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