A Little Lower Could Become A Lot Lower

CTA convexity

Goldman's model estimates that CTAs sold $16bn of global equities last week, reducing net positioning to $123bn, the 75th percentile over the past year.

The flows largely reflect the neutralization or reversal of shorter-term trend signals across modeled indices. At current price and volatility levels, CTAs are expected to sell another $19.5bn of global equities this week.