JPMorgan Delta-One Flows & Positioning

This note delves into the analysis of flow and positioning metrics for global futures and US-listed ETFs across various asset classes. Some of the weekly highlights include:

  • Futures Flows: Noteworthy net buying occurred in TTF Natgas and USD/BRL futures last week, while significant net selling took place in FTSE 100, JSE Top 40, UST 5y/Ultra 10y, France & Korea 10y, and Euribor futures.

  • CTAs: Despite a recent selloff, CTAs are likely still long on US equities based on key momentum signals. They are expected to remain short on US & European rates, long on Metals and USD compared to global FX, and have reduced exposure to Energy.

  • CFTC Positioning: Asset managers reduced long positions in NDX and EM last week, maintaining high positioning in UST futures. Leveraged Funds are short on US equity and fixed income futures, with increased shorts in SPX but reduced shorts in UST 2y and Long Bonds. Managed Money added to Gold futures and maintained elevated longs in Oil, Natgas, Soybeans, and Corn.

  • ETF Flows: Inflows were below average in Equities, above average in Fixed Income and Currency/Multi-asset, but outflows were strong in Commodities.

  • Regionally, weak inflows were observed in US equity funds, while International DM flows were also weak overall, with exceptions in Japan, Latam, Mexico, and Europe.

  • In terms of equity styles and sectors, various trends in fund flows were noted, including strong inflows in Thematic, Volatility, Momentum, and Call/put Writing funds, and notable outflows in Quality, Dividend, and Value funds. In equity sectors, sectors like Tech, Materials, Discretionary, Industrials, and Utilities saw inflows, whereas Energy experienced significant outflows.

  • Bond ETFs saw above-average inflows in Gov’t bonds, Inflation, and IG bond funds, while Mortgages saw outflows.

  • Precious Metals and Energy ETFs witnessed strong outflows, while Cryptocurrencies saw inflows.