美银：资金流向监测-趋势跟踪者做多黄金、做空原油；美国股票和美国国债头寸规模缩小

Investment Rating - The report indicates a bearish outlook on US equities, with a short position on the S&P 500, NASDAQ-100, and Russell 2000, reflecting a trend signal of -58% for the S&P 500 [24][25]. Core Insights - Trend followers are currently short on US equities despite recent gains in major indices, indicating a negative price trend [1]. - The report highlights a stretched short position in Aluminum, which may lead to price impacts if futures rise [2]. - In the FX market, trend followers are expected to sell USD against CAD and MXN, while potentially increasing long positions in Canadian and Korean bonds [3]. Summary by Sections Systematic Flows Monitor - Trend followers are long on Gold and short on Oil, with a general decline in gross leverage noted among trend followers [1]. - US equity shorts are expected to remain small unless volatility decreases significantly [1]. Aluminum and Oil Positions - The short position in Aluminum has reached its highest level since May 2020, with potential unwinds impacting prices if futures rise [2]. - Trend followers have increased short positions in Crude Oil, indicating a potential for further selling [2]. Foreign Exchange Insights - The US Dollar has ended a four-week losing streak, which may slow down buying of EUR, GBP, and JPY by trend followers [3]. - Trend followers could be adding to long positions in Canadian and Korean bonds while gradually building US Treasury futures longs [3]. SPX Gamma Positioning - The report notes a muted gamma regime for SPX and VIX, suggesting limited impact on the equity market during potential selloffs [4][8]. - The current SPX gamma profile indicates that if the S&P rallies, gamma may grow increasingly short, while in a decline, it could remain dormant [4]. Trend Following Model - The CTA model indicates a short position for the S&P 500 with a projected bearish trend signal [24][25]. - The model suggests that a full unwind of the short position could occur with a 3.9% increase in the index level [25]. Leveraged and Inverse ETFs - US-based ETFs are projected to be responsible for approximately $733 million in S&P 500 buying and $1.7 billion in NASDAQ-100 selling per 1% move in the underlying index [79]. - The total AUM in S&P 500 and NASDAQ-100 leveraged and inverse ETFs is approximately $15 billion and $30 billion, respectively [80].