美银：资金流向监测：趋势追随者仍做空美元、做多黄金，但股市交易活跃度正在上升

Investment Rating - The report indicates a positive outlook for certain asset classes, particularly European equities and gold, while maintaining short positions in oil and the US dollar [1][2][3]. Core Insights - Trend followers are currently long on gold and have increased their long positions in the Mexican peso (MXN), while remaining short on the US dollar [1][2]. - European equity indices, particularly the EURO STOXX 50, have seen significant long positions from CTAs despite recent declines, suggesting potential for future growth [3]. - The report highlights a shift in trend strength for US indices like the S&P 500 and NASDAQ-100, which are now showing positive short to medium-term trends, indicating potential buying opportunities [3]. Summary by Sections Systematic Flows Monitor - CTAs are maintaining short positions in the US dollar while increasing long positions in gold and MXN, with a notable correlation of -0.72 between the DXY index and the SG CTA benchmark [1]. - The report notes that trend followers are likely to reduce USD shorts against EUR and GBP in the coming week [1]. Trend Following (CTA) Model - The CTA model indicates a long position in the EURO STOXX 50 with a trend strength of +65%, projecting potential growth in median to bullish price paths [26]. - The S&P 500 and NASDAQ-100 are showing positive trend strength, which could lead to increased buying from CTAs [3]. Commodities - Trend followers are holding long positions in gold and soybean oil while maintaining shorts in oil, with the report suggesting minimal pressure for gold unwinds [2][3]. - The report indicates that CTAs may cover aluminum shorts and are stretched long in soybean oil and short in soybean meal [2]. Foreign Exchange (FX) - The report highlights long positions in EUR/USD and GBP/USD, with respective strengths of 68% and 79%, while maintaining short positions in USD/JPY and USD/MXN [28]. - The trend following model suggests potential for further growth in these currency pairs based on historical data [28]. Leveraged and Inverse ETFs - The analysis indicates that US-based ETFs could be responsible for approximately $831 million and $2.0 billion in S&P 500 and NASDAQ-100 buying (selling), respectively, per 1% move in the underlying index [85]. - Total AUM in S&P 500 and NASDAQ-100 leveraged and inverse ETFs are approximately $17 billion and $36 billion, respectively [86].