Institutional Insights: JPMorgan Delta One - Flows, Positioning & CTA Signals
Delta-One Flows & Positioning
US equities near key CTA signals; robust ETF inflows across asset classes, with record-breaking Emerging Markets (EM) inflows and notable style/sector rotations.
Overview
This report examines global futures and US-listed ETF flow and positioning metrics.
Weekly Highlights
Futures Flows
- Significant net buying (>1.5z): Dow Jones, MSCI EAFE, HSCEI, UST Long & Ultra Bond futures.
- Notable net selling (<-1.5z): FTSE/JSE Top 40, Hang Seng, CSI 500, Japan 10Y, SOFR, SONIA, and Heating Oil futures.
- US large-cap equities are trading within ~1-2% of critical short-term CTA signals following the weekend selloff. CTAs likely sold US rates and bought energy week-over-week (w/w). They remain broadly long on global equities, generally short on global rates, and long on metals.
CFTC Positioning
- Asset Managers: Reduced US equity futures, implemented rate steepeners (bought 30Y vs. sold 2-10Y USTs), and hold near-record short positions in VIX futures (-3.3z).
- Leveraged Funds: Increased short positions in ES futures; sold long-end and bought front-end US rates.
- Managed Money: Bought Oil and Gold futures but sold Soybeans and Corn w/w.
ETF Flows
- Total Inflows: $31Bn (1z) into Equities, $16.8Bn (2.3z) into Fixed Income, $4.5Bn (2z) into Commodities, and $2.4Bn (0.7z) into Currency/Multi-asset ETFs.
- Regional Trends: Record inflows (4z) into EM equities, with ~4z into Korea and Brazil/Latam. Strong inflows into International DM ($7.3Bn, 1.1z) and Japan/Developed Asia (~2z). US equities saw slightly above-average inflows ($16.2Bn, 0.3z).
Equity Styles & Sectors
- Style Rotations: Shift from Value (-2z) to Growth (1.3z). Thematic, Managed Risk, and Call/Put Writing funds recorded ~1z inflows.
- Sector Flows: Large inflows into Staples (3.1z), Financials (2.9z), and Energy (2.5z). Outflows (~1z) from Tech and Real Estate.
Fixed Income ETFs
- Strong inflows (~2-3z): Aggregate, Medium-Term Treasury, International, and Municipal bonds. Rotation from High Yield (-1.5z) to Investment Grade (1.2z).
Commodities
- Broad-based inflows: Precious Metals ($3.7Bn, 1.6z, led by GLD), Energy ($0.5Bn, 3.1z), and Base Metals (4.9z).
Crypto ETFs
- Recorded strongest weekly inflows in 3 months: $2.1Bn (0.7z).
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Past performance is not indicative of future results.
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Patrick has been involved in the financial markets for well over a decade as a self-educated professional trader and money manager. Flitting between the roles of market commentator, analyst and mentor, Patrick has improved the technical skills and psychological stance of literally hundreds of traders – coaching them to become savvy market operators!