CTAs poised to quadruple S&P exposure by end of April: UBS

UBS says commodity trading advisers (CTAs) are positioned to substantially increase exposure to the S&P 500, with a simulation showing S&P exposure could quadruple by the end of April even if prices remain flat. The bank views CTAs as skewed to buy U.S. equities, while expecting outright CTA selling in the U.K., Japan and emerging markets and modest European inflows. In fixed income, a ~30bp fall in global yields could trigger $250–300m of CTA demand in global DV01. CTAs have offloaded $60–70bn of the U.S. dollar recently and may continue selling, with the Canadian dollar highlighted as a potential beneficiary. Commodity CTA activity was limited.