S&P 500 is at new highs, but BofA warns CTA buying is losing momentum

The S&P 500 (US SP 500) has returned to record highs, but Bank of America warns that a key source of momentum — CTA (trend-following/systematic) buying — is fading. BofA says roughly $200 billion of systematic equity longs were rebuilt since early April, leaving “substantial re-risking” already behind the market. Its models show limited incremental CTA long accumulation if equities continue higher and point to downside risk: up to $50 billion of CTA selling in a pullback and an estimated $77 billion of systematic selling in a down market next week versus only $400 million of buying in flat markets. BofA also flagged CTA short capacity in shorter-dated U.S. Treasury futures and noted trend followers remain long oil futures despite recent crude weakness. The bank’s analysis implies reduced technical/rebalancing support for further gains and raises the likelihood of sharper moves on any market reversal.