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EQUITY POSITIONING & DERIVATIVES DESK BRIEFING

THE TAKE: SYSTEMATIC BUYING ATTEMPT VS. RECORD PENSION REBALANCING SELL SUPPLY

Global positioning metrics highlight a major structural tug-of-war across systematic models and institutional rebalancing desks. CTAs remain overall long $72B in global equities (54th percentile), with systematic models forecasting net buying of +$11.54B over a 1-week flat tape (+$5.68B into US equities, led by +$9.6B into SPX).

However, this systematic tailwind faces massive structural headwinds from month-end and quarter-end rebalancing: US Pensions are modeled to sell a massive $33B of US equities. This $33B sell imbalance ranks in the 97th percentile over a 3-year lookback and the 98th percentile going back to 2000. Concurrently, corporate demand continues to evaporate, with 87% of S&P 500 constituents currently locked in their buyback blackout window (expanding to 93% by Friday).

CTA SYSTEMATIC FLOW MATRIX & SPX PIVOT LEVELS

  • 1-Week Flow Projections:

    • Flat Tape: Net Buyers of +$11.54B globally (+$5.68B into US equities; +$9.6B specifically into SPX).

    • Up Tape: Net Buyers of +$29.90B globally (+$9.16B into US equities).

    • Down Tape: Net Sellers of -$15.81B globally (-$473M out of US equities).

  • 1-Month Flow Projections:

    • Flat Tape: Net Buyers of +$20.25B globally (+$3.90B into US equities).

    • Up Tape: Net Buyers of +$110.24B globally (+$20.57B into US equities).

    • Down Tape: Net Sellers of -$157.78B globally (-$62.59B out of US equities).

  • Key S&P 500 Systematic Pivot Levels:

    • Short-Term Pivot: 7,665 (SPX maintaining above this level keeps short-term systematic CTA buying intact)

    • Medium-Term Pivot: 7,444

    • Long-Term Pivot: 6,972

PRIME BROKERAGE (PB) & STRATEGY PERFORMANCE ESTIMATES

Between September 18 and September 24, performance across fundamental vs. quantitative hedge fund strategies decoupled significantly:

  • Fundamental L/S Performance: Rose +0.90% (outperforming MSCI World TR at +0.16%). Gains were driven by alpha of +0.57% on the back of profitable short-side positioning, alongside a beta contribution of +0.33%.

  • Systematic L/S Performance: Declined -0.33% over the same window, weighed down by alpha of -0.23% (long-side losses) and a beta drag of -0.10%.

INSTITUTIONAL FLOW & REBALANCING OVERVIEW

  • US Pensions Rebalancing: Modeled to SELL $33B of US equities. Represents one of the largest quarter-end rebalancing supply overhangs on record (98th percentile since 2000).

  • Corporate Buyback Blackout Window: 87% of S&P 500 constituents are currently unable to execute discretionary buybacks, with corporate blackout coverage reaching 93% by the end of the week.

Source: Cullen Morgan (Goldman Sachs FICC & Equities)