BofA Research Note on Trend‑Following CTA Activity (15 Aug 2026)
Bank of America released a research note on Friday, 15 August 2026, indicating that commodity‑trading‑advisor (CTA) funds, which follow price trends, continued to add to equity positions during the week ended 14 August 2026 as gains across major indices reinforced positive price momentum. The note states that CTA equity positioning has risen to its highest level since the Iran‑related conflict began in March 2024, and could increase further if the observed decline in summer market volatility persists.
The bank’s quantitative model shows the Nasdaq‑100 index at 30,140 in the August 14 model, with the estimated threshold for the start of long‑position unwinds set at 28,090. Trend‑signal metrics from the model indicate a short‑term signal of –7 percent, a medium‑term signal of 63 percent, and a long‑term signal of 100 percent, suggesting a mixed but overall positive positioning backdrop for the index. For the Japanese market, the Nikkei 225 also remains a target for additional buying by slower‑moving trend‑following strategies.
Systematic sell triggers are deemed relatively distant, with the model requiring a decline of more than 4 percent in major indexes before meaningful CTA selling would be triggered. Nonetheless, the bank notes that systematic positioning has become more skewed toward downside risk following recent increases in equity long positions.
Based on the model, systematic strategies could collectively purchase $11 billion of equities if global equity markets rise over the coming week, or $19 billion if markets remain broadly flat. Conversely, a down‑market scenario could provoke approximately $96 billion of systematic selling.