BofA:

CTAs entered [last week] near peak exposure, with roughly $180bn of net long global equity risk. Since then, de‑risking has continued in stages, reflecting differences in model speed and stop‑loss sensitivity across the CTA universe…. since mid‑week our models now point to significant CTA unwinds in US equities, particularly in the S&P 500 and NASDAQ.

At this stage, only residual long exposure remains in both indices, largely driven by slower, longer‑term trend models with wider stop bands. By contrast, shorter‑term, faster CTA models are likely to have been adding short exposure this week, though these strategies represent a smaller share of total AUM.

Aggregate positioning has flattened materially. Looking ahead, CTA positioning risk is now more two‑sided. Longer‑term trends remain positive, leaving scope for relatively quick reengagement on upside. Conversely, further weakness would continue to pressure slower‑moving longs, extending the flattening process and raising the risk of a more sustained shift toward net short exposure.