CTAs long positions in global stocks valued at approximately $112 billion: Goldman Sachs

Goldman Sachs forecasts that its Commodity Trading Advisors (CTAs) are currently holding long positions in global equities valued at approximately $112 billion, which places them in the 67th percentile. This positioning comes after CTAs globally sold off around $14 billion in equities last week.

The Goldman Sachs Equity Fundamental Long/Short Performance Estimate experienced a decline of 1.51% between December 13 and December 19, compared to a 3.38% drop in the Total (EPA:) Return index. This was influenced by a negative beta of 2.20%, which was partially mitigated by a positive alpha of 0.69% due to gains on the short side.

Conversely, the Goldman Sachs Equity Systematic Long/Short Performance Estimate saw an increase of 1.63% during the same timeframe. This rise was attributed to a positive alpha of 1.17% from short side gains and a beta of 0.46%.

Moreover, Goldman Sachs estimates that the blackout window for stock buybacks has commenced and is expected to last through January 24, 2025. During such blackout periods, trading desk volumes typically decrease by about 30%.

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