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In this lesson, you’ll learn how to interpret and use our systematic funds models, specifically focusing on the CTA charts and volatility control funds for tracking institutional positioning. We’ll walk you through the standard format charts that are updated and uploaded every morning in our bot across different asset classes, using SPX as our primary example.
The CTA chart contains five key components that help you understand institutional positioning. CTA positioning shows when funds are flat (at zero), long (above 1), or short (below 1). The chart tracks both the asset price and CTA positioning over time, allowing you to monitor how these large systematic funds are positioned in real-time.
The CTA table provides deeper analysis across asset classes with seven critical data points. You can compare positioning today versus the prior day and one month ago to identify drastic changes. The table includes one month, three month, and one year percentiles that show where current positioning falls relative to historical observations. For example, a 90th percentile means 90% of daily returns fall below that value (27 out of 30 days if the percentile is 2%). The three month Z score is a statistical metric indicating how many standard deviations a data point is from the mean, helping you identify unusual versus typical positioning.
The volatility control funds model helps you anticipate when these funds may sell equities. It compares one month to three month realized volatility, and when the one month breaks above the three month, it typically triggers these funds to sell equities. The model uses a simple moving average 10 periods—when the volatility ratio goes above the moving average, it triggers a long in volatility.
These systematic funds models are available for different asset classes through our bot, with charts updated every morning. You can track drastic positioning changes day-on-day, month-over-month, and identify when major institutional flows may impact markets based on volatility triggers.
Video Chapters
00:00 – Introduction to CTA charts and standard format
00:21 – Understanding CTA positioning levels
00:56 – CTA table structure and asset class grouping
01:35 – Percentiles and Z score explained
02:55 – Volatility control funds model
Key Takeaways
CTA positioning is flat at zero, long above 1, and short below 1, with charts updated every morning
The CTA table tracks positioning changes day-on-day and month-over-month using percentiles and three month Z scores
Volatility control funds typically sell equities when one month realized volatility breaks above three month
A simple moving average 10 periods is used to trigger long signals when volatility ratio crosses above
Video Transcription
[00:00:00.05] - Speaker 1 In this section, we will focus on our main systematic charts and explain how to interpret them. Let's start from the CTA chart. This is the standard format that is updated and uploaded every morning. In our bot we have this chart for different asset classes. For the purpose of this exercise, we will focus on spx.
[00:00:21.11] - Speaker 1 We have added some numbers next to the key data for you to better follow how this chart was built. Number one shows you the CTA positioning. When current positioning is at zero. That means the CTA positioning is flat. When it is above 1, the CTA positioning is long.
[00:00:39.15] - Speaker 1 When it is below 1, the CTA positioning is short. Number 2 is simply the price of the asset. Number 3 represents time. Number 4 helps us track the CTA positioning over time. Finally, number five is the price of the asset over time.
[00:00:56.28] - Speaker 1 Next, let's jump into the CTA table. In this case, we have grouped together asset classes to show the performance of the CTA funds. We use the number once again to allow you to follow. Number one is the CTA positioning today, the last positioning of the day. This price will be the same as you will find in the CTA chart we showed you earlier.
[00:01:19.10] - Speaker 1 Jump to number two. Thanks to this table, you cross check what the positioning was the day before. In this column you have the prior day CTA positioning. You want to look for drastic changes day on day. Number three shows you positioning a month ago.
[00:01:35.02] - Speaker 1 Have CTA trended higher? Are they flat or short? Again, we are looking for drastic changes. Number four is the one month percentile. It is a measure that shows the value below which a certain percentage of observations fall over one month.
[00:01:50.23] - Speaker 1 Let's take stock return to help you understand this column. If you're looking at daily returns of a stock over the past month, 90th percentile means 90% of the daily returns are below this value. If the 90th percentile is 2%, it means that on 27 out of 30 days, the stock's daily return was less than 2%. Number 5 does the same exercise as for the one month, but the observation period is wider of three months. Number 6 does the same exercise as for the 1 month, but the observation period is Wider of 1 year.
[00:02:29.14] - Speaker 1 Finally, number 7. This is the 3 month Z score. It is a statistical metric that indicates how many standard deviations and a particular data point is from the mean over a three month period. It helps in identifying how unusual or typical a data point is compared to the average performance over those three months. Now let's turn our attention to the volatility control funds.
[00:02:55.10] - Speaker 1 Number one is the SPX price. Number two compares the one month to three month realized volatility. Number three indicates when one month realized volatility is above the three month. When the one month breaks above the three months that usually triggers these funds to sell equities. Please review the volume control section if this is unclear.
[00:03:18.10] - Speaker 1 Finally on 4 if volatility ratio is bullish, the model goes long. If not, it is either flat or short. A simple moving average 10 periods is used when volume ratio goes above the moving average that triggers a long in volatility sat.
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