Images not showing? Click Here
Systematic Market Intelligence
UST Market Positioning
Update
Revealing future markets' longs and shorts, position concentrations and returns.
Oct 1, 2020
AG Positioning Model explanation
AG Positioning vs the CFTC report
New short trade in 10Y T-Note
An increase of 1.3% in shorts and a decrease of 1% in longs has pushed the short momentum to significant levels in the 10Y T-Note. This has triggered a new short signal for the strategy which will be entered today ahead of the close. 

There are no major positioning imbalances, with the long end being short-biased at -11 and -13 for the 30Y and 10Y respectively, while the short end is at neutral levels.
The Momentum Score (MS)
Positioning contribution to the change in price
A positive (negative) number indicates positioning momentum backing the move higher (lower) in price. Anything above +2.5, and below -2.5, indicates significant positioning momentum supporting the price change. Although there is no upper (lower) limit, the extreme levels average around +6 on the upside and -6 on the low side.    Learn More
Positioning Concentration Index (PCI)
Current positioning concentration
The PCI provides investors with a tool to verify the existence of a positioning imbalance in the market. Positioning is ranked from a -20 value (overextended short) to +20 (overextended long). When these two extremes are reached, the PCI flags the risk of a reversal of the current market positioning.    Learn More
AG POSITIONING MODEL

The Alpha Genesi Positioning Model (AGPM) estimates market positioning using liquid futures. The model uses a combination of futures market participants behaviour, seasonality and idiosyncratic factors to estimate the number of longs and shorts together with their entry prices, size and returns.
 
MORE RESEARCH CONTENT

Alpha Genesi is a provider of market analysis, systematic strategies and events modelling for institutional investors. We combine statistical models and extensive financial knowledge to systematically conduct top-down analysis across Fixed Income, FX, Commodities and Equity markets.
 
Connect with us on social media for more content
LinkedIn
Twitter
Website

The information contained on this report (the Service) is provided by Alpha Genesi Ltd (AG) for informational and research purposes only and should not be considered investment advice or the solicitation of any offer, to buy or sell any investment product including but not limited to securities.

DISCLAIMER OF WARRANTIES. The use of the Service is at your sole risk and on an as-is basis. AG specifically disclaim any representations or warranties, express or implied, including, without limitation, any representations or warranties of merchantability, non-infringement or fitness for a particular purpose. AG cannot and does not warrant the accuracy, completeness or timeliness of the content available through the Service and assumes no responsibility for error or omissions in the contents on the Service.

LIMITATIONS OF LIABILITIES. In no event shall AG, its owners, subsidiaries, affiliates, directors, officers, employees be liable for any special, direct, indirect, consequential, or incidental damages or any damages whatsoever, whether in an action of contract, negligence or other tort, arising out of or in connection with the use of the Service or the contents of the Service. AG reserves the right to make additions, deletions, or modification to the contents on the Service at any time without prior notice.

LIMITATIONS ON USE. The Service provided is confidential and protected by intellectual property laws. The receiving party will not copy, decompile, modify, reverse engineer, any content, analysis or systems contained in the Service. You agree not to reproduce, retransmit, distribute, disseminate, sell, publish, broadcast or circulate the content in the Service to anyone, including but not limited to others in the same company or organization unless otherwise agreed in writing with AG. You may occasionally distribute a copy of the Service to a few individuals without charge, provided it is not on a regular basis, and you include all copyrights and other proprietary rights notices in the same form in which the notices appear on the Service, original source attribution, and the phrase Used with permission from Alpha Genesi.

Copyright © 2020 Alpha Genesi Ltd., All rights reserved.