Trend Fund Hits Record Global Bond Short Position, U.S. CPI Report Expected to Be Key to Gains and Losses

August 12th, according to Bloomberg, data from UBS Group shows that Commodity Trading Advisors (CTAs) aiming to profit from various asset price trends doubled their underweight position in bonds in July compared to two weeks ago.

Subsequently, these bets have remained steady, and if the upcoming U.S. Consumer Price Index and Producer Price Index stimulate a rise in bond prices, these CTA trades will face the risk of losses.

According to strategist Nicolas Le Roux, for every 1 basis point move in the 10-year bond yield before the inflation data is released, the P&L impact for CTAs is around $300 million, representing UBS's largest exposure since they started compiling such data in 1990.