MM net = money manager long − short, spread excluded (DCOT
m_money_positions_*, TFF lev_money_positions_*).
Net %OI scales it by open interest so markets are comparable.
Pctile is the rank of Net %OI within its own trailing 3-year history —
the primary cross-market comparator, because raw %OI is not comparable across
asset classes. Spr % is spread as a share of MM gross: above ~70% the
market's positioning is relative-value rather than directional, so treat the
net as low-signal. 1w/4w/13w Δ are changes in Net %OI in percentage points.
3 · History by asset class
4 · CTA vs discretionary
Market
MM net %
52w norm
Trend
Discretionary
ΔR²
Model R²
Corr
SOFR 3M
-19.4
-12.1
-7.0
-0.3
+0.66
0.30
0.74
AUD
+14.9
+14.1
+7.1
-6.3
+0.37
0.44
0.73
GBP
+6.8
+10.0
+2.8
-6.1
+0.36
0.34
0.63
EUR
-8.2
-0.5
-7.5
-0.3
+0.35
0.55
0.76
JPY
-3.9
-16.8
+5.8
+7.1
+0.33
0.41
0.72
WTI
+1.7
+3.1
+1.5
-3.0
+0.27
0.62
0.80
FED FUNDS
+6.2
-1.6
-1.4
+9.2
+0.19
0.28
0.56
NAT GAS
-12.3
-5.1
-0.3
-6.9
+0.18
0.31
0.58
ULTRA UST 10Y
-9.9
-13.4
-0.7
+4.3
+0.15
0.65
0.85
UST 30Y
-34.3
-34.1
-1.3
+1.1
+0.07
0.39
0.65
UST 10Y
-37.9
-38.1
-2.4
+2.6
+0.02
0.83
0.91
DOW JONES
+0.1
-11.2
+0.5
+10.8
+0.02
-0.06
0.30
NASDAQ 100
+0.9
-10.5
+0.3
+11.0
+0.00
0.67
0.83
BRENT
+0.8
+4.8
-0.6
-3.5
-0.00
0.28
0.68
UST 2Y
-30.0
-40.3
-4.0
+14.3
-0.00
0.73
0.86
UST 5Y
-31.6
-39.4
+0.1
+7.7
-0.01
0.80
0.90
VIX
-7.0
-7.6
-0.7
+1.3
-0.02
0.21
0.51
S&P 500
-20.5
-19.1
+0.2
-1.6
-0.07
-0.05
0.46
Method. COT has no CTA category, so the CTA share is identified behaviourally: reconstruct what a rule-follower would hold and attribute the observed position to it. For each market, money manager net %OI is regressed on volatility-normalised time-series momentum (6m+12m slow, 1m+3m fast), realised volatility, and the market's own trailing 52-week mean. The trend terms give the Trend column; the residual is Discretionary; 52w norm is the structural stance. All figures are walk-forward: the model is refitted on data strictly before each week and asked to predict it, so Model R² and Corr are out-of-sample. ΔR² is the gain over a persistence-only model — the share of positioning variation that trend-following actually explains, as opposed to simple persistence. A market with ΔR² near zero is persistent but not trend-driven. Caveat: for rates the price series is a duration-scaled yield proxy, and money manager positioning in futures is not the same as an actual CTA book.