Consolidated Recap of GS Positioning Metrics:

Summary:

1. CTA Corner: Systematic macro positioning is near an 8 out of 10 overall, with relatively higher exposure in CTA/trend-following and VA vol-control strategies compared to risk-parity styles. We anticipate small to modest, relatively neutral flows, with limited sales in the baseline scenario.

2. GS PB Performance:

   - Equity Fundamental L/S Estimate: Increased by +0.39% from 10/17 to 10/23 (compared to MSCI World TR +1.20%), driven by beta gains of +0.61%, partially offset by alpha losses of -0.22% due to long-side underperformance.

   - Equity Systematic L/S Estimate: Declined by -0.44% during the same period, primarily due to alpha losses of -0.57% from long-side positions, partially mitigated by beta gains of +0.13% (link).

3. Buybacks: We are entering the final open window period of the year, expected to last through 12/19/2025. Currently, approximately 40% of the S&P 500 is in an open window, with this figure projected to exceed 60% by the end of the week.

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CTA Corner:

CTA Flows (Projections):

- Over the next week:

  - Flat tape: Buyers $1.81B ($81M into the US)

  - Up tape: Buyers $90M ($50M into the US)

  - Down tape: Sellers $17.11B ($4.71B out of the US)

- Over the next month:

  - Flat tape: Buyers $1.75B ($1.00B out of the US)

  - Up tape: Buyers $13.95B ($3.39B into the US)

  - Down tape: Sellers $194.22B ($65.62B out of the US)

Key SPX Pivot Levels:

- Short term: 6631  

- Medium term: 6352  

- Long term: 5902