Goldman Sachs: Asset Managers Net Sold Over $64 Billion in S&P 500 Futures in Six Weeks
nashnova research
Goldman Sachs reports asset managers net-sold $63.7 billion in S&P 500 futures over six weeks, with longs closing — not new shorts building — accounting for over 70% of the selling. This means the big money is walking away, not betting on a crash.
Who sold, and how much?
The COT report (Commitments of Traders — a weekly snapshot of how different institutions are positioned in futures) through September 29 shows non-commercial S&P 500 futures positions were net-sold in five of the past six weeks, totaling $63.7 billion.
In the latest week alone, asset managers net-sold $11.7 billion; hedge funds were slight net buyers at $620 million. This means → virtually all the selling came from long-horizon allocators, not short-term traders.
Across the full window, long liquidation accounted for over 70% of total selling. In plain terms = they weren't betting on a drop — they were pulling out chips they'd already placed.
Why the sudden concentrated selling?
Goldman managing director Robert Quinn attributed the sell-off directly to rising real rates: the U.S. 10-year real yield (the bond return after stripping out inflation) jumped 25 basis points in a single week, and asset-manager futures longs shrank by $5.5 billion in lockstep.
Rolling three-month data shows a significant negative correlation between asset-manager futures longs and real yields. This means → the higher real rates go, the greater the opportunity cost of holding equity futures, and the more institutions trim.
Quinn also noted that quarter-end rebalancing — funds adjusting their stock-bond mix to target weights — kicked in early and amplified the selling.
The market bounced — did that clear the pressure?
Three soft signals landed in quick succession: core PCE came in below expectations, Fed officials struck a dovish tone, and nonfarm payrolls printed just 29,000. The S&P 500 rallied roughly 0.70%.
But Quinn pointed out that December forward real rates — his proxy for funding costs — actually edged up about 5 basis points. In plain terms = the price ticked higher, but the variable actually driving the selling — yields — did not fall.
As of September 29, asset-manager net futures longs still sat at the 77th percentile of their two-year range. This reflects a high-water position that one modest bounce did nothing to unwind.
When does the selling pressure end?
Quinn's conclusion is blunt: futures selling stops only when there is a "convincing reversal in yields" — not a one-off soft data print.
Goldman's rates research team sees current valuations and recent price action tilting the odds toward lower yields, but elevated oil prices and resilient AI capital spending create upward pressure.
This means → whether the gap between cash-index prices and futures positioning can close still hinges on where real rates go — and that is the unresolved core tension in S&P 500 pricing right now.
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