Goldman flags $33B U.S. pension selling; CTAs may offset

Goldman Sachs estimates about $33 billion of U.S. pension fund equity selling around September month-end, ranking in the 98th percentile since 2000. Systematic CTAs could offset with about $11.5 billion of buying in flat markets or nearly $30 billion if stocks rise, but could add selling of about $15.8 billion if markets fall.