his is a longish way of saying that when factoring for FX hedging, the fact that the US has positive nominal yields means little when they net to even lower yields when FX hedged vs Europe or Japan. Meanwhile, CTAs and other momentum-based investors are price-based (i.e., they care for capital appreciation) rather than yield-based investors, and as shown in Figure 9 above, this momentum has strengthened since 10y Bund yields turned negative in early May suggesting these investors have been buyers of negatively yielding bonds until more recently. Indeed, the z-score for 10y Bunds has doubled since early May, suggesting the size of positions may also have doubled.
https://www.zerohedge.com/news/2019-09-08/who-buying-bonds-negative-yields-jpmorgan-answers
