LONDON, Aug 13 (Reuters) - Systematic trading strategies

including those run by hedge funds continue to dump trades,

adding to about $109 billion of global equity futures sold in

the past month, Goldman Sachs ( GS ) strategist Scott Rubner said in a

note seen by Reuters on Tuesday.

Selling will likely continue into the autumn, and the second

half of September might prove "a tricky trading environment,"

said the note, which was released on Monday.

A systematic trading strategy uses strict rules rather

than a speculator's gut feeling, and sometimes includes coding

and algorithms, to guide trading and investment decisions.

August kicked off with a meltdown in world equity markets

that started after investor positioning in the yen and other

currencies was wrong-footed by a Bank of Japan interest rate

hike and weaker-than-expected U.S. jobs data.

Rubner said one factor that drove the meltdown was

systematic trading programs used by so-called "commodity trading

advisors" (CTA) that ride market trends, but when certain risk

thresholds are reached, require the trading programme to ditch

the position.

"Systematic rules-based deleveraging from CTA strategies

remain the most important impact in the market period...We just

witnessed one of the largest and fastest unwinds that I have

seen," said Rubner, a tactical strategist for Goldman.

LEVERAGE AT A PEAK

Leverage used by hedge funds to increase the size of trades

is at a record high for the last decade, according to data

provided by the Office of Financial Research's Hedge Fund

Monitor.

Its data shows that U.S.-registered hedge funds ended March

with $2.3 trillion in borrowing from prime brokers, up roughly

63% from December 2019 and outpacing their assets' growth.

Traders dropped the bulk of stock futures over the past

week, totaling around $80 billion, after Monday's brutal stock

selloff triggered by the unwinding of billions of dollars' worth

of leveraged trades, the Goldman note said.

Wall Street's favoured market fear gauge, the CBOE

Volatility Index, closed at its highest in nearly four

years on Aug. 5.

In the last three weeks, top book liquidity in benchmark S&P

500 stocks, the number of trades visibly on offer to buy

and sell, has fallen 80%, data from the note showed. This

number, indicating how easy it would be to purchase or leave

stock trades, has sunk to $5 million currently, from $26 million

in July, it said.

Options bets against volatility or wagers that stock markets

would stay calm have also continued to unwind, said the note.

Pension funds seasonally rebalance in September and this

time, they'll "further sell" equity exposure, it added.

Given pensions' increased funded status, or the balance

between what they owe to savers and the value of their

investment assets, Rubner reckoned these investors, some of the

biggest in the world, would take advantage of lower bond yields

and drop stocks in favour of fixed income.