CTA Execution and Slippage
The live tax on a systematic futures book — impact, roll, and the fact that the signal is correlated with everyone else’s signal.
Definition
CTA Execution and Slippage refers to impact, roll, and the fact that the signal is correlated with everyone else’s signal. Keep that definition fixed when comparing series, managers, or regimes — renaming the same tape does not create a new signal.
Why it matters
It is a named object desks use to frame risk, positioning, or process. When impact, roll, and the fact that the signal is correlated with everyone else’s signal shifts, related hedges, limits, and narratives usually need an explicit update rather than a quiet assumption.
Case
Suppose a desk is positioned for the opposite of what cta execution and slippage is saying. If impact, roll, and the fact that the signal is correlated with everyone else’s signal moves against that book, the first question is not “is the story clever?” but whether size, hedges, and stop logic still match the observation.
How to read it
Keep the definition fixed, then challenge it with cross-checks before sizing. Prefer a short written null hypothesis for CTA Execution and Slippage: what would falsify the current reading in the next window?