Cross-Sectional Futures Momentum
Rank futures on trailing return and hold winners vs losers — relative momentum inside a CTA universe, not each market’s own sign.
Definition
Cross-Sectional Futures Momentum refers to relative momentum inside a CTA universe, not each market’s own sign. 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 relative momentum inside a CTA universe, not each market’s own sign 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 cross-sectional futures momentum is saying. If relative momentum inside a CTA universe, not each market’s own sign 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 Cross-Sectional Futures Momentum: what would falsify the current reading in the next window?
Ask the macro AI about this object
Opens Copilot with Codex + RAG context, or send the object into Alpha Factory intake.