CTA · Core
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
Unlike TSMOM (each market long or short on its own history), CSMOM is always long something and short something. In a 2022 rates dump, TSMOM can be short almost everything with a trend; CSMOM still holds the ‘least bad’ longs.
Why it matters
It is a different factor. Combining TSMOM and CSMOM is a real ensemble; confusing them is a naming error.
Case
2008: almost all risk assets trend down. TSMOM is short the complex. CSMOM among commodities may still be long grains vs energies. The crisis print differs.
How to read it
Always state TS vs CS. If the pitch says ‘momentum’ and the book cannot go net short the universe, it is CS or long-only.
No query has been run yet. Which is tragically normal for most knowledge systems, but we are trying to evolve past decorative databases.