CTA · Core
CTA Bond / Rates Carry Sleeve
Harvest roll-down and yield carry in bond and STIR futures — a rates-specific premia book that can fight the trend sleeve in a hiking cycle.
Definition
Long cheaper-carry points on the curve (or the contract with better roll-down), sometimes duration-neutral across the curve. Distinct from being long bonds because 12-month price trend is up. In a vicious hike cycle, carry can want the high coupon while trend wants the short.
Why it matters
Rates are a huge CTA risk weight. Mixing trend and carry without a conflict rule is how a book argues with itself.
Case
2022: trend short duration paid; naive positive carry in long bonds did not. The conflict rule was the year.
How to read it
Duration-neutral or directional carry, and what happens when trend disagrees. Quote both sleeves’ 2022.
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