CTA · Core
CTA Capacity and Market Limits
How much money a program can run before it is the market — position limits, ADV caps, and the point where adding AUM only buys slippage.
Definition
Hard limits: exchange speculative caps, internal % of OI, and % of ADV. Soft limits: when estimated impact > expected edge. Diversified financials capacity is tens of billions; specialist ag or short-term is not.
Why it matters
A famous track record at $300m is not a promise at $8bn. Closing to new money is a feature.
Case
A small-market specialist that kept taking AUM into a 2% OI cap. The next trend was them.
How to read it
AUM vs stated capacity, and which markets they already cap. ‘We only trade liquid markets’ without numbers is a slogan.
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