CTA · Core
CTA Commodity Carry Sleeve
Inside a managed-futures book, overweight backwardated contracts and underweight contango — roll yield as a second family next to price trend.
Definition
Rank or sign the curve slope; long positive roll, short negative roll, vol-scaled. Can be standalone or a filter on trend (only long a commodity if carry agrees). Correlation to trend is imperfect — that is the point.
Why it matters
AQR-style ‘trend plus carry’ is how large platforms stopped being one-factor. Carry does not automatically have crisis alpha.
Case
2015–16 oil contango: carry wants short or flat the front; trend may already be short. When they disagree, the combo shrinks — usually correct.
How to read it
Is carry a sleeve with its own risk budget or a veto on trend? Those are different products.
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