CTA · Core
CTA FX Carry Sleeve
The standard G10/EM carry trade run as a vol-targeted futures/forward sleeve beside FX trend — coupon versus crash.
Definition
Long high-yield, short low-yield, dollar-neutral or not, sized like any other CTA market. Trend on the same pairs is a separate signal. The crash of carry is often a trend day the other way — the two sleeves can hedge or pile on.
Why it matters
FX is liquid and carry is well-known. Inside a CTA it needs a crash throttle (vol spike or trend veto).
Case
2008 carry unwind: the carry sleeve is the hole; the trend sleeve may already be short the high-yielders. A 50/50 mix is not automatically safe.
How to read it
Universe (G10 vs EM), dollar neutrality, and the veto. EM carry inside a ‘diversified CTA’ is a different risk.
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