CTA Gross and Net Exposure
Gross is the sum of |positions|; net is the signed residual — in a CTA both move with signal agreement, unlike a 130/30 that is always ~100 net.
Definition
When speeds and markets agree (2022 rates), net can be large in one direction and gross is the leverage on that view. When they cancel, gross stays (many small offsets) or falls (the ensemble nets flat). Comparing CTA ‘leverage’ to a 2× ETF is a category error — the notional is not the risk.
Why it matters
Risk is vol and correlation, not notional. A 400% gross at 12% target vol can be calmer than 150% gross in one commodity.
Case
A reporter sees 8× notional and writes ‘huge leverage.’ The vol target was 10% and half the notionals were 2-year notes.
How to read it
Always pair gross/net with the vol target and the sector map. Notional without σ is a scare headline.