CTA · Core
CTA Long/Short Symmetry
Whether the program treats shorts with the same rules and risk as longs — the difference between a two-way CTA and a long-biased TAA in a futures wrapper.
Definition
A symmetric book shorts as easily as it longs, with the same stop and size math. Asymmetric books require a stronger signal to go short, or cap short risk. Crisis alpha in equities needs a real short. Some ‘CTAs’ are long-only trend on commodities plus cash.
Why it matters
2022 bonds and 2008 equities were short problems. If the short side is timid, you bought a smile, not a two-sided engine.
How to read it
Historical short risk as % of gross, and 2008/2022 shorts. A 10% short cap is a policy, not a bug — just name it.
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