CTA · Core
CTA Relative Value / Spread Trading
Market-neutral futures spreads — calendar, inter-commodity, or intra-curve — a CTA that tries not to own outright direction.
Definition
Long one contract, short a related one: WTI vs Brent, 5s vs 10s, front vs back. Residual is basis, weather, or issuance. Outright beta should be small if the hedge ratio is honest. Margin still leverages the residual.
Why it matters
It offers a return stream that is not SG Trend. It also offers 2020 March margin calls on ‘neutral’ books.
Case
A refined-product crack that looks market-neutral until crude gaps and the ratio is wrong. Neutrality is a local linearization.
How to read it
Hedge ratio, residual vol, and margin. If the book’s beta to crude is 0.4, it is not RV — it is a quieter directional.
No query has been run yet. Which is tragically normal for most knowledge systems, but we are trying to evolve past decorative databases.