Diversified CTA
A program that risks money across the four big futures groups — equity indices, bonds/STIR, FX, and commodities — rather than a single pit.
Definition
Typically 40–200 contracts. Risk is budgeted so no single sector is the whole NAV. This is the SG Trend archetype. Diversification is a correlation claim: in a dollar or liquidity event, the four groups can still move as one risk-on/off factor.
Why it matters
Breadth is how a small per-market edge becomes a business. A 12-market ‘diversified’ book is a concentration.
Case
2022 worked because rates, FX, and commodities trended together in a useful way. 2017 did not. Breadth is not a daily hedge.
How to read it
Market count, sector risk caps, and the worst month when ‘diversified’ was one trade. Count liquid names, not the brochure’s 150 including 2-lot thin grains.