Equity-Index Futures CTA
Trend and overlays on ES, NQ, RTY, SX5E, NKY, EM indexes — the financial-CTA equity sleeve, not a stock-picker.
Definition
Long/short index futures with the same signal stack as bonds or crude. Can be a dedicated ‘equity timing CTA’ or 15–25% of a diversified book. Overnight vs cash-session effects matter. This is TSMOM on the index, not single-name mom.
Why it matters
It is how CTAs get equity crisis shorts without a 130/30 book. It is also how they pick up equity beta when the trend is up — the 2010s complaint.
Case
2010–19 slow grind: equity trend is a long-beta sleeve with whipsaw taxes. 2022: the short finally shows up. Evaluators who only saw the 2010s called CTAs ‘expensive beta.’
How to read it
Weight on US mega-cap indexes vs a broader country set. A book that is 40% ES is a timing product.