CTA · Core
Fixed-Income / Bond-Futures CTA
TU through ultra-long bond futures, bunds, gilts, JGBs — duration trend, the sleeve that made 2022 a CTA year.
Definition
Signals on price trend (which is rates trend). Curve trades (2s10s, 5s30s) may sit in RV. Deliverable baskets and CTD switches change the DV01 of a ‘10-year’ future. This sleeve is large in every serious diversified CTA.
Why it matters
Rates trends last. They are also the sleeve that correlated CTAs to a short-duration bet in 2022 — good that year, a crowding risk the next.
Case
2022 global hike cycle: slow trend short bonds was the industry P&L. A manager who under-risked FI ‘because bonds don’t trend’ missed the decade’s example.
How to read it
Curve vs outright mix, and CTD awareness. Quote 2022 and 2023 (the reversal year) as a pair.
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