CTA · Core
FX CTA
Currency futures and NDF/forwards — G10 trend, EM, and sometimes a carry overlay — the most liquid two-way sleeve in the complex.
Definition
USD pairs, crosses, and a few EM. Traded 24 hours; rolls and forwards matter. Trend, carry, and PPP-value can all live here. Dollar factor can make ‘12 FX markets’ look like one trade.
Why it matters
FX is where crisis shorts of high-beta currencies show up. It is also where a dollar squeeze correlates the sleeve to global risk.
Case
2015 SNB: a peg break no lookback contained. A systematic FX CTA’s stop was a theoretical number in a one-way book.
How to read it
G10 vs EM, dollar neutrality, and pegged-currency policy. Caps on CHF/HKD-style pegs should be explicit.
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