CTA · Core
Inter-Commodity Spread CTA
Long one commodity, short a related one — WTI/Brent, gold/silver, corn/wheat, gas/power — a relative-value family across complexes.
Definition
Hedge ratios from energy content, historical beta, or exchange-defined packs. Residual is the basis the specialist wants. Trend can be run on the spread itself (TSMOM of WTI−Brent).
Why it matters
It reduces outright beta and keeps a commodity specialist busy when outrights are range-bound.
Case
A WTI–Brent dislocation on a Cushing story. The spread trend is the trade; two independent outright trends double the oil bet.
How to read it
Whether outrights and spreads are risk-budgeted apart. If not, you are double-counting crude.
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