CTA · Core
Intraday CTA
Positions that do not intend to sit overnight — session trends, opening-range breaks, or inventory mean reversion inside the day.
Definition
Signals use minute-to-hour data: opening range, VWAP deviation, session highs. Almost all risk is closed by the cash or pit close (or the electronic session the manager defines). Infrastructure and fees dominate the paper Sharpe.
Why it matters
Overnight gaps are someone else’s crisis convexity. This sleeve is a trading business, not an allocator’s 10% vol diversifier at scale.
Case
A gap through the prior day’s range on a Sunday FX open. The intraday book was flat — which was the point, and also why it missed the crisis trend.
How to read it
Which session is ‘the day,’ and the cost stack. If they quote a Sharpe without fees, walk.
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