Short-Term CTA
Holds for a few days to two weeks — higher turnover, tighter capacity, lower correlation to slow trend, and a different execution problem.
Definition
Signals on 2–15 day returns, short breakouts, or microstructure features. Often includes a mean-reversion sleeve at the same horizon. Capacity is measured in hundreds of millions, not tens of billions. Costs can be the whole edge.
Why it matters
Allocators buy it to diversify a slow-trend core. It does not automatically have crisis alpha; some fast books are mean-reverting and lose in a crash trend.
Case
A 2-day reversal book in March 2020. The crash was one long trend; the fade lost. Speed without a signed hypothesis is not a diversifier.
How to read it
Trend or fade at that horizon, capacity, and cost per round-turn. Ask for 2008 and 2020 separately.