CTA · Core
Systematic Macro CTA
A CTA that trades futures on economic data, not only price — growth, inflation, positioning, and nowcasts as the signal set.
Definition
Inputs include CPI nowcasts, PMI surprises, yield-curve shapes, positioning, and sometimes alternative data. Outputs are still futures positions with a vol budget. Price trend may be a sleeve, not the whole brain.
Why it matters
It can be early versus a moving average — and wrong in a political tape that data does not see.
Case
A growth-nowcast short of cyclicals that was early in 2022 H2 while trend stayed with the still-falling bond. Two clocks, one book if mixed badly.
How to read it
What fraction of risk is price-only vs data. If it is 90% TSMOM, it is a trend shop with a research blog.
No query has been run yet. Which is tragically normal for most knowledge systems, but we are trying to evolve past decorative databases.