Trend-plus-Carry CTA
A multi-premia CTA that runs trend and carry (and sometimes value) as separately budgeted families — the modern large-platform stack.
Definition
Each market or asset class gets a trend score and a carry score. Risk is allocated to families, then to markets. Correlations are estimated and often spike when you need them not to. This is not ‘trend with a carry filter’ unless the doc says the filter wins.
Why it matters
It reduces the 2011–16 one-factor boredom — and adds the 2008 carry crash next to the trend gift.
Case
A platform that was 80% trend / 20% carry in 2022 looked like trend. In 2019 it looked like a quieter Sharpe. The mix is the product.
How to read it
Family weights through time. If carry is 5% of risk, do not sell it as a second engine.
Key papers
Landmark references with real publisher or arXiv links — not token-overlap noise.
- Value and Momentum EverywhereAsness, Moskowitz, Pedersen · 2013 · Journal of FinanceThe intellectual parent of multi-premia across assets.