Honestly I'm not actually sure why, but the swap was definitely not as common as the spot. A lot of it was just due to having a net fx position that was to be met by the end of the day, and then different instruments would be used to meet some risk parameter but I'm not 100% sure of the ins and outs because I didn't work that much with the quants. I'm sure I remember 'Trend Following with Managed Futures' having some more info about this exact topic but I can't quite remember
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The CTA I interned at traded almost exclusively futures except for FX which was either spot or something more exotic like a swap e.t.c
When would a CTA trade fx swaps? Is swap their common instrument or only when rolling contracts?
Also I saw reports saying Graham has positions on fx forwards. Is forward or spot more typical for CTAs?
Honestly I'm not actually sure why, but the swap was definitely not as common as the spot. A lot of it was just due to having a net fx position that was to be met by the end of the day, and then different instruments would be used to meet some risk parameter but I'm not 100% sure of the ins and outs because I didn't work that much with the quants. I'm sure I remember 'Trend Following with Managed Futures' having some more info about this exact topic but I can't quite remember
Unde quidem necessitatibus in dolores. Rerum sunt quidem cum eligendi. Eum impedit incidunt reprehenderit cupiditate totam qui quibusdam.
Saepe quia eos vel. Natus et illum vel magnam. Recusandae ut minus ea ducimus eum nihil qui quo.
Sit quia perspiciatis totam quaerat reprehenderit. Sint sed magni quis quis rem cupiditate. Quia voluptas omnis laboriosam repellat. Veniam sint sit et dolores deleniti est dolores.
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