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Comments (4)

Nov 10, 2021 - 9:01am

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?

Nov 10, 2021 - 3:06pm

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

Nov 15, 2021 - 9:49pm

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