Topic · Systematic Strategies & Alpha
← All topicsMacro & Futures
25 articles · 4 checkpoints · 15 deeper reads · 6 reference notes
A standalone topic: it is on no roadmap, so read it on its own terms.
Every article, in reading order
plant a flag as you finish eachRead these first
What a CTA program actually is as a product, margin-to-equity, notional funding, fees and crisis alpha, and the allocation arithmetic that explains why investors buy a strategy with a mediocre standalone Sharpe.
Turning "buy what is going up" into an actual number of contracts, lookback choice, volatility standardisation, the response function that maps signal to position, and why the shape of that mapping matters more than the lookback.
How a cross-sectional carry basket is actually built, rank, weight by risk, neutralise, and the arithmetic of the crash that pays for the premium, worked through the August 2024 yen unwind.
Top-down views on rates, currencies and commodities, expressed in the deepest instruments in the world. Where the edge actually comes from, how a real macro trade gets sized, and why the strategy goes quiet when policy does.
Then the rest