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TSWP


Total Posts: 366
Joined: May 2012
 
Posted: 2017-06-09 09:54
Can anyone share some links to documents or books or anything related to holding treasury bonds in a CTA/CPO portfolio invested in Futures?

Example: a CTA trades some US Futures in his portfolio, however not all her capital is allocated (because Futures are traded on margin), therefore a part of the AUM sits in the account doing nothing, producing no returns.

I know there are a number of options regarding what to do with that cash and I know some funds put it in US treasuries, I was curious to know if you could recommend any material on this topic, or (even better) provide your own personal insight.

Thanks.

HitmanH


Total Posts: 424
Joined: Apr 2005
 
Posted: 2017-06-09 10:35
Depends on your size.
You need a proper custody account, and someone who knows what they are doing to manage it - don't expect investors to look fondly on that...
Unless you can dedicate resource - look at money market funds, or reverse repo

TSWP


Total Posts: 366
Joined: May 2012
 
Posted: 2017-06-09 10:58
OK, I see this less happily now.

Any suggestion on what other small firms did to avoid their non-margin part of the account sitting idle?


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