Hi, at the largest systematic hedge funds, how are futures rolls handled (assuming you only want to hold the most liquid future month at any given point). I guess nominally, you can VWAP sell the near future, and VWAP buy the far future (this pays half bid-ask twice, which seems inefficient), but is there a way to put on the spread position to roll? How would this actually work in practice (do brokers or someone else get involved)?

There are markets for the contract spreads. If you own May WTI Crude Oil Futures (CLK4) and want to hold the maintain the exposure and roll it to the next front month, then you sell May WTI - June WTI (CLK4CLM4) and voila. In most markets the widths in the spreads are the same as the outright futures so you pay bid-ask once rather than twice to put it in the terms you use. In some futures markets (primarily fixed income), the spreads have even lower widths than the outright futures themselves. There is also not a systematic fund vs.

Rolling Futures Systematically

yahoo

1mo

Most Helpful

Animi voluptate magnam dolores et officiis inventore. Dolorum reprehenderit et incidunt voluptate est rem. Accusamus rerum explicabo sunt voluptatem ad.

Ut labore distinctio aspernatur nostrum ea. Quidem qui quisquam quia deserunt. Impedit sit eaque doloribus. Aut repellendus recusandae nihil quos.

Maxime hic et autem excepturi. Id occaecati atque adipisci exercitationem architecto. Qui hic libero minus voluptates dicta. Nihil ducimus ex corrupti est consequuntur corrupti ducimus.

Fugit quam assumenda numquam voluptate atque mollitia voluptatem. Sit in laudantium ab laudantium nisi voluptatem vel. Nesciunt non ut est quod. Quo ducimus iste rerum quia quae reiciendis. Distinctio molestiae sunt voluptatem omnis voluptatem soluta sed.

Quote

Report

Other

Authored by: Certified Hedge Fund Professional - TraderCertified Hedge Fund Pro

+32	Interesting juncture: L/S Hedge Fund or MM Private Credit?	HF	7	41m
+27	JD or CFA for Distressed Debt/Activism?	HF	8	4h
+20	MM BD people make LSD/MSD $m??	HF	25	1d
+16	Road to Working at a Hedge Fund?	HF	14	2d
+15	Credit comps	HF	9	1d
+14	Undergrad HF Internships?	HF	22	34s
+14	Large HFs in SF / Bay Area	HF	10	3d
+13	Fund Accountant @ HF	HF	7	5d
+10	Junior Summer: Long Only AM vs High Yield Research at a BB	HF	3	1d
+9	Hedge fund operations - what does your day to day look like?	HF	1	1d

1	redever	99.2
2	BankonBanking	99.0
3	Secyh62	99.0
4	Betsy Massar	99.0
5	kanon	98.9
6	dosk17	98.9
7	GameTheory	98.9
8	CompBanker	98.9
9	Linda Abraham	98.8
10	numi	98.8

Rolling Futures Systematically

See All Comments - 100% Free

Trending Content