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)?
| +28 | Advice ahead of a pair trade presentation - HF interview | 7 | 5d | |
| +27 | College search for getting into HF | 23 | 1d | |
| +26 | Background check issues | 5 | 2d | |
| +26 | Why are so many people here interested in Biotech? | 32 | 2d | |
| +23 | VP HF Lateral To PE | 1 | 4d | |
| +20 | % hit rate on quarters | 14 | 5h | |
| +19 | Drunk Thought: Shouldnt PM's at MM inverse their Portfolio's? | 6 | 4d | |
| +17 | How to learn more about Cyclicals? | 6 | 1d | |
| +17 | Is fundamental L/S equity a dying strategy? | 15 | 3d | |
| +15 | How buttoned up do cold email pitches need to be? | 3 | 1d |
Career Resources
Get instant access to lessons taught by experienced private equity pros and bulge bracket investment bankers including financial statement modeling, DCF, M&A, LBO, Comps and Excel Modeling.
Illo sapiente vel est qui. Consequatur laborum facilis saepe dicta. Consequatur optio amet assumenda eos porro quia.
See All Comments - 100% Free
WSO depends on everyone being able to pitch in when they know something. Unlock with your email and get bonus: 6 financial modeling lessons free ($199 value)
or Unlock with your social account...