@GoldmanSachs CTA model has managers extremely short global bonds: ~$390bn notional / $170mm of DV01
That's a material position size. For context:
A 10bp yield move = $1.7 billion P&L swing for the CTA complex
A 50bp move = $8.5 billion swing
That's a material position size. For context:
A 10bp yield move = $1.7 billion P&L swing for the CTA complex
A 50bp move = $8.5 billion swing
