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

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Rolling Futures Systematically

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