EDHEC: Practical Commodity Futures Trading Principles
1. Describe the overall strategy undertaken in your proprietary trading.
We attempt to identify opportunities in the commodity futures markets where we have a systematic edge. These opportunities can be briefly summarised as instances where either a commodity futures price or a commodity futures spread is a biased estimator for the future spot price or spread level. When this occurs, one can set up positive expected value investments, monetising this bias.
We have found several classes of
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