Vol 5 page 96 second last paragraph–regarding managed futures
“Institutional chars and differential carrying costs among investors may permit managed fund traders to take advantage of short term pricing differences between theoretically idential stocks bonds futures and cash market”
Eoc 37 makes a reference to this point. I am seeking for a deeper explanation. Thank you!
I think the carrying cost is the same as storage cost. Since the storage cost is a variable to price a future contract. Different views of the storage cost ould lead to mispricing, and creates an arbitrage opportunities.
Since managed futures trade exclusively in derivative markets, I don’t undertsand why it mentions stock, bond and cash market positions.
carrying costs could include storage, financing , insurance , and transportation.
passme , I could not find Eoc 37 . Which page are you refrerring to in Vol 5?
He is referring to the EOC Q # 37 on Pg. 127.
I was wrong. Managed futures can invest in cash, spot and derivative markets, but for the most part, it invests in derivative markets.