The Platinum Spreads program takes advantage of LOCF’s (Long Only Commodity Funds) which now total approximately $70 Billion in assets. These funds in some cases account for 40% of the holdings of a commodity in any one month. They typically hold huge quantities of futures contracts in the front month. When they roll these futures contracts to the next contract month, the results on the spreads can be dramatic.
This program exploits the large price movements resulting from these rolls from one month to another. We enter spreads between different contract months in the same market to keep the risk low. The spread trade is entered several months from expiration and always exits at least one month before expiration of the nearby contract.
The program has generated outstanding profits with a very low drawdown. While many trading strategies have failed in recent years, some spread strategies based on the "Goldman Roll" show exceptional potential.