The ”staircase hedging” strategy tracks the market closely by incremental hedging.
The strategy is based on:
- Long-term hedging horizon with a 50%/30%/20% profile. 50% is hedged in a period of more than 2 years, 30% in a period of 3 years or more and 20% is spot.
- Option to leave the trade mandate to the portfolio manager.
- The portfolio trades include purchasing and selling although with limited trading activity.
- Optimisation on product level: SYSTEM, EPAD, EEX, periods, base, peak.
- Fixed amount hedging every month/quarter/year which minimizes price fluctuations.