The Lost Shipment Voyage is a mission type (voyage) that can be done for the Merchant Alliance. You are able to buy this mission type from the Senior Trader at all outposts, excluding the Devil’s Roar.
You have to find a missing vessel that sank somewhere between its origin and the destination. As you search for it, you will find clues (marked by birds) and keep doing so until you find the missing vessel.
Summary
Ship: Sloop / Brig / Galleon.
Crew: Accordingly to ship size.
Resources: Little to none required.
Alliance & Emissary: Merchant.
Key items: Captains Key, Missing Vessel & quest clues.
Key Treasures: Crates & Ledger (book) .
Preparing your voyage
Merchant Voyages require little to no resources (cannonballs, planks & food) to complete. They are passive voyages that require no hostile interactions with the environment. It is important to raise the emissary flag before you set sail. At level 5, you will get a 150% boost on everything you sell to the Merchant.
The Voyage in question. 
Raising the Emissary flag.
Setting up the Route
As soon as the Voyage is active, you will get your first clue: The route of the missing vessel.
You need to do the following steps in order:
1. Go to the Origin (most likely an Outpost or Seapost).
2. Dot out the route on your map.
3. Set sail & look for birds.
The intended route. 
Dotting out your route.
Setting Sail
As soon as you have your route in order, lower all sails and be on your watch for birds.
Birds in the sky indicate loot, your next clue, and potentially, your most wanted Captain’s Key.
The first clue is always near the start of your route. When you find your first clue, read it from the mission wheel. In almost all cases the clue will deviate you from the original path and sends you off somewhere close.
The clues can:
1. Send you to a specific mark on the map. For instance “E11”, or “F16”.
2. Send you to an island. For instance, “Sailor’s Knot Stronghold. If this is the case, always look on the island itself for clues and loot. If it mentions a name of an NPC, find and talk to it for your next clue.
Keep following the clues until you find the Captain’s Key
A clue 
The birds
Finding the captain’ key
The Captain’s Key can be spotted from a distance. It always shines bright with a blue color. It has the same color as the clues.
Some facts about clues and keys:
1. Clues can be in bottles or special merchant barrels (light blue stripe on them).
2. When in bottles, they shine light blue.
3. Keys are always near a clue, but only one can be found during a voyage.
4. Keys are never in barrels.
5. A double blue shining light means the captain’s key is always there (one indicates the clue, the second one the key).
The captain’s key gives you access to a special chamber in the missing vessel, containing much loot. It is highly recommended to search for the key thoroughly! It should not be more than 10-15 meters away from the place where you found the clue.
The key can spawn on a beach, float on the water, on a fence, and even between the grass or on a rock.
The special Merchant Barrel with a blue stripe. 
A Captain’s Key.
Searching for the missing vessel
As soon as you find the precious captain’s key, you can continue your search for more clues, and eventually, you will end up at the missing vessel. The missing vessel will always be near the destination of your voyage. As with the clues, the missing vessel is also indicated with birds circling above the ocean.
The clue for the missing vessel will always include something in the trend of “Heading straight to our destination”. There can be between 1-6 clues before finding the missing vessel.
The missing vessel.
Grab your booty from the missing vessel
In terms of finding your loot, you have to do three things:
1. Grab the Captain’s Key and open up the Captain’s Quarters. It contains many crates for you to gather
Always in the same spot. On rare occasions, the Captain’s Quarters can contain a Stronghold keg. It is worth a lot of gold. It is up to the crew if you dare to take the risk of bringing it along.
2. Check for the missing captain and its ledger (book). Finding this book will end the voyage.
The captain can be in the crow’s nest, near the steering wheel, on deck, behind the captain’s quarter, or somewhere in the lower deck. The captain and its book are always findable without having the key!
3. Check the lower part of the vessel for crates.
The lower part of the vessel can contain a few crates, some kegs, and perhaps the ledger.
Crates inside the Captain’s Quarter 
The missing captain.
Wrapping up the Voyage
As you have gathered all the crates, you should be emissary level 5 and pretty close to an outpost. You can choose to stack another merchant run or go to an outpost to sell your precious booty.
Below are a few last helpful hints for this quest type:
A) When night comes, you will not be able to spot the flock of birds so easily. Adjust the speed and search accordingly.
B) On rare occasions the missing vessel won’t spawn and only the ledger (book) will be seen floating in the sea.
C) With the Captain Jack Sparrow update, the chances are pretty high sirens will spawn when looting the missing vessel.