Assessing out-of-sample hedging performance with commodity futures
Muellner, Anthony Thomas
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https://hdl.handle.net/2142/113050
Description
Title
Assessing out-of-sample hedging performance with commodity futures
Author(s)
Muellner, Anthony Thomas
Issue Date
2021-07-20
Director of Research (if dissertation) or Advisor (if thesis)
Robe, Michel A
Department of Study
Agr & Consumer Economics
Discipline
Agricultural & Applied Econ
Degree Granting Institution
University of Illinois at Urbana-Champaign
Degree Name
M.S.
Degree Level
Thesis
Date of Ingest
2022-01-12T21:46:47Z
Keyword(s)
Commodity
hedging
strategies
futures
out of sample
optimal hedging ratio
Abstract
This thesis investigates the out-of-sample performance of minimum-variance and unconditional hedging strategies in the corn futures market from 2002 to 2019. The out-of-sample performance is captured by new measures of hedging effectiveness that are fundamentally tied to basis and net price. The findings include that optimal hedge ratios based on price changes, and the naïve hedge ratio, statistically significantly outperform all the other strategies considered. The point estimates are robust to different choices for the hedge set dates and lift dates, and regression results are robust to differing hedging horizons.
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