{"id":{"repo_id":"uiuc","oai_identifier":"oai:www.ideals.illinois.edu:2142/113050"},"canonical_url":"https://search.dev.ndltd.org/etd/uiuc/oai:www.ideals.illinois.edu:2142/113050","repository":{"repo_id":"uiuc","name":"University of Illinois - Urbana-Champaign","base_url":"https://www.ideals.illinois.edu/oai-pmh"},"display":{"title":"Assessing out-of-sample hedging performance with commodity futures","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.","abstract_html":"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.","abstract_has_math":false,"creators":["Muellner, Anthony Thomas"],"institution":"University of Illinois at Urbana-Champaign","degree_name":"M.S.","degree_level":"Thesis","degree_discipline":"Agricultural & Applied Econ","degree_department":null,"school":null,"contributors":["Robe, Michel A"],"advisors":[],"committee_chairs":[],"committee_members":[],"year":2022,"date_issued":"2022-01-12T21:46:47Z","date_published":"2022-01-12T21:46:47Z","updated_at":"2026-07-22T22:24:52Z","subjects":["Commodity","hedging","strategies","futures","out of sample","optimal hedging ratio"],"languages":["en"],"rights":["Copyright 2021 Anthony Muellner"],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/2142/113050","outbound_label":"Handle","outbound_source":"dc:identifier"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor","label":"Contributor","values":["Robe, Michel A"]},{"key":"dc:creator","label":"Author","values":["Muellner, Anthony Thomas"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date","label":"Dc Date","values":["2022-01-12T21:46:47Z","2021-07-20","2021-08"]},{"key":"dc:type","label":"Dc Type","values":["text","Thesis"]},{"key":"thesis:degree_discipline","label":"Discipline","values":["Agricultural & Applied Econ"]},{"key":"thesis:degree_level","label":"Degree Level","values":["Thesis"]},{"key":"thesis:degree_name","label":"Degree Name","values":["M.S."]},{"key":"thesis:institution_name","label":"Thesis Institution Name","values":["University of Illinois at Urbana-Champaign"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["Commodity","hedging","strategies","futures","out of sample","optimal hedging ratio"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language","label":"Dc Language","values":["en"]},{"key":"dc:rights","label":"Dc Rights","values":["Copyright 2021 Anthony Muellner"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier","label":"Identifier","values":["http://hdl.handle.net/2142/113050"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description","label":"Description","values":["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.","Submission original under an indefinite embargo labeled 'Open Access'. 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