Assessing out-of-sample hedging performance with commodity futures

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.

Name thesis:degree_name

M.S.

Level thesis:degree_level

Thesis

Discipline thesis:degree_discipline

Agricultural & Applied Econ

Grantor

University of Illinois at Urbana-Champaign

Year dc:date

2022

Author dc:creator

• Muellner, Anthony Thomas

Contributors dc:contributor

• Robe, Michel A

• Commodity
• hedging
• strategies
• futures
• out of sample
• optimal hedging ratio

Statement dc:rights

• Copyright 2021 Anthony Muellner

Language dc:language

en

Handle dc:identifier

http://hdl.handle.net/2142/113050

OAI identifier oai:identifier

oai:www.ideals.illinois.edu:2142/113050