Who Wins and Who Loses? Trader Returns and Risk Premiums in Agricultural Futures Markets

Nicole M. Moran, Scott H. Irwin and Philip Garcia

Applied Economic Perspectives and Policy, 2020, vol. 42, issue 4, 611-652

Abstract: The rise of commodity index traders (CITs) in the early 2000s provides a natural experiment to identify whether passive holding of long agricultural futures positions earns a positive risk premium. We use nearly a decade of daily nonpublic position data for all large traders to compute trading profits in twelve agricultural futures markets. Despite increasing price trends in a majority of markets, CITs were the biggest losers during the sample period, experiencing losses in nine out of twelve markets and an aggregate loss of $6.9 billion. This is just the opposite of the prediction of the theory of normal backwardation.

Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://doi.org/10.1002/aepp.13048

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:apecpp:v:42:y:2020:i:4:p:611-652

Access Statistics for this article

More articles in Applied Economic Perspectives and Policy from John Wiley & Sons
Bibliographic data for series maintained by Wiley Content Delivery ().