Academic Journal
Does Speculation in Futures Markets Improve Commodity Hedging Decisions?
| Τίτλος: | Does Speculation in Futures Markets Improve Commodity Hedging Decisions? |
|---|---|
| Συγγραφείς: | Fernandez-Perez, Adrian1 (AUTHOR) adrian.fernandez-perez@ucd.ie, Fuertes, Ana-Maria2 (AUTHOR) a.fuertes@city.ac.uk, Miffre, Joëlle3 (AUTHOR) jmiffre@audencia.com |
| Πηγή: | Management Science (INFORMS). Mar2026, Vol. 72 Issue 3, p2525-2544. 20p. |
| Θεματικοί όροι: | *Hedging (Finance), *Speculation, *Commodity futures, *Forecasting, *Financial markets, *Utility functions, *Portfolio performance, *Risk management in business |
| Περίληψη: | This paper presents a comprehensive analysis of traditional versus selective hedging strategies in commodity futures markets. Traditional hedging aims solely to reduce spot price risk, whereas selective hedging also seeks to enhance returns by predicting movements in commodity futures prices. We construct selective hedges using a range of forecasting techniques, from simple historical averages to advanced machine learning models, and evaluate their performance based on the expected mean-variance utility of hedge portfolio returns. Out-of-sample results for 24 commodities do not favor selective hedging over traditional hedging as the former increases risk without delivering additional returns. These findings are robust across various hedge reformulations, expanding estimation windows, and rebalancing frequencies. This paper was accepted by Lukas Schmid, finance. Funding: This research was supported by grants from Audencia Business School and Auckland University of Technology, awarded during A. Fernandez-Perez's prior tenure. Supplemental Material: The data files are available at https://doi.org/10.1287/mnsc.2024.04940. [ABSTRACT FROM AUTHOR] |
| Copyright of Management Science (INFORMS) is the property of INFORMS: Institute for Operations Research & the Management Sciences and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) | |
| Βάση Δεδομένων: | Business Source Index |
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| Items | – Name: Title Label: Title Group: Ti Data: Does Speculation in Futures Markets Improve Commodity Hedging Decisions? – Name: Author Label: Authors Group: Au Data: <searchLink fieldCode="AR" term="%22Fernandez-Perez%2C+Adrian%22">Fernandez-Perez, Adrian</searchLink><relatesTo>1</relatesTo> (AUTHOR)<i> adrian.fernandez-perez@ucd.ie</i><br /><searchLink fieldCode="AR" term="%22Fuertes%2C+Ana-Maria%22">Fuertes, Ana-Maria</searchLink><relatesTo>2</relatesTo> (AUTHOR)<i> a.fuertes@city.ac.uk</i><br /><searchLink fieldCode="AR" term="%22Miffre%2C+Joëlle%22">Miffre, Joëlle</searchLink><relatesTo>3</relatesTo> (AUTHOR)<i> jmiffre@audencia.com</i> – Name: TitleSource Label: Source Group: Src Data: <searchLink fieldCode="JN" term="%22Management+Science+%28INFORMS%29%22">Management Science (INFORMS)</searchLink>. Mar2026, Vol. 72 Issue 3, p2525-2544. 20p. – Name: Subject Label: Subject Terms Group: Su Data: *<searchLink fieldCode="DE" term="%22Hedging+%28Finance%29%22">Hedging (Finance)</searchLink><br />*<searchLink fieldCode="DE" term="%22Speculation%22">Speculation</searchLink><br />*<searchLink fieldCode="DE" term="%22Commodity+futures%22">Commodity futures</searchLink><br />*<searchLink fieldCode="DE" term="%22Forecasting%22">Forecasting</searchLink><br />*<searchLink fieldCode="DE" term="%22Financial+markets%22">Financial markets</searchLink><br />*<searchLink fieldCode="DE" term="%22Utility+functions%22">Utility functions</searchLink><br />*<searchLink fieldCode="DE" term="%22Portfolio+performance%22">Portfolio performance</searchLink><br />*<searchLink fieldCode="DE" term="%22Risk+management+in+business%22">Risk management in business</searchLink> – Name: Abstract Label: Abstract Group: Ab Data: This paper presents a comprehensive analysis of traditional versus selective hedging strategies in commodity futures markets. Traditional hedging aims solely to reduce spot price risk, whereas selective hedging also seeks to enhance returns by predicting movements in commodity futures prices. We construct selective hedges using a range of forecasting techniques, from simple historical averages to advanced machine learning models, and evaluate their performance based on the expected mean-variance utility of hedge portfolio returns. Out-of-sample results for 24 commodities do not favor selective hedging over traditional hedging as the former increases risk without delivering additional returns. These findings are robust across various hedge reformulations, expanding estimation windows, and rebalancing frequencies. This paper was accepted by Lukas Schmid, finance. Funding: This research was supported by grants from Audencia Business School and Auckland University of Technology, awarded during A. Fernandez-Perez's prior tenure. Supplemental Material: The data files are available at https://doi.org/10.1287/mnsc.2024.04940. [ABSTRACT FROM AUTHOR] – Name: AbstractSuppliedCopyright Label: Group: Ab Data: <i>Copyright of Management Science (INFORMS) is the property of INFORMS: Institute for Operations Research & the Management Sciences and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract.</i> (Copyright applies to all Abstracts.) |
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| RecordInfo | BibRecord: BibEntity: Identifiers: – Type: doi Value: 10.1287/mnsc.2024.04940 Languages: – Code: eng Text: English PhysicalDescription: Pagination: PageCount: 20 StartPage: 2525 Subjects: – SubjectFull: Hedging (Finance) Type: general – SubjectFull: Speculation Type: general – SubjectFull: Commodity futures Type: general – SubjectFull: Forecasting Type: general – SubjectFull: Financial markets Type: general – SubjectFull: Utility functions Type: general – SubjectFull: Portfolio performance Type: general – SubjectFull: Risk management in business Type: general Titles: – TitleFull: Does Speculation in Futures Markets Improve Commodity Hedging Decisions? Type: main BibRelationships: HasContributorRelationships: – PersonEntity: Name: NameFull: Fernandez-Perez, Adrian – PersonEntity: Name: NameFull: Fuertes, Ana-Maria – PersonEntity: Name: NameFull: Miffre, Joëlle IsPartOfRelationships: – BibEntity: Dates: – D: 01 M: 03 Text: Mar2026 Type: published Y: 2026 Identifiers: – Type: issn-print Value: 00251909 Numbering: – Type: volume Value: 72 – Type: issue Value: 3 Titles: – TitleFull: Management Science (INFORMS) Type: main |
| ResultId | 1 |