Does Speculation in Futures Markets Improve Commodity Hedging Decisions?
对比了传统套期保值（仅降低现货价格风险）与选择性套期保值（试图通过预测期货价格提高收益）在24种商品上的表现，发现选择性套期保值增加了风险但未带来额外收益。
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 .