@article{37b150d7c2e3492da8a632d00cff1b7a,
title = "Who Wins and Who Loses? Trader Returns and Risk Premiums in Agricultural Futures Markets",
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.",
keywords = "Agricultural, Commodity index traders, Futures markets, Risk premium",
author = "Moran, {Nicole M.} and Irwin, {Scott H.} and Philip Garcia",
note = "Funding Information: Jeff Harris, formerly Chief Economist of the CFTC, and Lin Hoffman, formerly of the Economic Research Service of the U.S. Department of Agriculture (USDA), provided invaluable assistance in obtaining access to the CFTC large trader data files used in this study. The Office of the Chief Economist and CFTC economists produce original research on a broad range of topics relevant to the CFTC's mandate to regulate commodity future markets, commodity options markets, and the expanded mandate to regulate the swaps markets pursuant to the Dodd-Frank Wall Street Reform and Consumer Protection Act. These papers are often presented at conferences and many of these papers are later published by peer-review and other scholarly outlets. The analyses and conclusions expressed in this paper are those of the authors and do not reflect the views of other members of the Office of Chief Economist, other Commission staff, or the Commission itself. This material is based upon work supported by a Cooperative Agreement with the Economic Research Service of the U.S. Department of Agriculture under Project No. 58-3000-8-0063. Any opinions, findings, conclusions, or recommendations expressed in this publication are those of the authors and do not necessarily reflect the view of the U.S. Department of Agriculture. Funding Information: Jeff Harris, formerly Chief Economist of the CFTC, and Lin Hoffman, formerly of the Economic Research Service of the U.S. Department of Agriculture (USDA), provided invaluable assistance in obtaining access to the CFTC large trader data files used in this study. The Office of the Chief Economist and CFTC economists produce original research on a broad range of topics relevant to the CFTC's mandate to regulate commodity future markets, commodity options markets, and the expanded mandate to regulate the swaps markets pursuant to the Dodd‐Frank Wall Street Reform and Consumer Protection Act. These papers are often presented at conferences and many of these papers are later published by peer‐review and other scholarly outlets. The analyses and conclusions expressed in this paper are those of the authors and do not reflect the views of other members of the Office of Chief Economist, other Commission staff, or the Commission itself. This material is based upon work supported by a Cooperative Agreement with the Economic Research Service of the U.S. Department of Agriculture under Project No. 58‐3000‐8‐0063. Any opinions, findings, conclusions, or recommendations expressed in this publication are those of the authors and do not necessarily reflect the view of the U.S. Department of Agriculture. e.g Publisher Copyright: {\textcopyright} 2020 Agricultural and Applied Economics Association",
year = "2020",
month = dec,
day = "1",
doi = "10.1002/aepp.13048",
language = "English (US)",
volume = "42",
pages = "611--652",
journal = "Applied Economic Perspectives and Policy",
issn = "2040-5790",
publisher = "Oxford University Press",
number = "4",
}