Determinants of trade profits in commodity futures markets
Using proprietary energy futures position data, we provide evidence that mean hedger profits are negative while speculator especially hedge fund profits are positive; that speculators and hedgers who hold long short positions when likely hedgers in aggregate are net short long have higher profits than traders whose net positions align with likely hedgers; and that profits on long positions vary inversely with inventories and directly with price volatility.
These findings are consistent with the risk premium, hedging pressure, and modern theory of storage hypotheses, respectively. Further, our findings suggest that commodity futures momentum may be due largely to hedging pressure.
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Determinants of Trader Profits in Futures Markets by Michaël Dewally, Louis H. Ederington, Chitru S. Fernando :: SSRN
Abstract Using proprietary energy futures position data, we provide evidence that mean hedger profits are negative while speculator especially hedge fund profits are positive; that speculators and hedgers who hold long short positions when earn money egold hedgers in aggregate are net short long have higher profits than traders whose net positions align with likely hedgers; and that profits on long positions vary inversely with inventories and directly determinants of trade profits in commodity futures markets price volatility.
Ederington Contact Author University of Oklahoma - Division of Finance email Norman, OK United States Determinants of trade profits in commodity futures markets Fax.
Price College of Business email Adams Hall West Brooks Street Norman, OK United States Phone Fax HOME PAGE: Download this Paper Open PDF in Browser. Stulz at Ohio Forex venezuela cadivi University OSU - Department of Finance, G. William Schwert at University of Rochester - Simon Business School.
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Determinants of Trader Profits in Futures Markets by Michaël Dewally, Louis H. Ederington, Chitru S. Fernando :: SSRN
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