Eficiência do contrato futuro como instrumento de hedge para redução da volatilidade dos preços de milho e soja

Abstract

One of the greatest risks faced by all those involved in commodities, agricultural or otherwise, is related to the heightened price volatility. Therefore, the existence of instruments capable of mitigating the effects of volatility is of vital importance to the economic agents engaged in the process. Thus, the objective of the present study was to evaluate the effectiveness of using futures contracts as a means to reduce the volatility of two agricultural commodities: soybeans and corn. Furthermore, after analyzing volatility, the risk-return relationship produced by each strategy was also considered. For soybeans, except for the 150% hedge, all other short positions showed lower volatility compared to both the physical market and the futures market of the commodity. In the case of corn, short positions of 30%, 40%, 50%, 60%, 70%, and 80% exhibited lower volatility than that observed in the physical and futures markets. When examining the risk-return trade-off using the Sharpe Ratio for each strategy, the 30% short position for corn showed a favorable relationship, whereas for soybeans, none of the positions, whether short or not, yielded a positive relationship.