A eficiência hedge no mercado de commodities: uma análise para uma empresa do setor do agronegócio

Abstract

The use of hedging in the derivatives market has become increasingly important, due to the high volatility in agricultural commodities. Only in 2020, due to the covid-19 pandemic, commodities such as corn, soybeans and wheat had considerable increases in price levels, which caused companies to use the futures market as a method to reduce risk. of price fluctuations. This paper presents an analysis of a company in the Agribusiness sector using spot market prices (price paid by the company for the purchase of commodities), as well as futures market prices (prices negotiated through futures contracts on the New York Stock Exchange). and Chicago). Through these spot and future prices, an analysis was made in order to verify if the hedge market was efficient through the synthetic portfolio methodology proposed by Leuthoud, Junkus and Cordier (1989) using the portfolios without hedge, with minimum and efficient variance. , where it was possible to verify that the minimum variance portfolio was the most efficient, that is, using the futures market in the same proportion as buying in the spot market.