Table 2a. Hedging Results of Historical Simulation, In-Sample Estimates, Full Sample, 1971-2002
|
District |
Average of Districts |
State (Aggregated) | |||||||||
|
D10 |
D20 |
D30 |
D40 |
D50 |
D60 |
D70 |
D80 |
D90 | |||
|
Unhedged | |||||||||||
|
Avg. Yield |
152.09 |
147.44 |
151.81 |
158.60 |
144.36 |
157.66 |
139.80 |
123.89 |
126.29 |
144.66 |
144.66 |
|
RMSL |
43.07 |
42.06 |
48.90 |
50.42 |
52.97 |
42.89 |
43.07 |
41.07 |
44.34 |
45.42 |
39.80 |
|
ES 6% |
240.56 |
237.91 |
224.41 |
235.23 |
201.04 |
251.92 |
227.55 |
192.83 |
181.88 |
221.48 |
235.38 |
|
ES 9%________________ |
258.39 |
246.09 |
235.74 |
252.45 |
216.20 |
277.84 |
241.14 |
195.22 |
196.93 |
235.55 |
________255.18 |
|
Hedged: Swap_________________________________________________________________________________________________________________________________ | |||||||||||
|
Weight (contracts/acre, $1 tick) |
0.17 |
0.19 |
0.26 |
0.31 |
0.33 |
0.28 |
0.27 |
0.15 |
0.30 |
0.25 |
0.27 |
|
Swap Fair Strike |
644.26 |
803.91 |
798.75 |
851.04 |
804.03 |
907.38 |
1000.38 |
1092.37 |
994.53 |
877.40 |
877.40 |
|
RMSL |
36.62 |
35.78 |
39.71 |
35.94 |
33.94 |
28.33 |
34.25 |
36.36 |
29.35 |
34.47 |
27.11 |
|
Change RMSL |
-6.45 |
-6.29 |
-9.19 |
-14.48 |
-19.04 |
-14.56 |
-8.82 |
-4.70 |
-14.99 |
-10.95 |
-12.69 |
|
% Change RMSL |
-14.97 |
-14.95 |
-18.80 |
-28.72 |
-35.94 |
-33.95 |
-20.48 |
-11.45 |
-33.80 |
-23.67 |
-31.88 |
|
ES 6% |
268.96 |
265.89 |
253.94 |
276.25 |
263.69 |
318.32 |
243.14 |
216.71 |
230.44 |
259.71 |
281.75 |
|
ES 9% |
281.75 |
268.19 |
273.14 |
292.36 |
270.04 |
326.55 |
258.27 |
222.80 |
234.68 |
269.75 |
284.68 |
|
Change ES 6% |
28.41 |
27.98 |
29.53 |
41.03 |
62.65 |
66.40 |
15.58 |
23.88 |
48.57 |
38.23 |
46.37 |
|
Change ES 9%__________ |
23.36 |
22.10 |
37.40 |
39.91 |
53.85 |
48.72 |
17.13 |
27.59 |
37.75 |
________34.20 |
_________29.49 |
|
Hedged: Call Option | |||||||||||
|
WEIGHT (contracts/Acre, |
2.44 |
0.69 |
0.59 |
0.73 |
0.56 |
0.39 |
0.69 |
0.18 |
0.54 |
0.76 |
0.68 |
|
Optimal Call Strike |
864.96 |
875.89 |
876.00 |
920.78 |
819.00 |
929.68 |
1056.00 |
943.00 |
1014.00 |
922.15 |
953.48 |
|
RMSL |
28.15 |
34.54 |
37.08 |
32.74 |
32.00 |
30.05 |
32.94 |
35.40 |
25.82 |
32.08 |
22.56 |
|
Change RMSL |
-14.91 |
-7.53 |
-11.82 |
-17.68 |
-20.98 |
-12.84 |
-10.13 |
-5.67 |
-18.52 |
-13.34 |
-17.23 |
|
% Change RMSL |
-34.63 |
-17.90 |
-24.17 |
-35.06 |
-39.59 |
-29.93 |
-23.51 |
-13.81 |
-41.76 |
-28.93 |
-43.31 |
|
ES 6% |
296.46 |
254.24 |
265.16 |
290.69 |
263.34 |
314.05 |
257.82 |
221.10 |
249.64 |
268.06 |
295.29 |
|
ES 9% |
304.80 |
273.51 |
274.00 |
306.76 |
271.39 |
319.75 |
264.94 |
227.23 |
253.43 |
277.31 |
302.31 |
|
Change ES 6% |
55.90 |
16.33 |
40.75 |
55.46 |
62.30 |
62.13 |
30.26 |
28.28 |
67.76 |
46.57 |
59.91 |
|
Change ES 9% |
46.41 |
27.42 |
38.26 |
54.31 |
55.19 |
41.91 |
23.80 |
32.01 |
56.51 |
41.76 |
47.13 |
aThe table presents results of the hedging analysis under the assumed objective of minimization of SV with an assumed constant price of
$2.50/bu. In-sample estimates were obtained by optimizing the objective with respect to the WD weight (WD weight and optimal strike)
when hedging with swaps (options). Statistics measuring changes in RMSL and ES are calculated relative to the unhedged revenue
exposures. “Average of Districts” column statistic values were obtained by averaging the individual district statistic values and is provided
to serve as a basis of comparison to the “State (Aggregated)” results. A decrease (increase) in the RMSL corresponds to a reduction
(increase) in risk as a result of the addition of a WD. In contrast, an increase (decrease) in the ES indicates a reduction (increase) in risk
exposure from adding a WD.
31
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