Returns to individual traders in agricultural futures markets: skill or luck?

摘要

Using individual trader data from the Commodity Futures Trading Commission's (CFTC) Large Trader Reporting System (LTRS) for the period January 2000 to September 2009, this article investigates whether noncommercial traders in the corn, live cattle and coffee futures markets persist in making profits. Two out-of-sample measures of skill - a winner and a loser ranking test and a top and a bottom decile test - are used to analyse the ability of traders to consistently perform well at monthly, quarterly and annual time horizons. The findings identify significant persistence in rankings - traders in the top half of the profit distribution in a time period tend to stay in the top half in the next period. Differences in magnitude of profitability between the top and bottom deciles also provide support that persistent skill exists among the top 10% of traders. Detailed examination of annual rankings for those traders who were most continuously in the markets further reveals persistence in profits for a smaller subset of traders, as well as an indication of persistence in the face of losses.