The Returns and Forecasting Ability of Large Traders in the Frozen Pork Bellies Futures Market

Posted: 3 May 2000

See all articles by Raymond M. Leuthold

Raymond M. Leuthold

University of Illinois @ Urbana-Champaign

Philip Garcia

University of Illinois at Urbana-Champaign - Department of Agricultural and Consumer Economics

Richard Lu

Feng Chia University

Abstract

Using settlement prices and 9 years of daily commitments for large reporting traders in the frozen pork bellies futures market, we find that these traders generate significant profits and the distribution of trader returns over time is not random. Further analysis finds that a subset of large elite traders possesses significant forecasting ability, indicating that they not only are able to consistently anticipate the direction of price changes but are also on the right side of the market when large price changes occur. Hence, certain futures market traders accumulate trading experience and knowledge, permitting them to accrue considerable wealth.

JEL Classification: G13

Suggested Citation

Leuthold, Raymond M. and Garcia, Philip and Lu, Richard, The Returns and Forecasting Ability of Large Traders in the Frozen Pork Bellies Futures Market. JOURNAL OF BUSINESS, Vol 67 No 3, July 1994. Available at SSRN: https://ssrn.com/abstract=5395

Raymond M. Leuthold (Contact Author)

University of Illinois @ Urbana-Champaign ( email )

1301 W. Gregory Drive
326 Mumford Hall
Urbana, IL 61801
United States
217-333-1810 (Phone)
217-333-5538 (Fax)

Philip Garcia

University of Illinois at Urbana-Champaign - Department of Agricultural and Consumer Economics ( email )

1301 W. Gregory Drive
427 Mumford Hall
Urbana, IL 61801
United States
217-333-0644 (Phone)
217-333-5538 (Fax)

Richard Lu

Feng Chia University ( email )

100 Wenhwa Road
Talchung
Taiwan

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