@article{Aulerich:285355,
      recid = {285355},
      author = {Aulerich, Nicole M. and Irwin, Scott H.},
      title = {Returns to Individual Traders in Agricultural Futures  Markets: Skill or Luck?},
      address = {2011-04},
      series = {NCCC-134 Applied Commodity Price Analysis, Forecasting,  and Market Risk Management},
      year = {2011},
      abstract = {Using individual trader data from the CFTC reporting  system for the period January 2000 to September 2009, the  paper investigates whether non-commercial traders in the  corn, live cattle, and coffee futures markets persist in  making profits. Two out-of-sample measures of skill—the  Fisher Exact ranking test and a test to assess significant  differences in the magnitude of profits of the top and  bottom traders—are used to analyze trader’s ability to  consistently perform well for 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, and some indication of persistence in the face  of losses.},
      url = {http://ageconsearch.umn.edu/record/285355},
      doi = {https://doi.org/10.22004/ag.econ.285355},
}