The purpose of this thesis is to analyze investment options into wheat, corn and rice futures throughout different time horizons. Mostly we use daily closing prices for the last fifteen years. General knowledge of the field in context of nowadays is required to perform such an analysis. To achieve our goals we use technical analysis, time series analysis and we discuss the fundaments of price movements. Contribution of this thesis can be summed as presenting the basic tools of technical analysis in real world, presenting the fundamentals of price movements in one place and practical application of time series analysis on futures prices. By doing so we can confirm that random walk thesis is not unsubstantial but cannot be generalized for all instruments and periods of capital market.

[pt] A grande competitividade do mercado mundial de commodities faz com que as indústrias busquem soluções que lhes permitam gerar maior rentabilidade em suas operações. Esse processo intensifica a busca por otimizações de operação e processos produtivos mais eficientes, incluindo alternativas competitivas de fontes de insumos. Nesse contexto a flexibilidade gerencial pode atuar como um importante fator no aumento do valor de projetos industriais, através da possibilidade de proporcionar redução de custos operacionais através da flexibilização do processo produtivo. No caso da indústria de alumínio, onde há presença de volatilidade no custo de seus insumos, principalmente da energia elétrica, além da volatilidade do próprio alumínio, a possibilidade de alternância na estrutura da cadeia produtiva pode trazer janelas de oportunidades para redução de custos a partir da flexibilização do processo produtivo. Essa flexibilidade de alternar a origem do metal que é introduzido na fundição gera uma opção ao gestor que poderá utilizar o alumínio proveniente das salas de redução eletrolítica, cujo custo de produção é altamente influenciado pelo custo da energia elétrica, ou alternativamente, utilizar lingotes de alumínio comprados no mercado. A decisão de exercício da opção ocorrerá em função destas alternativas de modelo operacional, tendo em vista a variância no preço de seus insumos. Essa dissertação propõe a utilização da Teoria de Opções Reais para avaliar as opções de alternância existentes entre as fases de redução e fundição do alumínio, utilizando um caso de uma empresa brasileira no setor de alumínio, a Valesul. Os resultados indicam que essa metodologia é capaz de valorar ganhos econômicos não contemplados pelos tradicionais métodos de avaliação, indicando a influência positiva da flexibilidade gerencial na eficiência operacional e aumento da competitividade destas indústrias. / [en] The strong competitiveness of the commodities market forces industries to pursue solutions that allow them to generate greater profitability in their operations. This process intensifies the need for optimizations in the operations and for more efficient production processes, including competitive alternative supply sources. Within this context, managerial flexibility can play an important role to increase the value of industrial projects, due to the possibility of providing operational cost reduction through flexible production processes. In the case of the aluminum industry, where there is volatility in the cost of raw materials, especially electrical energy in addition to the volatility of the aluminum itself, the possibility of switching the production chain structure may bring opportunities for cost reduction based on flexible production processes. The flexibility to switch the origin of the metal that is introduced into the Cast house generates an option for management that will be able to use aluminum coming from the Reduction plant, where cost is highly influenced by electrical energy costs, or alternatively use the aluminum ingots purchased directly from the market. The decision to exercise this option will be based on these alternative operational models, in view of their costs which are influenced by the price volatility of the raw materials. This study proposes the use of Real Options Theory to analyze the switch option in the aluminum Reduction and Casting phases, based on the case of Valesul, a Brazilian company in the aluminum sector. The obtained results indicate that this methodology is able to capture the economic value added that are not contemplated by the traditional valuation methods, pointing to the positive influence of managerial flexibility in the operational efficiency and increase of competitiveness within these industries.

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<p>Introduction: Companies that are dependent on different commodities as input or output are exposed to price risk in these commodities. The price changes can be expressed as volatility and higher volatility results in higher risk. Hedging the commodity contracts with futures can offset this risk. One of the most important questions in this field is to what extent the risk exposure should be hedged with futures contract, i.e. the optimal hedge ratio.</p><p>Purpose: The study aims to conduct an analysis of the variance in different commodities contracts and provide evidence of the optimal hedge ratio in the respective commodities.</p><p>Method: We used a quantitative study with daily spot and futures price changes of Copper, Gold, Cotton and Oil. We investigated the 6-month hedging behaviour where timeseries were created for the period January-June each year during 2001-2004. We used a simple linear regression of the futures and spot price changes and a minimum variance model in order to calculate the optimal hedge ratio.</p><p>Conclusion: Companies that are dependent on Copper, Gold, Cotton and Oil can significantly reduce the risk by engaging in futures contracts. The optimal hedge ratio for Copper is (96%), Gold (52%), Cotton (96%) and Oil (88%). By applying the optimal hedge ratio, a company may reduce their risk exposure up to 90% compared to an unhedged position.</p>

Master of Agribusiness / Department of Agricultural Economics / Sean Fox / The commodity markets have seen a great deal of volatility over the past decade, which, for those involved, has created many challenges and opportunities. Some of those challenges and opportunities are related to the behavior of the basis – the difference between the local cash price of grain and its price in the futures market. This thesis examines factors impacting basis for corn and soybeans at an Illinois River barge terminal, inland grain terminals in central Illinois, and in the Decatur processing market. Factors used to explain basis behavior include the price level of futures markets, the price spread in the futures market, transportation cost, local demand conditions, and seasonal patterns. Using weekly data on basis from 2000 to 2013, regression models indicate that nearby corn futures, futures spread, inverted market, days until expiration, heating oil futures, and some months are significant drivers of corn basis. For inland terminals and processor regression models nearby corn futures do not appear to have significant effects. Using the same parameters for soybean basis nearby soybean futures, futures spread, inverted market, heating oil and some months are significant drivers but days until expiration do not appear to have a significant effect.

After the American Civil War, and the collapse of the market in slave-produced cotton in the South, cotton merchants in New Orleans faced challenges in re-establishing the city as a central port for Southern cotton. As commodities exchanges emerged as centralized spaces for business in the 1870s, a new class of experts emerged, upon whose reports traders bought and sold newly developed securities derivatives. Henry G. Hester (1846- 1934), Secretary of the New Orleans Cotton Exchange, was an integral player in the development of the methods that governed sophisticated commodities trading around the world. His career at the New Orleans Cotton Exchange tells the story of the arrival of these methods and subsequent downfall of Euro-American centrality in the global cotton empire and contradicts previous histories that deemphasize Southern businesspersons’ contributions to modernization.

The subject of the thesis "Analysis of the profitability of a selected agricultural entity - ZD Strmilov" is the elaboration of a real analysis of the profitability of a functioning small agricultural enterprise. The diploma thesis is divided into two parts, the first of which is a theoretical part, which focuses on the general characteristics of a small business and its economic use,with an explanation of its establishment. The second, practical part, provides a realistic analysis of the profitability of an existing small farm with the production of agricultural commodities. In conclusion, the work is completed with supplements, which can contribute in the future to increasing the profitability of a small agricultural enterprise and its further development.

Cette thèse de doctorat est composée de trois chapitres, un article et deux papiers et est principalement liée au domaine de l’économétrie financière empirique. Elle analyse la dépendance et le lien entre les marchés financiers et les marchés de matières premières, en particulier celui de l’énergie. Les distributions et corrélations des variables appartenant aux deux marchés sont étudiées afin de déterminer leurs effets les uns sur les autres et d’analyser leurs tendances pour donner un meilleur aperçu de leurs comportements vis-à-vis des crises et des événements brusques en économie. Ces variables sont représentées par certains indices financiers (SP500, Euro stoxx 50, Msci China) ainsi que par les principaux indices de matières premières (SP GSCI, Brent Oil,Gaz naturel, Metaux precieux). Nous choisissons de modéliser leur corrélation dans le temps et de prendre en compte la non-linéarité et l’instabilité qui peuvent les affecter. Pour cela, l’approche fonction copule a été employée pour modéliser d’une manière efficace leurs distributions. Dans le premier chapitre, nous examinons la dépendance et les co-mouvements entre les prix des émissions de dioxyde de carbone et les indices énergétiques comme le charbon, le gaz naturel, le Brent oil et l’indice énergétique global. Le deuxième chapitre analyse les interactions et relations entre le marché pétrolier et deux principaux marchés financiers en Europe et aux États-Unis représentés par l’Euro stoxx 50 et le SP500. Dans le dernier chapitre, on analyse la dépendance multivariée entre les indices de matière première de différents secteurs avec des indices financiers en utilisant le modèle de la copule Regular Vine. / This Ph.D. thesis is composed by three chapters and is mainly related to theempirical financial econometrics field. It analysis the dependence and correlationbetween the financial markets and the commodity markets specially energy.Variables from both markets are studied to determine their effects on each othersand to analyse their trends to giva a better insight to their co-movements.These variables are represented by some of the major equities (SP500, Eurostoxx 50, Msci China) as well as major commodities indices (SP GSCI commodity,Brent Oil, Natural Gas, Precious metals). We choose to model theircorrelation dynamically and take into account any non-linearity and stylisedfacts into the nature of their dependencies. For that, the copula approach wasused to model efficiently the correlated joint distributions of the studied variables.In the first paper, we examine the dependence and co-movements between theprices of the carbon dioxide emissions and energy commodities (coal, naturalgas, Brent oil and SP GSCI energy index). The dependence between thereturns was modeled by a particular class of dynamic copula, the StochasticAutoregressive Copula (SCAR). The second chapter analysis the interactions and co-movements between the oilmarket and two major stock markets in Europe and the US (the Euro stoxx 50and the SP500). Both the dynamic and the markov (regime switching) copulawere chosen to better understand the link between the two. In The last paper, I study the multivariate dependence between commoditiesfrom different sectors with some major equities using the Regular Vine copula model.

Mais do que uma ferramenta para gestão do risco de preços para produtores e consumidores, os contratos futuros agropecuários tem se tornado uma importante opção de investimento principalmente em períodos de crise quando os riscos no mercado de ações aumentam. No Brasil, a participação de investidores no mercado futuro agropecuário ainda é pequena, mas há um considerável potencial de crescimento, posto que o país é um importante player no mercado internacional das principais commodities agropecuárias como café, soja, milho, açúcar, etanol e carne. Neste contexto, será analisada neste trabalho a relação entre os retornos resultantes de posições compradas em contratos futuros agropecuários negociados na BM&FBOVESPA e o retorno apresentado pelo mercado de ações, representado pelo Índice Bovespa com atenção especial aos períodos de crise. Para isso, utilizou-se uma metodologia similar a desenvolvida por Baur e Lucey (2009) buscando identificar em qual categoria porto seguro, hedge ou diversificador - os dois principais contratos futuros negociados na BM&FBOVESPA - boi gordo e café arábica se encaixam. Os comportamentos de tais contratos foram analisados de forma isolada e também considerando carteiras formadas pelo ponto de mínimo risco da teoria do portfólio de Markowitz. Como resultado identifcou-se que o contrato futuro do boi gordo atua como hedge em relação ao mercado de ações, já o contrato futuro do café arábica, por apresentar correlação positiva, mas não perfeita, atua como diversificador. Combinando os dois contratos em posição comprada durante todo o período obteve-se uma carteira cuja variância média foi inferior a variância do boi gordo e do café arábica, no entanto esta carteira apresenta correlação positiva em relação ao mercado de ações, o que a coloca na categoria de diversificador. Outra combinação entre os contratos foi feita utilizando uma estratégia dinâmica de negociação, ou seja, a posição adotada pelo investidor se altera no decorrer do tempo. Esta carteira apresentou uma variância média inferior à carteira estática e a correlação com o mercado de ações reduziu ainda mais, porém continuou positiva. Sendo assim, o boi gordo mostrou ser o contrato que melhor protege o investidor, mas seu retorno médio é inferior se comparado às demais opções, já a carteira dinâmica apresenta a segunda menor correlação e um retorno superior. Vale destacar que, apesar de nenhum contrato ter se mostrado como porto seguro em relação ao mercado de ações, todos podem ser utilizados com a finalidade de redução do risco. / More than a tool for managing price risk, commodity futures contracts have become an important investment option especially in times of crisis when the risk in the stock market increases. In Brazil, the participation of investors in the agricultural futures market is still small, but there is a huge potential for growth, given that the country is an important player in the international market of agricultural commodities such as coffee, soybeans, corn, sugar, ethanol and meat. In this context, this study aims to examine the relationship between returns resulting from long positions in the two major futures contracts traded at BM&FBOVESPA live cattle and arabica coffee - and returns made with an investment in the Brazilian stock market, with special attention to crisis periods. For this, a methodology similar to that developed by Baur and Lucey (2009) was used in order to identify in which category - safe haven, hedge or diversifier - the futures contracts fit. The behaviours of these two contracts were analysed separately and also considering portfolios formed using the Markowitz theory of portfolio. As a result, it was identified that the live cattle futures contract can be considered as a hedge against the stock market. The arabica coffee, for presenting a positive correlation, but not perfect, serves as a diversifier. Combining the two contracts considering long position throughout the period was obtained a portfolio whose average variance was lower than the variance of the live cattle as well as the arabica coffee, however the returns of this portfolio presents a positive correlation against the stock market which places it in the diversifier category. Another combination of the contracts was made using a dynamic trading strategy, ie, the position adopted by the investor changes over time. This portfolio presented an average variance lower than the static portfolio (long position) and the correlation with the stock market was even lower than the static portfolio, but still positive. Thus, the live cattle contract proved to be the one that best protects the investor when added into a stock portfolio, but its average return is lower than all the others arabica coffee, static portfolio and dynamic portfolio). It is worth noting that although no contract had been shown as a safe haven compared to the stock market, all of them can be used for the purpose of reducing risk.

As leis e tratados nacionais e internacionais, em relação à questão agrária, assinados desde o tempo em que o Brasil era Colônia de Portugal, até os dias de hoje formaram e moldaram a estrutura fundiária atual e o cenário em que se desenvolve a questão agrária brasileira. O Centro-Oeste está inserido neste contexto e representa o principal centro produtor do complexo grãos-carne do país. Este trabalho mostra a evolução da posse e uso da terra no Brasil, tendo como estudo de caso a região Centro-Oeste. A partir da implantação do PROALCOOL, a região Centro-Oeste vem se destacando, também, na produção de agroenergia, com impacto direto na posse e uso da terra da região. Através de metodologias, como exploratória, descritiva e explicativa, constatou-se que o índice de Gini para as grandes regiões brasileiras, entre os anos de 1985 e 1995, com exceção do Norte que partiu de 0,812 para 0,820, apresentou uma diminuição da concentração, porém manteve um nível considerado forte a muito forte. Em relação aos Estados do Centro-Oeste, o Mato Grosso se destaca. De 1970 para 2006, a área média dos estabelecimentos agropecuários com menos de 10 hectares passou de uma representação de 0,06% para 0,08%. No mesmo período, a representatividade dos estabelecimentos com mais de 1.000 hectares que era de 95,05% caiu para 92,5% do total. A partir desta estrutura fundiária e aproveitando-se da vocação agrícola, o Centro-Oeste, abriga atualmente o maior número de usinas produtoras de biodiesel do país, com 27 do total de 57 unidades, bem como 45% da capacidade total instalada. Além da soja, a principal oleaginosa utilizada como matéria prima na produção de biodiesel, destaca-se a cana-deaçúcar destinada à produção de etanol ou açúcar. O aumento da demanda destes para a produção de agroenergia, somando-se ainda ao aumento da de alimentos e commodities, fizeram com que a as terras da região se tornassem foco de interesse de grandes empresas nacionais e estrangeiras a ponto do governo brasileiro intervir e impor limites à aquisição de terras no país por empresas de outras nacionalidades. Este trabalhou mostrou que a estrutura fundiária da região Centro-Oeste, mantém o modelo implantado em todo o país. O Brasil não demonstrou mudanças significativas em sua estrutura fundiária entre os anos de 1930 e 2010. Isto é, manteve o padrão de grande concentração de terras e no Centro-Oeste este modelo foi mantido na intensão de transformar esta região em um celeiro de grãos e da pecuária para exportação e a partir de 1975 para a produção, também, de materia-prima para a agroenergia. / Laws and national and international treaties, in relation to the agrarian, signed from the time that Brazil was a colony of Portugal until the present day formed and shaped the land structure and current scenario which develops the Brazilian agrarian question. The Centro-Oeste is inserted in this context and is the main production center of the complex grain-meat in the country. This work shows the evolution of ownership and use of land in Brazil, taking as a case study to the Centro-Oeste. From the implementation of PROALCOOL, the Centro-Oeste has been highlighted also in the production of bioenergy, with direct impact on tenure and land use in the region. Through methods such as exploratory, descriptive and explanatory, it was found that the Gini index for the Brazilian regions, between the years 1985 and 1995, with the exception of the North that left 0,812 to 0,820, showed a decrease in concentration but maintained a level considered strong to very strong. In relation to the states of the Centro-Oeste, Mato Grosso stands. From 1970 to 2006, the average area of farms under 10 acres has a representation of 0.06% to 0.08%. In the same period, the share of establishments with more than 1,000 hectares which was 95.05% fell to 92.5% of the total. From this land structure and taking advantage of the agricultural vocation, the Centro-Oeste, currently houses the largest number of plants producing biodiesel in the country, with 27 of the total 57 units, and 45% of total installed capacity. Besides soybeans, the main oilseed used as feedstock for biodiesel production, there is the sugar cane for the production of ethanol or sugar. The increased demand for these agrofuel production, adding further to the increase in food and commodities, made the lands of the region became the focus of interest of large domestic and foreign companies about the Brazilian government to intervene and impose limits the acquisition of land in the country by companies of other nationalities. This worked showed that the agrarian structure of the Centro-Oeste, keeps the model implemented in the whole country. The Brazil showed no significant changes in its land structure between 1930 and 2010. That is, the standard remained high concentration of land in the Centro-Oeste and this model was kept in the intention to transform the region into a hotbed of grains and livestock for export and from 1975 to the production, too, from raw material for bioenergy.