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The Performance Of Agricultural Market Advisory Services In Marketing Wheat

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  • Jirik, Mark A.
  • Irwin, Scott H.
  • Good, Darrel L.
  • Jackson, Thomas E.
  • Martines-Filho, Joao

Abstract

The purpose of this paper is to investigate the performance of agricultural market advisory services in marketing wheat. Two key performance questions are addressed: 1) Do market advisory services, on average, outperform an appropriate wheat market benchmark? and 2) Do market advisory services exhibit persistence in their wheat performance from year-to-year? Market advisory service recommendations for wheat are available from the AgMAS Project for the 1995, 1996, 1997 and 1998 marketing years. At least 20 advisory programs are included for each year. Tests of pricing performance relative to a market benchmark are based on the proportion of programs exceeding the benchmark price and the average percentage difference between the net price of advisory programs and the benchmark price. In statistical terms, the pricing performance test results are clear. Not only do market advisory programs in wheat consistently fail to "beat the market," their performance is significantly worse than the market. The level of under-performance is striking and consistent, with the proportion of programs above market benchmarks for the four-year period ranging from 0.34 to 0.38. Estimates of the four-year average return relative to market benchmarks range from -9.61 to -10.48 percent. Tests of predictability are based on the correlation of performance measures for overlapping and non-overlapping adjacent marketing years. In general, the predictability results provide little evidence that future advisory program pricing performance can be usefully predicted from past performance. On average, correlations are positive for overlapping years (e.g. 1995 vs. 1996). However, correlations tend to be negative for non-overlapping years (e.g. 1995 vs. 1997), which implies that producers selecting top-performing programs based on a given year, and expecting them to continue to be top-performing funds, would actually experience just the opposite result.

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Bibliographic Info

Paper provided by NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management in its series 2000 Conference, April 17-18 2000, Chicago, Illinois with number 18928.

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Date of creation: 2000
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Handle: RePEc:ags:ncrtci:18928

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Web page: http://www.agebb.missouri.edu/ncrext/ncr134/

Related research

Keywords: wheat; market advisory service; benchmark; market efficiency; pricing performance; predictability; Crop Production/Industries; Marketing;

References

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  1. Ritter, Jay R, 1991. " The Long-run Performance of Initial Public Offerings," Journal of Finance, American Finance Association, vol. 46(1), pages 3-27, March.
  2. Judith Chevalier & Glenn Ellison, 1996. "Are Some Mutual Funds Managers Better Than Others? Cross-Sectional Patterns in Behavior and Performance," NBER Working Papers 5852, National Bureau of Economic Research, Inc.
  3. Good, Darrel L. & Irwin, Scott H. & Jackson, Thomas E., 1998. "Development Of A Market Benchmark Price For Agmas Performance Evaluations," AgMAS Project Research Reports 14783, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
  4. Jirik, Mark A. & Irwin, Scott H. & Good, Darrel L. & Jackson, Thomas E. & Jirik, Mark A. & Martines-Filho, Joao, 2000. "The 1995 Through 1998 Pricing Performance Of Market Advisory Services For Wheat," AgMAS Project Research Reports 14777, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
  5. Carl R. Zulauf & Scott H. Irwin, 1997. "Market Efficiency and Marketing to Enhance Income of Crop Producers," Finance 9711004, EconWPA.
  6. Andrew Metrick, 1998. "Performance Evaluation with Transactions Data: The Stock Selection of Investment Newsletters," NBER Working Papers 6648, National Bureau of Economic Research, Inc.
  7. Good, Darrel L. & Irwin, Scott H. & Jackson, Thomas E. & Jirik, Mark A. & Martines-Filho, Joao, 2000. "1998 Pricing Performance Of Market Advisory Services For Corn And Soybeans," AgMAS Project Research Reports 14793, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
  8. Schroeder, Ted C. & Parcell, Joseph L. & Kastens, Terry L. & Dhuyvetter, Kevin C., 1998. "Perceptions Of Marketing Strategies: Producers Versus Extension Economists," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 23(01), July.
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Cited by:
  1. Vergara, Oscar & Coble, Keith H. & Hudson, Darren & Knight, Thomas O. & Patrick, George F. & Baquet, Alan E., 2005. "Target Markets for Grain and Cotton Marketing Consultants and Market Information Systems," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 30(01), April.

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