Skip to main navigation menu Skip to main content Skip to site footer
Repositorio de la Red Internacional de Investigadores en Competitividad

Finanzas cadena de suministro y emprendimiento

Vol. 19 (2025): La IA y el futuro digital construyendo el camino hacia un mundo sostenible y competitivo 978-84-10470-93-4

Mexican white corn spot price replication with a U.S. agricultural futures portfolio for food security management

Submitted
October 31, 2025
Published
2025-11-11

Abstract

El presente trabajo demuestra que una cartera de futuros compuesta por 51.7% de maíz y 48.3% de trigo resuelve la ineficaz cobertura del contrato de maíz del CME para el maíz blanco mexicano. Dicho portafolio, seleccionado entre más de 1,013 combinaciones, alcanza una efectividad de cobertura de 0.6180. Su viabilidad fue confirmada mediante un backtest que abarcó desde el año 2000 hasta 2025, el cual arrojó una ganancia simulada de 5.77 MXN por kilo para un vendedor que utilizara esta estrategia. Los resultados proponen esta cartera como una herramienta financiera novedosa para que el gobierno o instituciones financieras puedan ofrecer precios de garantía a productores, fortaleciendo así la seguridad alimentaria de México.

References

  1. Achelis, S. (2001). Technical analysis from A to Z. Mc Graw-Hill.
  2. Alexander, C. (1999). Optimal Hedging Using Cointegration. Philosophical Transactions: Mathematical, Physical and Engineering Sciences, 357(1758), 2039–2058. https://doi.org/10.1098/rsta.1999.0416
  3. Alexander, C., & Dimitriu, A. (2005). Indexing, cointegration and equity market regimes. International Journal of Finance & Economics, 10(3), 213–231. https://doi.org/10.1002/ijfe.261
  4. Ayala-Garay, A. V., Espitia-Rangel, E., Almaguer-Vargas, G., Buendía-Ayala, B. L., & Marín-Vázquez, E. (2024). Factors affecting the profitability of wheat production in the states of Guanajuato and Nuevo Leon, Mexico. Agro Productividad. https://doi.org/10.32854/agrop.v17i4.2666
  5. Barrera, G., Cañón, A., & Sánchez, J. C. (2020). Managing colombian farmers price risk exposure with electrical derivatives market. Heliyon, 6(12), e05713. https://doi.org/10.1016/j.heliyon.2020.e05713
  6. Barrios-Puente, G., Galván-Manuel, O., Pérez-Soto, F., Sangerman-Jarquín, D. M., & García-Sánchez, R. C. (2022). Cobertura de precios para el café, utilizando el mercado de futuros. Revista Mexicana de Ciencias Agrícolas, 13(6), 1147–1154. https://doi.org/10.29312/remexca.v13i6.3313
  7. CME. (2025). Grain and Oilseed futures and options - CME Group. https://www.cmegroup.com/markets/agriculture/grain-and-oilseed.html
  8. Commodity Futures Trading Commission. (2025). Commitments of Traders | CFTC. Commitments of Traders. https://www.cftc.gov/MarketReports/CommitmentsofTraders/index.htm
  9. Cruz-Herrera, K. L., Alcalá, R. V., Damián, M. Á. M., Castillo, J. M. C., Herrera, K. L. C., Alcalá, R. V.,
  10. Damián, M. Á. M., & Castillo, J. M. C. (2021). Autosuficiencia alimentaria en México: precios de garantía versus pagos directos al productor. Revista mexicana de ciencias agrícolas, 12(6), 981–990. https://doi.org/10.29312/remexca.v12i6.2533
  11. Dickey, D. A., & Fuller, W. A. (1979). Distribution of the Estimators for Autoregressive Time Series With a Unit Root. Journal of the American Statistical Association, 74(366), 427–431.
  12. Ederington, L. H. (1979). The Hedging Performance of the New Futures Markets. The Journal of Finance, 34(1), 157–170. https://doi.org/10.2307/2327150
  13. Elam, E. W., Miller, S. E., & Holder, S. H. (1986). Simple and Multiple Cross-Hedging of Rice Bran. Southern Journal of Agricultural Economics, 18(1), 123–128. https://doi.org/10.1017/s0081305200005422
  14. Engle, R. F., & Granger, C. W. J. (1987). Co-Integration and Error Correction: Representation, Estimation, and Testing. Econometrica, 55(2), 251. https://doi.org/10.2307/1913236
  15. Erasmus, M. C., & Geyser, J. M. and. (2024). Comparative analysis of futures contract cross-hedging effectiveness for soybean: models and insights. Agrekon, 63(4), 319–336. https://doi.org/10.1080/03031853.2024.2401787
  16. FAO. (2024). FAOSTAT. Statistics. https://www.fao.org/statistics/es/
  17. Goswami, A., Karali, B., & Adjemian, M. K. (2023). Hedging with futures during nonconvergence in commodity markets. Journal of Commodity Markets, 32, 100364. https://doi.org/10.1016/j.jcomm.2023.100364
  18. Grinold, R. C. (1998). The fundamental law of active management (Spring 1989). In ["Peter L. Bernstein" & "Frank J. Fabozzi"] (Eds.), Streetwise (p. 161). Princeton University Press; JSTOR. https://doi.org/10.2307/j.ctv1mjqtwg.23
  19. Johnson, L. L. (1960). The Theory of Hedging and Speculation in Commodity Futures1. The Review of Economic Studies, 27(3), 139–151. https://doi.org/10.2307/2296076
  20. Kamdem, J. S., & Moumouni, Z. (2020). Comparison of Some Static Hedging Models of Agricultural Commodities Price Uncertainty. Journal of Quantitative Economics, 18(3), 631–655. https://doi.org/10.1007/s40953-020-00206-y
  21. Kumar, B., & Pandey, A. (2011). Role of Indian Commodity Derivatives Market in Hedging Price Risk: Estimation of Constant and Dynamic Hedge Ratio, and Hedging Effectiveness. The Indonesian Capital Market Review, 3(1). https://doi.org/10.21002/icmr.v3i1.3624
  22. Kwiatkowski, D., Phillips, P. C. B., Schmidt, P., & Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root? Journal of Econometrics, 54(1), 159–178. https://doi.org/10.1016/0304-4076(92)90104-y
  23. Lefebvre, W., Loeper, G., & Pham, H. (2020). Mean-Variance Portfolio Selection with Tracking Error Penalization. Mathematics, 8(11), 1915. https://doi.org/10.3390/math8111915
  24. Markowitz, H. (1959). Portfolio selection. Efficient diversification of investments. Yale University Press.
  25. Martínez-Cuero, J. (2021). Retos y oportunidades del programa Precios de Garantía a Productos Alimentarios Básicos (Pgab). In Las políticas y los programas públicos en el marco del gobierno de la 4T en México (pp. 121–148). Universidad Autónoma Metropolitana.
  26. https://casadelibrosabiertos.uam.mx/gpd-politicas-y-los-programas-publicos-en-el-marco-del-gobierno-de-la-4t-en-mexico-las.html
  27. Myers, R. J., & Thompson, S. R. (1989). Generalized Optimal Hedge Ratio Estimation. American Journal of Agricultural Economics, 71(4), 858–868. https://doi.org/10.2307/1242663
  28. Ortiz-Arango, F., & Montiel-Guzmán, A. N. (2017). Transmisión de precios futuros de maíz del Chicago Board of Trade al mercado spot mexicano. Contaduría y Administración, 62(3), 924–940. https://doi.org/10.1016/j.cya.2016.01.004
  29. Penone, C., Giampietri, E., & Trestini, S. (2021). Hedging Effectiveness of Commodity Futures Contracts to Minimize Price Risk: Empirical Evidence from the Italian Field Crop Sector. Risks, 9(12), 213. https://doi.org/10.3390/risks9120213
  30. Phillips, P. C. B., & Ouliaris, S. (1990). Asymptotic Properties of Residual Based Tests for Cointegration. Econometrica, 58(1), 165. https://doi.org/10.2307/2938339
  31. Phillips, P., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335–346. https://doi.org/10.1093/biomet/75.2.335
  32. Refinitiv. (2025). Refinitiv Eikon. https://eikon.refinitiv.com/
  33. Roll, R. (1992). A Mean/Variance Analysis of Tracking Error. The Journal of Portfolio Management, 18(4), 13–22. https://doi.org/10.3905/jpm.1992.701922
  34. Sanders, D. R., & Manfredo, M. R. (2002). The white shrimp futures market: Lessons in contract design and marketing. Agribusiness, 18(4), 505–522. https://doi.org/10.1002/agr.10035
  35. Secretary of Economy. (2025). SNIIM - National Markets Information and Integration System. National Markets - Basic Grains. http://www.economia-sniim.gob.mx/nuevo/Home.aspx?opcion=Consultas/MercadosNacionales/PreciosDeMercado/Agricolas/ConsultaGranos.aspx?SubOpcion=6|0
  36. Silva, J. M. T., Velázquez, S. V., Ávila, J. H., & Demetrio, W. G. (2022). Participación social y políticas públicas para el abastecimiento de alimentos básicos en México. Revista de El Colegio de San Luis, 12(23), 1–38. https://doi.org/10.21696/rcsl122320221427
  37. Stein, J. L. (1961). The Simultaneous Determination of Spot and Futures Prices. The American Economic Review, 51(5), 1012–1025. https://www.jstor.org/stable/1813846
  38. Torre-Torres, O. V. D. la, Río-Rama, M. de la C. del, & José, Á.-G. (2024). Non-Commodity Agricultural Price Hedging with Minimum Tracking Error Portfolios: The Case of Mexican Hass Avocado. Agriculture, 14(10), 1692. https://doi.org/10.3390/agriculture14101692
  39. Troncoso-Sepúlveda, R., & Cabas-Monje, J. (2019). Factibilidad del uso de contratos de futuros del Chicago Mercantile Exchange para la cobertura del riesgo de precio en el ganado bovino chileno. Lecturas de Economía, 90, 9–44. https://doi.org/10.17533/udea.le.n90a01
  40. Waring, M. B. (2004a). Liability-Relative Investing. The Journal of Portfolio Management, 30(4), 8–20. https://doi.org/10.3905/jpm.2004.8
  41. Waring, M. B. (2004b). Liability-Relative Investing II. The Journal of Portfolio Management, 31(1), 40–53. https://doi.org/10.3905/jpm.2004.443318
  42. Working, H. (1934). A Random-Difference Series for Use in the Analysis of Time Series. Journal of the American Statistical Association, 29(15), 11–24.
  43. Working, H. (1953). Futures trading and hedging. The American Economic Review, 43(3), 314–343. https://doi.org/10.1016/0306-9192(78)90095-7
  44. Working, H. (1962). New Concepts Concerning Futures Markets and Prices Holbrook Working The American Economic Review, Vol. 52, No. 3. (Jun., 1962), pp. 431-459. The American Economic Review, 42(3), 431–459. https://www.jstor.org/stable/1914480
  45. WTO. (1994a). Agreement on agriculture. https://www.wto.org/english/docs_e/legal_e/ag_e.htm
  46. WTO. (1994b). WTO | Agriculture - backgrounder - domestic support boxes. Domestic Support in Agriculture. https://www.wto.org/english/tratop_e/agric_e/agboxes_e.htm
  47. WTO. (1994c). WTO | legal texts - Marrakesh agreement. Legal Texts. https://www.wto.org/English/docs_e/legal_e/04-wto_e.htm
  48. Ziegelbäck, M., & Kastner, G. (2013). Arbitrage hedging in markets for the US lean hogs and the EU live pigs. Agricultural Economics (Zemědělská Ekonomika), 59(11), 505–511. https://doi.org/10.17221/14/2013-agricecon

Most read articles by the same author(s)

> >>