Hedging in grain futures markets offers market participants the opportunity to mitigate the price risk in spot markets by taking offsetting positions in futures. The performance of a traditional minimum variance hedge ratio (MVHR) relies on the correlation between the spot and futures price changes. During 2005–2010, delivery-location cash prices for several crops decoupled from the prices for their related expiring futures contracts—raising concerns over the hedging effectiveness of these contracts. We investigate how short hedgers, like farmers, performed during periods with and without convergence in corn, soybean, and wheat markets. We show that, ex post, MVHR, often does not minimize the variance of wheat producers’ profits during nonconvergence when compared to a range of other hedging choices. We also find that the performance of MVHR weakens during years with low carryover. We further assess hedging performance of MVHR and other hedge ratios in achieving higher net selling prices, and find that nonconvergence particularly impairs their performance in the wheat market where the nonconvergence anomaly was the most prominent. Taken together, our results raise questions on the role of futures markets as risk management tools during nonconvergence episodes regardless of how the hedge ratio is chosen.

粮食期货市场的套期保值为市场参与者提供了通过在期货中采取抵消头寸来减轻现货市场价格风险的机会。传统的最小方差对冲比率（MVHR）的表现依赖于现货和期货价格变化之间的相关性。2005 年至 2010 年期间，多种作物的交割地点现金价格与其相关到期期货合约的价格脱钩，引发了人们对这些合约的套期保值有效性的担忧。我们研究了农民等空头套期保值者在玉米、大豆和小麦市场趋同和未趋同时期的表现。我们表明，与一系列其他对冲选择相比，事后MVHR 通常不会最小化非收敛期间小麦生产者利润的方差。我们还发现，MVHR 的性能在结转率较低的年份会减弱。我们进一步评估了 MVHR 和其他对冲比率在实现更高净售价方面的对冲表现，发现不收敛尤其损害了它们在小麦市场的表现，而小麦市场的不收敛异常最为突出。综上所述，我们的结果对期货市场在非收敛时期作为风险管理工具的作用提出了质疑，无论对冲比率如何选择。