The soybean crush spread: Empirical evidence and trading strategies

Abstract

This article finds that deviations of the soybean crush spread from its long-run equilibrium were transitory during the sample period from January 1985 through February 1995. This equilibrium is characterized by strong seasonality and by a persistent uptrend in soymeal and soyoil prices relative to soybean prices. A tendency also exists for the crush spread to revert toward its most recent 5-day average. Simulations demonstrate that trading rules based on these results would have been profitable. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 271–289, 1999

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