This paper evaluates an instance of large-scale hedging misfortune in the Australian sugar industry. A single corporation, known as Queensland Sugar Limited (QSL), was responsible for selling the entire volume of sugar exported from Australia. In 2010, QSL incurred over $100 million (2010 AUD) in hedging losses when harvest volumes were below expectations due to heavy La Niña rainfall. Sugar prices rose, and QSL was over-hedged. We quantify the price and production risks faced by Queensland sugar millers, using data that was available at the time. Based on these estimates, we calibrate a mean-variance hedging model to determine QSL's optimal pre-harvest commitment of sugar. We find that QSL should have pre-committed no more than 51% of its expected supply prior to harvest. Under this strategy, QSL would have incurred zero hedging losses in 2010. Speculation by QSL came at the great peril of the Australian sugar growers.

本文评估了澳大利亚制糖业大规模套期保值不幸的一个例子。一家名为昆士兰糖业有限公司（QSL）的公司负责销售从澳大利亚出口的全部糖分。2010年，由于拉尼娜大雨导致收成量低于预期，QSL的套期保值损失超过1亿美元（2010澳元）。食糖价格上涨，QSL被套期保值。我们使用当时可用的数据来量化昆士兰制糖厂面临的价格和生产风险。基于这些估计，我们校准均值方差对冲模型，以确定QSL的最佳收割前糖承诺。我们发现，QSL在收获前应已预先承诺其预期供应量不超过其预期供应量的51％。在这种策略下，QSL的收益为零 2010年套期保值亏损。QSL的投机行为是澳大利亚制糖厂的巨大风险。