{"title":"Trading commodity ETFs: Price behavior, investment insights, and performance analysis","authors":"Elroi Hadad, Davinder Malhotra, Srinivas Nippani","doi":"10.1002/fut.22509","DOIUrl":null,"url":null,"abstract":"<p>This study analyzes the risk-adjusted performance of commodity exchange-traded funds (ETFs) across diverse market conditions. Examining monthly returns from December 2004 to June 2022, our findings suggest that commodity ETFs underperformed US stocks, indicating limited diversification benefits. However, we document positive <i>α</i> during turbulent market periods like the COVID-19 crisis, signifying potential resilience. Furthermore, our factor regressions reveal that shifts in the global commodity price index and disposable personal income significantly influence commodity ETFs' excess returns, pointing to broader economic and income-related trends. Commodity ETFs exhibit lower Value-at-Risk and Expected Shortfall compared to stock market indices, indicating reduced downside risk exposure for investors. Given the increasing popularity of commodity ETFs, these insights hold substantial significance for market participants.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"44 7","pages":"1257-1276"},"PeriodicalIF":1.8000,"publicationDate":"2024-04-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.22509","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Futures Markets","FirstCategoryId":"96","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1002/fut.22509","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
This study analyzes the risk-adjusted performance of commodity exchange-traded funds (ETFs) across diverse market conditions. Examining monthly returns from December 2004 to June 2022, our findings suggest that commodity ETFs underperformed US stocks, indicating limited diversification benefits. However, we document positive α during turbulent market periods like the COVID-19 crisis, signifying potential resilience. Furthermore, our factor regressions reveal that shifts in the global commodity price index and disposable personal income significantly influence commodity ETFs' excess returns, pointing to broader economic and income-related trends. Commodity ETFs exhibit lower Value-at-Risk and Expected Shortfall compared to stock market indices, indicating reduced downside risk exposure for investors. Given the increasing popularity of commodity ETFs, these insights hold substantial significance for market participants.
期刊介绍：
The Journal of Futures Markets chronicles the latest developments in financial futures and derivatives. It publishes timely, innovative articles written by leading finance academics and professionals. Coverage ranges from the highly practical to theoretical topics that include futures, derivatives, risk management and control, financial engineering, new financial instruments, hedging strategies, analysis of trading systems, legal, accounting, and regulatory issues, and portfolio optimization. This publication contains the very latest research from the top experts.
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