ETP tracking of U.S. agricultural and energy markets

IF 3.7 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets Pub Date : 2023-09-01 DOI:10.1016/j.jcomm.2023.100344

Shamar L. Stewart , Olga Isengildina Massa , Colburn Hassman , Maximo de Leon

引用次数: 1

Abstract

This study assesses the tracking performance of several futures-backed commodity exchange-traded funds (ETFs), single commodity exchange-traded notes (ETNs), and commodity sector ETNs relevant to agricultural market participants. We decompose total tracking errors into managerial and arbitrage components. Our findings reveal that the arbitrage process is the primary driver of observed tracking errors. ETNs tend to exhibit much larger tracking errors than ETFs. The tracking performance was not substantially different across agricultural and energy ETFs nor across single commodity and commodity sector ETNs. Using a GARCH model, the study reveals greater persistence of tracking errors for ETNs than ETFs. Roll dates do not significantly affect the volatility of tracking errors. On the other hand, trading volume, lagged ETF price volatility, and broad market volatility may result in poorer ETF tracking performance.

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ETP对美国农业和能源市场的跟踪

本研究评估了与农业市场参与者相关的几种期货支持商品交易所交易基金（ETF）、单一商品交易所交易票据（ETN）和商品部门ETN的跟踪性能。我们将总跟踪误差分解为管理和套利成分。我们的研究结果表明，套利过程是观测到的跟踪误差的主要驱动因素。ETN往往比ETF表现出更大的跟踪误差。农业和能源ETF以及单一商品和大宗商品部门ETF的跟踪表现没有实质性差异。使用GARCH模型，该研究揭示了ETN比ETF更持久的跟踪误差。滚动日期不会显著影响跟踪误差的波动性。另一方面，交易量、滞后的ETF价格波动和广泛的市场波动可能会导致ETF跟踪性能较差。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Commodity Markets Multiple-

CiteScore

5.70

自引率

2.40%

发文量

期刊介绍： The purpose of the journal is also to stimulate international dialog among academics, industry participants, traders, investors, and policymakers with mutual interests in commodity markets. The mandate for the journal is to present ongoing work within commodity economics and finance. Topics can be related to financialization of commodity markets; pricing, hedging, and risk analysis of commodity derivatives; risk premia in commodity markets; real option analysis for commodity project investment and production; portfolio allocation including commodities; forecasting in commodity markets; corporate finance for commodity-exposed corporations; econometric/statistical analysis of commodity markets; organization of commodity markets; regulation of commodity markets; local and global commodity trading; and commodity supply chains. Commodity markets in this context are energy markets (including renewables), metal markets, mineral markets, agricultural markets, livestock and fish markets, markets for weather derivatives, emission markets, shipping markets, water, and related markets. This interdisciplinary and trans-disciplinary journal will cover all commodity markets and is thus relevant for a broad audience. Commodity markets are not only of academic interest but also highly relevant for many practitioners, including asset managers, industrial managers, investment bankers, risk managers, and also policymakers in governments, central banks, and supranational institutions.