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Abnormal Returns in Gold and Silver Exchange-Traded
Funds

Michael J. Naylor, Udomsak Wongchoti and Chris Gianotti
The Journal of Beta Investment Strategies Fall 2011, 2 (2) 96-103; DOI: https://doi.org/10.3905/jii.2011.2.2.096
Michael J. Naylor
is a senior lecturer at the School of Economics & Finance at Massey University in Palmerston North, New Zealand.
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  • For correspondence: m.j.naylor@massey.ac.nz
Udomsak Wongchoti
is a senior lecturer at the School of Economics & Finance at Massey University in Palmerston North, New Zealand.
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  • For correspondence: j.wongchoti@massey.ac.nz
Chris Gianotti
works for the ANZ National Bank Ltd in Wellington, New Zealand.
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  • For correspondence: chris.gianotti@nbnz.co.nz
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Abstract

Exchange-traded funds (ETFs) are one of the fastest growing areas of financial markets and have significantly changed how investors construct their portfolios. We investigate the price efficiency of six commodity ETFs. Our most significant finding is that GLD (gold) and SLV (silver) have a small, but significant, risk-adjusted return at the 3% and 5% filter level, over a passive buy and hold. We also find that commodity EFTS have a low correlation with the S&P 500 and add to portfolio diversification.

TOPICS: Exchange-traded funds and applications, commodities, risk management, passive strategies

  • © 2011 Pageant Media Ltd
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The Journal of Index Investing: 2 (2)
The Journal of Beta Investment Strategies
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Fall 2011
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Abnormal Returns in Gold and Silver Exchange-Traded
Funds
Michael J. Naylor, Udomsak Wongchoti, Chris Gianotti
The Journal of Beta Investment Strategies Aug 2011, 2 (2) 96-103; DOI: 10.3905/jii.2011.2.2.096

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Abnormal Returns in Gold and Silver Exchange-Traded
Funds
Michael J. Naylor, Udomsak Wongchoti, Chris Gianotti
The Journal of Beta Investment Strategies Aug 2011, 2 (2) 96-103; DOI: 10.3905/jii.2011.2.2.096
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  • Article
    • Abstract
    • THE ETF MARKET
    • EFFICIENCY OF GOLD AND SILVER MARKETS
    • PRICE DEPENDENCE
    • ABNORMAL RISK-ADJUSTED RETURNS—CAPM
    • FILTER-TRADING RULES
    • REFERENCES
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  • PDF (Subscribers Only)

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