RT Journal Article
SR Electronic
T1 Abnormal Returns in Gold and Silver Exchange-Traded<br/>Funds
JF The Journal of Index Investing
FD Institutional Investor Journals
SP 96
OP 103
DO 10.3905/jii.2011.2.2.096
VO 2
IS 2
A1 Michael J. Naylor
A1 Udomsak Wongchoti
A1 Chris Gianotti
YR 2011
UL https://pm-research.com/content/2/2/96.abstract
AB 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&amp;P 500 and add to portfolio diversification.TOPICS: Exchange-traded funds and applications, commodities, risk management, passive strategies