Commodities

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Risks

Role in a portfolio

Commodity spot prices, as an asset class, do not generate a real return. Commodity mutual funds and ETF's invest in futures contracts that derive excess returns over the risk free rate of return from two sources:

  1. Changes in futures prices
  2. The roll yield—which can be either positive or negative—that results from replacing an expiring contract with a further out contract in order to avoid physical delivery yet maintain positions in the futures markets. [1]


Table 1. Commodity Index Returns [2]


(view Google Spreadsheet in browser or download as xls, ods, or pdf)


Funds

Open-ended mutual funds

ETFs

ETNs

References

  1. Putting Momentum into Commodities, by Paul D. Kaplan, Morningstar, 10/14/2011
  2. Data sources
    Commodities Periodic Returns Table 2006-2010
    Dow Jones Commodity Index factsheets
    iShares S&P GSCI(R)Commodities Index ETF

External links

Articles

Bibliography

White papers
Academic papers