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Expected returns on commodity ETFs and their underlying assets

Author

Listed:
  • Cortazar, Gonzalo
  • Ortega, Hector
  • Santa Maria, Joaquin
  • Schwartz, Eduardo S.

Abstract

This paper proposes a new way of estimating ETFs' expected returns. Instead of using traditional CAPM-like expected return models on ETFs' market prices, it consists of implementing ETFs' investment strategy on the underlying assets and using these assets' pricing models to estimate the expected returns on the ETFs. The hypothesis is that whenever valuable knowledge is available on the underlying asset returns, this information can be helpful when estimating expected ETF returns.

Suggested Citation

  • Cortazar, Gonzalo & Ortega, Hector & Santa Maria, Joaquin & Schwartz, Eduardo S., 2024. "Expected returns on commodity ETFs and their underlying assets," Journal of Commodity Markets, Elsevier, vol. 36(C).
    • Handle: RePEc:eee:jocoma:v:36:y:2024:i:c:s2405851324000588
    DOI: 10.1016/j.jcomm.2024.100439
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