Degree Name
Master of Science
Department or Program
Agribusiness Economics
Advisor
Dwight R. Sanders
Abstract
Commodities ETFs have became popular investments since first introduced in the market. This type of funds provide investors a simple way to gain exposure to commodities, and these types of funds are considered as an asset class to diversify investment portfolios and as a hedge against economic recessions. With more capital invested in commodities ETFs by investors, argument about the efficiency in commodity ETF market are heated debate by economists. This paper developed a reasonable method to explore persistence in commodity ETFs. 30 commodities ETFs, which ranked high in terms of large assets, are selected during the period of 2008 to 2013. The pair-wised t-test results shows neither persistence nor reversal in commodity ETF returns for both short-term and long-term. The correlation indicates in general there exist high correlation among different ranking mix over different time frames. We conclude that there is no persistence in commodity ETF performance and the commodity ETF market is efficient.