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Contribution Details

Type Bachelor's Thesis
Scope Discipline-based scholarship
Title Commodity ETFs from an Investor's Perspective
Organization Unit
Authors
  • Marco Helfenberger
Supervisors
  • Thorsten Hens
Institution University of Zurich
Faculty Faculty of Economics, Business Administration and Information Technology
Date 2011
Abstract Text This study tries to exhibit today's new term structure of commodity futures prices and how it affects long only passive investment products, especially Exchange Traded Commodities. Therefore, trying to replicate the nature of ETCs, a long only commodity futures index was computed and analyzed over the time period from 2006 up until 2011, confirming the new negative trend of returns on long only commodity futures strategies. After highlighting the benefits and risks of commodity investing, we focused on the analysis of the three return components of commodity futures indexes, especially the roll yield, which turned out to be the main reason for ETCs underperforming the spot prices of commodities.
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