The Performance of Commodity ETFs in the United States

This article examines the performance of US commodity ETFs using data for a sample of 40 funds over the period 2014–23. We consider daily, weekly, monthly, and annual returns, both raw and excess, against Gold, Oil, and the S&P 500 Index. We also examine return persistence and the ability of commodity ETFs to achieve positive alphas against the selected benchmarks. Based on our analysis, the average raw return of commodity ETFs was slightly positive during the examined period. However, the excess return against the selected benchmarks was negative for the majority of the examined ETFs. In addition, performance did not seem to persist for most of the sample's ETFs even though monthly returns displayed some sort of persistence for about 40% of funds. Going further, commodity ETFs cannot achieve any material alpha.