PT  - JOURNAL ARTICLE
AU  - Michael J. Naylor
AU  - Udomsak Wongchoti
AU  - Chris Gianotti
TI  - Abnormal Returns in Gold and Silver Exchange-Traded<br/>Funds
AID  - 10.3905/jii.2011.2.2.096
DP  - 2011 Aug 31
TA  - The Journal of Index Investing
PG  - 96--103
VI  - 2
IP  - 2
4099  - https://pm-research.com/content/2/2/96.short
4100  - https://pm-research.com/content/2/2/96.full
AB  - Exchange-traded funds (ETFs) are one of the fastest growing areas of financial markets and have significantly changed how investors construct their portfolios. We investigate the price efficiency of six commodity ETFs. Our most significant finding is that GLD (gold) and SLV (silver) have a small, but significant, risk-adjusted return at the 3% and 5% filter level, over a passive buy and hold. We also find that commodity EFTS have a low correlation with the S&P 500 and add to portfolio diversification.TOPICS: Exchange-traded funds and applications, commodities, risk management, passive strategies