| Summary: | 碩士 === 國立東華大學 === 財務金融學系 === 101 === This paper investigates whether investors can improve their investment opportunity sets
through the addition of commodity exchange traded funds (ETFs) into various groupings of
benchmark portfolios from the perspective of US investors. Applying mean-variance spanning
tests, we analyzing the monthly return of commodity ETFs from January 2005 to December
2012 and find that adding commodity ETFs does not lead to a statistically significant
enlargement of the investment opportunity set for U.S. investors. However, U.S. investors can
utilize commodity ETFs to enhance their equity portfolio performance, as measured by the
Sharpe ratio. We further show that, for the subcategory diversification, gold and natural gas
enhance the portfolio performance in terms of both risk and return. Overall, the results
confirm that specific-commodity ETFs are valuable investments from the perspective of
diversification.
|
|---|
