Abnormal Returns in Gold and Silver Exchange-TradedFunds

Abstract

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.