Commodity leveraged ETFs: Tracking errors, volatility decay and trading strategies

Tracking performance of ETFs is examined, with a focus on volatility decay

Chart volatility

The advent of commodity exchange-traded funds (ETFs) has provided both institutional and retail investors with new ways to gain exposure to a wide array of commodities, including precious metals, agricultural products, and oil and gas. All commodity ETFs are traded on exchanges like stocks, and many have very high liquidity. For example, the SPDR Gold Trust ETF (GLD), which tracks the daily London gold spot price, is the most traded commodity ETF, with an average trading volume of 8 million shar