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Abstract

Exchange Traded Funds are growing in popularity and volume, however academic literature related to their performance is limited. This study analyzes how well the CORN, WEAT, SOYB, USO, and UGA commodity ETFs track their respective futures assets during the period of January 2012 to October 2017. Results indicate that tracking error is small on average, however CORN shows average excess returns significantly smaller than zero. The CORN, WEAT, USO, and UGA ETFs are found to move less aggressively than the respective asset baskets they track. While errors were small on average, large tracking errors were present across ETFs. The size of errors was affected by large price moves, as well as seasonality on a monthly and yearly level. USDA reports impacted the size of errors for CORN, WEAT and SOYB while EIA reports had no impact on error size. The mispricing analysis concluded that CORN and SOYB trade at a discount to Net Asset Value on average while WEAT trades at a premium.

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