We compare the volatility and efficiency of roll methods of 5 index providers across 15 individual commodity indexes to naïve rolling (rolling from nearest futures contract on its expiration date to the second nearest – “continuous futures series”). For all series and all providers, the...

This study analyzes a surrogate investment strategy by using a developed market as a possible candidate for investment in developing markets. It examines the markets of Spain and four Latin American countries: Argentina, Brazil, Mexico and Chile. Both short-run and long-run relationships are...

This study investigates whether country effects or regional effects are prominent in iShares and country funds that trade in the US. iShares and country funds from three European and three Asian countries are investigated for possible long run and short-run relationships among iShares and...

This study employs five commonly used methods to estimate tracking errors between iPath Exchange Traded Notes (ETNs) and their respective indexes. Commodity ETNs perform well in tracking their respective indexes. This performance is not dependent on whether the ETN tracks a single commodity...