Commodity Mutual Funds

15 Mar 2018 - Gustavo Camilo

Artículo publicado en libro describiendo los fondos mutuos con objetivo de inversión en los commodities, analizando los activos en los que invierten y sus rentabilidades históricas. Determinamos que estos fondos mutuos, al invenrtir en acciones de compañías cuyas lineas de negocios sean relacionadas a commodities y no invierten en los commodities en sí, no le otorgan a los inversionistas una exposición al sector commmodities pura, y resumimos que desempeño histórico de estos fondos ha sido pobre y volátil, sin ofrecer alta diversificación.


The chapter describes the main institutional features of commodity mutual funds, including active management, the assets in which these funds invest, the process through which shares are bought and sold, the fees borne by investors, as well as the risks associated with investing in the funds. It also examines trends in fund flows and the correlations to commodity returns. Correlations to commodity returns are positive but lower than those of commodity exchange-traded funds that invest directly in underlying commodities, as opposed to commodity mutual funds, which invest largely in equities. Lastly, the chapter examines data on fees and net-of-expense commodity mutual fund performance between 1996 and 2016. The data show a decline in fund expense ratios over time, with the exception of large funds, negative average risk-adjusted performance using a four-factor model, and evidence consistent with lack of persistence in fund returns over the sample period.