Professionally Managed, Publicly Traded Commodity Funds

Abstract

Investment in professionally-managed, publicly-traded commodity funds has grown rapidly in recent years. This is the first comprehensive study of the performance of these funds. It is found that randomly selected funds offer neither an attractive alternative to bonds nor a profitable addition to a portfolio of stocks and bonds. Furthermore, past performance of these funds offers very little information about future performance. The findings may be explained by the large transactions costs incurred by these funds and their primary reliance on technical analysis. Copyright 1987 by the University of Chicago.