This paper compares the performance of sector ETFs to their respective S&P industry GICS sector index and to their identified benchmark. We have defined sector risk exposure as the sector specific risk that cannot be eliminated via the portfolio's diversification across the given sector. We...

This paper compares returns of ETFs holding physical commodities and ETFs holding derivative products to their respective spot commodity returns to identify significant performance differences based on the ETF assets. We regress ETF returns on spot commodity returns to estimate beta and R2...