THE PERFORMANCE OF THE UNITED STATES COMMODITY FUND

Abstract

This study analyses 51 US commodity funds using the Sharpe, Treynor, and Jensen technique. The Jensen ratio is the most effective when comparing commodity funds and fund prices to the Bloomberg Commodity Index and 13-week Treasury bills. Both funds underperformed T-bills but outperformed the Bloomberg Commodity Index. Treynor beat expectations. Largest Sharpe ratio may suggest best asset management performance, but it's bad for funds. A negative alpha portfolio hasn't hit its minimal return, using the Jensen ratio. Fluctuating prices may hurt the portfolio's performance.