Is the tracking error time-varying? Evidence from agricultural ETCs

Performance and Tracking Efficiency of Commodity Etfs in the Uk

“…However, in most cases, they underperform both the benchmarks and their physical counterparts. Furthermore, Perera et al (2022) note that the replication method, along with the volatility in the prices of the underlying commodities, can affect the tracking ability of agricultural ETFs. They also show that the tracking error of these ETFs is not trivial, but it does not last very long.…”