GNR Instead of DBC in SACEMS?

A subscriber proposed substituting SPDR S&P Global Natural Resources ETF (GNR) for Invesco DB Commodity Index Tracking Fund (DBC) as a proxy for commodities in the Simple Asset Class ETF Momentum Strategy (SACEMS). GNR holds stocks of relatively large firms engaged in natural resources and commodities businesses. DBC holds a range of commodity futures contracts. To investigate, we run SACEMS since June 2006 but substitute GNR for DBC as soon as GNR becomes available in September 2010 (dovetailing with older data). Using dividend-adjusted closing prices for SACEMS asset class proxies and GNR and the yield for Cash during February 2006 (per tracked SACEMS) through April 2022, we find that: (more…)