Reconstructed commodity ETFs

Commodity history (gold, silver, oil, industrial metals) is extended with monthly spot series, where no UCITS ETF has sufficient history.

Monthly spot prices

For each commodity, one or more spot sources are selected from public series: central banks, international bodies and other open data sources. USD prices are converted to euro at the end-of-month exchange rate.

Equal-weight basket

The Commodities basket in the catalogue combines several spot series at equal weight, to give a diversified commodity proxy rather than a single raw material.

The limit of spot: contango

This is the most important difference between the reconstructed series and a real ETF, and it's worth understanding before drawing conclusions from a commodity backtest.

A spot price is the price for immediate delivery. A commodity ETF, though, doesn't keep oil or copper in a warehouse: it buys futures contracts and rolls them at expiry. That roll has a cost, or a gain.

• In contango (futures priced above spot) the roll sells low and buys high: you lose a little each time. This is the more common condition for storable commodities.
• In backwardation the opposite happens and the roll adds return.

Over long horizons roll return can matter more than the price move itself. A spot series doesn't contain it, so it tends to be optimistic relative to a real commodity ETF.

Rule of thumb. For gold, silver and some metals the gap is small, low storage costs and flat curves. For oil, natural gas and agricultural commodities the difference between spot and ETF can be substantial: read those backtests as an indication of direction, not as an estimate of the return you would have achieved.

Why gold is the exception

Gold is where spot reconstruction works best: physical ETCs actually hold it in vaults, so there's no roll to pay, only custody costs already included in the TER. The euro spot series is therefore a very close proxy for the real product.