单选题

The return on a commodity index is likely to be different from returns on the underlying commodities because:

A、 assets are not marked to market.
B、 data are subject to survivorship bias.
C、 indices are constructed using futures contracts.

【正确答案】 C

【答案解析】

C is correct. Since commodity indices are constructed using commodity futures and not the underlying commodities there can be differences between commodity index returns and the returns of the underlying commodities.