If you’re looking for pie-in-the-sky ETF promises, Dave, you need look no further than your recent blog on the new Wildcat ETF.

In case you missed it, it’s available here.

It’s not that you’re completely off-base about the new Jefferies | TR/J CRB Wildcatters Exploration & Production Equity ETF (NYSEArca: WCAT) ETF. You get the facts right, and you are, as they say in the legal profession, “directionally correct.” But you get your nose so buried in statistics that you overlook common sense, and that’s where you come a cropper.

You write in your conclusion:

The first sentence is absolutely true. Like the junior gold miners ETF from Van Eck, WCAT is essentially a small-cap version of an established and popular large-cap ETF: the First Trust ISE Natural Gas ETF (NYSEArca: FCG).

That makes it useful. People interested in natural gas investing can use WCAT to move up the risk ladder when looking at natural gas equities. The fund should be more volatile and, assuming natural gas prices rise, deliver stronger returns over the long haul. You could even argue that it offers more of a pure-play on natural gas than FCG, since its components are more likely to be pure-play natural gas producers than conglomerated “oil & gas” companies.

But the idea that WCAT is simply a better mousetrap because it’s delivered a better Sharpe ratio over the past five years is short-sighted. The last five years has been an extraordinary period for the commodities industry, which by and large has had a tremendous wind at its back. Five years ago, oil cost less than $40 a barrel and had been sitting there for a number of years.

In a positive environment for commodities, it’s not surprising to me that a small-cap commodity equity index would have better risk-adjusted returns than a large-cap version.

In short, statistics are useful. But sometimes, you can lose the forest for the trees. In this case, the best way to understand WCAT is as a small-cap, more pure-play version of FCG. That could be a great way to go if you’re bullish on natural gas and/or expect a wave of consolidation in the natural gas space.

But the idea that it’s somehow a better mousetrap strikes me as foolish. If commodities take a prolonged step back, the risk inherent in something like WCAT will make itself known.