["International Journal of Finance &Economics, EarlyView. ", "\nABSTRACT\nThis article examines the risk properties of freight‐derivative‐based exchange‐traded funds (ETFs), focusing on the Breakwave Dry Bulk Shipping ETF (BDRY), and evaluates the accuracy of Value‐at‐Risk (VaR) and Expected Shortfall (ES) forecasts across a range of econometric models. Motivated by the growing financialisation of shipping markets and the emergence of ETFs as accessible freight‐risk instruments, the study addresses a gap in the literature, which has largely focused on physical freight rates and derivatives rather than securitised exposures. Using daily data from 2020 to 2025, we implement Historical Simulation, GARCH‐type models with alternative distributions, Extreme Value Theory, and forecast combination methods, and assess performance using regulatory backtesting frameworks. The results show that models incorporating time‐varying volatility and heavy‐tailed distributions outperform simpler specifications, while forecast combination approaches consistently deliver strong performance across VaR and ES measures. ES forecasting remains particularly challenging, especially at extreme confidence levels, highlighting significant model risk. Evidence from stylised investment strategies confirms the economic value of accurate tail‐risk measurement. The findings have important implications for portfolio management and financial regulation, supporting the use of model averaging and robust backtesting in the context of derivative‐based ETFs and Basel III/IV risk frameworks.\n"]