ABSR Metals Index™

SECTOR: Metals  ⁄  STRATEGY: Passive, altBeta  ⁄  BASE WEIGHT METHOD: Balanced  ⁄ REBALANCE FREQUENCY: Quarterly  ⁄  ROLL METHOD: ABSR Dynamic  ⁄ DATA INCEPTION: Jan 2, 1997  ⁄  DATA LIVE: Jan 11, 2018

ABSR Research LogoABSR's Metals Index is a rules based "altBeta" index designed to represent a balanced basket of liquid metals commodities. Three component indices Gold, Silver, and Copper make up the construction of the index.  The ABSR Metals Index employs a proprietary next generation dynamic roll methodology to mitigate the cost of carry in periods of market contango and maximize yield pickup during periods of normal backwardation. Contract roll selection is determined at each front month roll period through a process of "finance carry" evaluation. Unique to the index is contracts included in the selection process include contracts both forward to and behind the current contract on the curve.  In other words, the index reevaluates the forward curve at each front roll period and selects the most attractive contract regardless of its position (forward or behind) on the curve. The dynamic roll methodology has produced a metals index with superior risk adjusted returns without the introduction of active management.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

AS OF: 10/11/19INDEX VALUECHANGE1 DAYMTDQTDYTD
EXCESS RETURN344.44-0.69-0.20%+2.01%+2.01%+8.09%
TOTAL RETURN554.33-1.08-0.19%+2.07%+2.07%+9.99%
Total Return Detail:
MONTHLY DATA AS OF: 09/30/191YEAR3 YEAR5 YEAR10 YEARINCEPTION
TOTAL RETURN9.70%5.86%2.65%14.85%443.11%
COMPOUND ANNUALIZED RETURN9.70%1.92%0.52%1.39%7.72%
ANNUALIZED ARITHMETIC MEAN9.81%2.48%1.39%3.13%9.27%
ANNUALIZED STANDARD DEVIATION10.26%10.85%13.20%18.58%18.87%
ANN SEMISTANDARD DEVIATION4.88%5.50%8.37%12.49%13.19%
SKEWNESS0.050.460.09-0.28-0.37
KURTOSIS-1.39-0.480.181.402.54
MAX MONTHLY ROR5.32%7.95%9.77%13.34%20.48%
MIN MONTHLY ROR-3.54%-5.01%-9.08%-21.13%-24.80%
MAX MONTHLY DRAWDOWN-5.93%-14.79%-20.77%-54.18%-54.18%
SHARPE RATIO0.740.090.030.140.38
SORTINO RATIO1.560.170.050.210.55
Excess Return Detail:
MONTHLY DATA AS OF: 09/30/191 YEAR3 YEAR5 YEAR10 YEARINCEPTION
TOTAL RETURN7.21%0.99%-2.33%8.87%237.64%
COMPOUND ANNUALIZED RETURN7.21%0.33%-0.47%0.85%5.49%
ANNUALIZED ARITHMETIC MEAN7.50%0.91%0.40%2.60%7.16%
ANNUALIZED STANDARD DEVIATION10.25%10.85%13.19%18.58%18.84%
ANN SEMISTANDARD DEVIATION4.86%5.48%8.32%12.44%13.03%
SKEWNESS0.060.480.11-0.26-0.35
KURTOSIS-1.39-0.440.181.392.46
MAX MONTHLY ROR5.14%7.90%9.75%13.34%20.05%
MIN MONTHLY ROR-3.74%-5.17%-9.09%-21.13%-24.85%
MAX MONTHLY DRAWDOWN-6.50%-16.02%-20.80%-54.29%-54.29%
SHARPE RATIO0.52-0.06-0.040.110.27
SORTINO RATIO1.09-0.12-0.070.170.39
1. Important Disclosure Regarding Performance Data: Return data prior to Jan 11, 2018 for the ABSR Metals Index are calculated using pre-inception performance (PIP) data. PIP data represents any performance prior to the inception or "Live Date". The "Historical Inception Date" is first available calculation date applying PIP data. Pre-inception performance results are based on methodology applied retroactively with the benefit of hindsight. Pre-Inception performance results have many inherent limitations. No PIP data can completely account for all market possibilities. No guarantees can be made that the performance data shown would have been achievable. PAST PERFORMANCE EITHER HYPOTHETICAL OR ACTUAL IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
 
Important Disclosure Regarding Performance Data: Return data prior to Jan 11, 2018 for the ABSR Metals Index are calculated using pre-inception performance (PIP) data. PIP data represents any performance prior to the inception or "Live Date". The "Historical Inception Date" is first available calculation date applying PIP data. Pre-inception performance results are based on methodology applied retroactively with the benefit of hindsight. Pre-Inception performance results have many inherent limitations. No PIP data can completely account for all market possibilities. No guarantees can be made that the performance data shown would have been achievable. PAST PERFORMANCE EITHER HYPOTHETICAL OR ACTUAL IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
 
1. Important Disclosure Regarding Performance Data: Return data prior to Jan 11, 2018 for the ABSR Metals Index are calculated using pre-inception performance (PIP) data. PIP data represents any performance prior to the inception or "Live Date". The "Historical Inception Date" is first available calculation date applying PIP data. Pre-inception performance results are based on methodology applied retroactively with the benefit of hindsight. Pre-Inception performance results have many inherent limitations. No PIP data can completely account for all market possibilities. No guarantees can be made that the performance data shown would have been achievable. PAST PERFORMANCE EITHER HYPOTHETICAL OR ACTUAL IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
AS OF: 10/11/19SYMBOLSECTORINDEX VALUEWEIGHT
GOLDGCMETALS236.4334.24%
SILVERSIMETALS250.7532.30%
COPPERHGMETALS353.0033.46%
SECTORWEIGHT
Precious66.54%
Base33.46%
To receive information on calculation methodology please contact ABSR Research at info@absrresearch.com