ABSR Rotation Rebalanced Agriculture Index™

Sector: Commodity, Agriculture  ⁄  Strategy: Passive, altBeta  ⁄  Base Weight Method: Balanced ⁄ Rebalance Frequency: Quarterly  ⁄  Roll Method: ABSR Dynamic  ⁄ Back Tested Inception: Jan 2, 1997  ⁄ Data Start: Jan 2, 2017

Agriculture IndexThe ABSR Rotation Rebalanced Agriculture Index is a rules based, passive, "altBeta" index designed to represent a balanced broad basket of commercially available liquid agricultural commodities. The index is comprised of 9 component indices in 3 commodity sectors; Grains, Softs & Meats. The component Sub Indices employ only exchange traded liquid commodity futures contracts. Two key design features include a dynamic roll methodology and our proprietary "Rotation Rebalanced" methodology. The dynamic roll is employed in each Sub Index 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 through a process of "finance carry" evaluation and each available contract can be selected via rolling forward or backward. Our "Rotation Rebalance" is applied to the Index only and is a combination of quarterly rebalancing and rotation of Sub Index base weights given historical seasonality factors. The quarterly rotation rebalance is designed to add a passive degree of "alpha" while at the same time decreasing overall price volatility.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

Return Snapshot:
AS OF: 10/18/18INDEX LEVELCHANGE1 DAYMTDQTDYTD
EXCESS RETURN96.40-1.10-1.13%+4.32%+4.32%-4.18%
TOTAL RETURN151.75-1.72-1.12%+4.45%+4.45%-2.73%
Total Return Detail:
MONTHLY DATA AS OF: 09/28/181YEAR3 YEAR5 YEAR10 YEARINCEPTION
TOTAL RETURN-6.56%-15.79%-27.34%-19.76%45.28%
COMPOUND ANNUALIZED RETURN-6.56%-5.57%-6.19%-2.18%1.73%
ANNUALIZED ARITHMETIC MEAN-6.39%-5.37%-5.81%-1.22%2.62%
ANNUALIZED STANDARD DEVIATION8.57%8.20%10.58%13.95%13.43%
ANN SEMISTANDARD DEVIATION6.89%5.73%6.43%8.85%8.51%
SKEWNESS-1.14-0.410.500.070.00
KURTOSIS1.50-0.081.551.491.32
MAX MONTHLY ROR2.30%3.50%10.18%11.78%11.78%
MIN MONTHLY ROR-6.60%-6.60%-7.28%-14.30%-14.30%
MAX MONTHLY DRAWDOWN-12.02%-18.55%-37.38%-42.88%-42.88%
SHARPE RATIO-0.94-0.76-0.60-0.110.04
SORTINO RATIO-1.17-1.09-0.99-0.180.07
Excess Return Detail:
MONTHLY DATA AS OF: 09/28/181 YEAR3 YEAR5 YEAR10 YEARINCEPTION
TOTAL RETURN-8.11%-17.99%-29.30%-22.34%-7.59%
COMPOUND ANNUALIZED RETURN-8.11%-6.40%-6.70%-2.50%-0.36%
ANNUALIZED ARITHMETIC MEAN-8.05%-6.25%-6.35%-1.55%0.54%
ANNUALIZED STANDARD DEVIATION8.59%8.22%10.59%13.96%13.41%
ANN SEMISTANDARD DEVIATION6.92%5.50%6.24%8.78%8.42%
SKEWNESS-1.14-0.420.520.080.04
KURTOSIS1.46-0.031.591.501.32
MAX MONTHLY ROR2.18%3.48%10.17%11.76%11.76%
MIN MONTHLY ROR-6.74%-6.74%-7.29%-14.35%-14.35%
MAX MONTHLY DRAWDOWN-12.61%-20.55%-39.05%-44.49%-49.95%
SHARPE RATIO-1.13-0.87-0.65-0.13-0.11
SORTINO RATIO-1.41-1.30-1.11-0.21-0.18
1. Important Disclosure Regarding Performance Data: Return data prior to Jan 3, 2017 for the ABSR Rotation Rebalanced Agriculture 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 3, 2017 for the ABSR Rotation Rebalanced Agriculture 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.
Index Peer Comparison (TR):
10 Years: 10/2008-09/2018ABSR-AG¹GSCI-AGRICI-AGBCOM-AGDBLCI-AG|STOCKSBONDS
TOTAL RETURN-19.76%-50.02%-32.14%-37.18%-36.90%|209.62%44.82%
COMPOUND ANNUAL RETURN-2.18%-6.70%-3.80%-4.54%-4.50%|11.97%3.77%
ANN ARITHMETIC MEAN-1.22%-4.42%-2.29%-2.48%-3.62%|12.40%3.76%
ANN STANDARD DEVIATION13.95%22.39%17.74%20.77%13.92%|14.34%3.22%
SKEWNESS0.070.340.000.160.03|-0.870.14
KURTOSIS1.491.151.270.971.70|2.591.88
SHARPE RATIO (RFR: 0.33%)-0.11-0.21-0.15-0.14-0.28|0.841.07
MAX MONTHLY DRAWDOWN-42.88%-60.89%-47.41%-54.90%-47.90%|-36.13%-3.67%
CORRELATION: 03/08-09/18*ABSR-AG¹GSCI-AGRICI-AGBCOM-AGDBLCI-AG|STOCKSBONDS
STOCKS: S&P 500 - TR0.440.380.500.430.42|1.00-0.08
BONDS: BARCLAY US AGG -TR0.120.110.050.120.11|-0.081.00
CTA: BARCLAYHEDGE - CTA0.150.140.120.130.10|-0.080.19
INFLATION: CPI-U0.390.220.300.290.33|0.41-0.15
*auto-correlation adjusted
ABSR-AG: ABSR Rotation Rebalanced Agriculture Index - Total Return, GSCI-AG: S&P GSCI Agriculture Index - Total Return, RICI-AG: Rogers International Commodity Index - Agriculture (Total Index), BCOM-AG: Bloomberg Commodity Agriculture Sub Index - Total Return.
S&P GSCI and S&P 500 are registered trademarks of S&P Dow Jones, RICI is a registered trademark of Beeland Interests Inc, DBLCI is a registered trademark of Deutsche Bank AG, Barclay CTA is a registered trademark of BarclayHedge, BCOM is a registered trademark of Bloomberg L.P.
1. Important Disclosure Regarding Performance Data: Return data prior to Jan 3, 2017 for the ABSR Rotation Rebalanced Agriculture 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.
Sub Index Components:
AS OF: 10/18/18SYMBOLSECTORINDEX LEVELWEIGHT
COCOACCSOFTS90.329.96%
COFFEEKCSOFTS39.3612.69%
CORNCGRAINS29.4711.55%
COTTONCTSOFTS49.858.80%
LEAN HOGSLHMEATS39.7010.21%
LIVE CATTLELCMEATS153.799.56%
SOYBEANSSGRAINS145.1911.80%
SUGARSBSOFTS74.7112.91%
WHEAT (KC)KWGRAINS30.7112.51%
SECTORWEIGHT
GRAINS35.86%
LIVESTOCK19.78%
SOFTS44.36%
Click here for more information on the ABSR Dynamic Roll Benchmark Sub Indices.
To receive information on calculation methodology please contact ABSR Research at info@absrresearch.com