Sector: Commodity, Broad ⁄ 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
ABSR's Rotation Rebalanced Commodity Index (RRCI) is the first passive management commodity index to adjust for seasonal price biases during its quarterly re-balance to provide superior risk adjusted performance versus legacy indices. It is a rules based "altBeta" index designed to represent a balanced broad basket of liquid commodities. Sixteen component indices in 5 commodity sectors (Energy, Grains, Softs, Meats, and Metals) make up the construction of the index. The RRCI 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 RRCI is contracts included in the selection process include contracts both forward to and behind the current contract on the curve. In other words, the RRCI 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. In addition, component weighting is determined via a next generation rules based seasonal Rotation Rebalance, which is based on observed historical seasonal price movements resulting from supply and demand factors specific to the individual commodities. This combination of broad balanced exposure, dynamic roll methodology and seasonal rotation weighting has produced a commodity index with superior risk adjusted returns without the introduction of active management.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
Return Snapshot:
| AS OF: 10/11/19 | INDEX LEVEL | CHANGE | 1 DAY | MTD | QTD | YTD |
| EXCESS RETURN | 204.07 | +2.32 | +1.15% | +0.82% | +0.82% | +1.13% |
| TOTAL RETURN | 328.44 | +3.75 | +1.15% | +0.87% | +0.87% | +2.90% |
Total Return Detail:
| MONTHLY DATA AS OF: 09/30/19 | 1YEAR | 3 YEAR | 5 YEAR | 10 YEAR | INCEPTION |
| TOTAL RETURN | -1.79% | -1.32% | -21.91% | -8.61% | 225.60% |
| COMPOUND ANNUALIZED RETURN | -1.79% | -0.44% | -4.83% | -0.90% | 5.33% |
| ANNUALIZED ARITHMETIC MEAN | -1.49% | -0.23% | -4.51% | -0.20% | 6.03% |
| ANNUALIZED STANDARD DEVIATION | 7.98% | 6.56% | 9.13% | 11.81% | 12.84% |
| ANN SEMISTANDARD DEVIATION | 5.45% | 4.51% | 6.49% | 7.92% | 9.01% |
| SKEWNESS | -0.11 | -0.15 | -0.22 | -0.15 | -0.45 |
| KURTOSIS | -0.43 | -0.20 | 0.80 | 1.21 | 2.97 |
| MAX MONTHLY ROR | 3.51% | 3.51% | 6.60% | 10.33% | 11.88% |
| MIN MONTHLY ROR | -4.43% | -4.43% | -8.49% | -12.40% | -18.89% |
| MAX MONTHLY DRAWDOWN | -6.14% | -11.64% | -27.88% | -44.63% | -44.63% |
| SHARPE RATIO | -0.47 | -0.27 | -0.60 | -0.06 | 0.31 |
| SORTINO RATIO | -0.68 | -0.40 | -0.85 | -0.09 | 0.44 |
Excess Return Detail:
| MONTHLY DATA AS OF: 09/30/19 | 1 YEAR | 3 YEAR | 5 YEAR | 10 YEAR | INCEPTION |
| TOTAL RETURN | -4.02% | -5.86% | -25.70% | -13.38% | 102.41% |
| COMPOUND ANNUALIZED RETURN | -4.02% | -1.99% | -5.77% | -1.43% | 3.15% |
| ANNUALIZED ARITHMETIC MEAN | -3.77% | -1.79% | -5.51% | -0.73% | 3.93% |
| ANNUALIZED STANDARD DEVIATION | 7.96% | 6.57% | 9.10% | 11.80% | 12.79% |
| ANN SEMISTANDARD DEVIATION | 5.40% | 4.39% | 6.31% | 7.75% | 8.87% |
| SKEWNESS | -0.09 | -0.18 | -0.19 | -0.13 | -0.42 |
| KURTOSIS | -0.45 | -0.19 | 0.81 | 1.20 | 2.93 |
| MAX MONTHLY ROR | 3.34% | 3.34% | 6.58% | 10.32% | 11.86% |
| MIN MONTHLY ROR | -4.59% | -4.59% | -8.50% | -12.40% | -18.94% |
| MAX MONTHLY DRAWDOWN | -7.36% | -14.07% | -28.10% | -44.91% | -44.91% |
| SHARPE RATIO | -0.75 | -0.51 | -0.71 | -0.11 | 0.15 |
| SORTINO RATIO | -1.11 | -0.76 | -1.03 | -0.16 | 0.21 |
ABSR RRCI (TR) Monthly Returns (10 Years)
| | JAN | FEB | MAR | APR | MAY | JUN | JUL | AUG | SEP | OCT | NOV | DEC | YTD |
| 2019 | 3.42 | 0.86 | 0.04 | 0.62 | 1.58 | 1.58 | -1.03 | | | | | | 7.24 |
| 2018 | 1.46 | -0.86 | 0.50 | 2.21 | 1.81 | -3.57 | -2.65 | -1.68 | 0.91 | 0.47 | -2.81 | -1.41 | -5.69 |
| 2017 | 1.85 | -0.30 | -2.16 | -1.36 | -0.33 | -1.11 | 3.40 | -0.48 | -0.53 | 2.22 | -0.07 | 1.18 | 2.20 |
| 2016 | -2.90 | -0.67 | 3.84 | 6.60 | 0.02 | 3.39 | -3.33 | -1.50 | 0.66 | 0.59 | -0.64 | 0.42 | 6.20 |
| 2015 | -4.01 | 2.31 | -4.29 | 3.90 | -1.89 | 2.10 | -8.49 | -1.03 | -1.50 | 0.79 | -4.58 | -1.43 | -17.26 |
| 2014 | 0.09 | 7.82 | 1.30 | 2.39 | -2.29 | 1.37 | -3.96 | -0.73 | -5.23 | -1.27 | -3.10 | -5.52 | -9.46 |
| 2013 | 1.91 | -4.04 | 0.41 | -2.27 | -1.87 | -3.73 | 1.37 | 3.27 | -0.85 | -1.04 | -1.03 | -0.08 | -7.92 |
| 2012 | 3.81 | 2.04 | -3.20 | -2.10 | -7.72 | 3.79 | 5.11 | 2.79 | 1.08 | -2.48 | 0.43 | -2.56 | 0.20 |
| 2011 | 3.94 | 5.03 | 2.09 | 3.75 | -4.28 | -3.07 | 2.39 | 1.90 | -12.40 | 4.70 | -3.60 | -2.95 | -3.95 |
| 2010 | -5.64 | 1.95 | -0.50 | 3.26 | -5.36 | 0.72 | 5.67 | -1.95 | 7.09 | 6.31 | 0.08 | 10.33 | 22.72 |
1. Important Disclosure Regarding Performance Data: Return data prior to Jan 3, 2017 for the ABSR Rotation Rebalanced Commodity 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 Commodity 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):
| 15 Years: 09/2004-08/2019 | ABSR¹ | GSCI | RICI | BCOM | DBLCIOY | | | STOCKS | BONDS |
| TOTAL RETURN | 71.15% | -55.24% | -15.66% | -34.44% | 19.28% | | | 261.89% | 87.00% |
| COMPOUND ANNUAL RETURN | 3.65% | -5.22% | -1.13% | -2.78% | 1.18% | | | 8.95% | 4.26% |
| ANNUAL ARITHMETIC MEAN | 4.61% | -2.73% | 0.52% | -1.46% | 2.94% | | | 9.57% | 4.23% |
| ANNUAL STANDARD DEVIATION | 14.21% | 22.48% | 17.94% | 16.22% | 18.56% | | | 13.77% | 3.15% |
| SKEWNESS | -0.48 | -0.52 | -0.65 | -0.57 | -0.55 | | | -0.81 | 0.09 |
| KURTOSIS | 2.68 | 1.48 | 2.89 | 2.31 | 1.92 | | | 2.12 | 1.18 |
| SHARPE RATIO (RFR: 1.3%) | 0.23 | -0.18 | -0.04 | -0.17 | 0.09 | | | 0.60 | 0.93 |
| MAX MONTHLY DRAWDOWN | -44.63% | -80.90% | -66.48% | -67.03% | -69.28% | | | -50.95% | -3.83% |
| CORRELATION: 06/99-06/19* | ABSR¹ | GSCI | RICI | BCOM | DBLCIOY | | | STOCKS | BONDS |
| STOCKS: S&P 500 - TR | 0.32 | 0.37 | 0.42 | 0.38 | 0.37 | | | 1.00 | -0.21 |
| BONDS: BARCLAY US AGG -TR | 0.03 | -0.10 | -0.05 | 0.03 | -0.06 | | | -0.21 | 1.00 |
*Rolling Quarterly Returns
ABSR: ABSR Rotation Rebalanced Commodity Index - TR, GSCI: S&P GSCI - TR, RICI: Rogers International Commodity Index (Total Index) - TR, DBLCIOY: DBIQ Optimum Yield Diversified Commodity Index - TR, CTA: BarclayHedge CTA Index, Stocks: S&P 500 TR Index, Bonds: Bloomberg Barclay US Agg-TR (Unhedged), Inflation: BLS Consumer Price Index CPI_U
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 Commodity 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: 10/11/19 | SYMBOL | SECTOR | INDEX LEVEL | WEIGHT |
| COCOA | CC | SOFTS | 100.90 | 6.63% |
| COFFEE | KC | SOFTS | 27.18 | 5.65% |
| COPPER | HG | METALS | 353.00 | 6.05% |
| CORN | C | GRAINS | 30.05 | 6.23% |
| COTTON | CT | SOFTS | 40.98 | 5.46% |
| CRUDE OIL (WTI) | CL | ENERGY | 264.56 | 4.97% |
| GOLD | GC | METALS | 236.43 | 6.98% |
| HEATING OIL | HO | ENERGY | 305.33 | 5.02% |
| LEAN HOGS | LH | LIVESTOCK | 48.64 | 7.92% |
| LIVE CATTLE | LC | LIVESTOCK | 148.59 | 6.46% |
| NATURAL GAS | NG | ENERGY | 28.38 | 6.61% |
| RBOB GASOLINE | RB | ENERGY | 400.85 | 5.30% |
| SILVER | SI | METALS | 250.75 | 5.85% |
| SOYBEANS | S | GRAINS | 146.28 | 6.35% |
| SUGAR | SB | SOFTS | 60.49 | 7.25% |
| WHEAT (KC) | KW | GRAINS | 20.80 | 7.26% |
| SECTOR | WEIGHT |
| ENERGY | 21.90% |
| GRAINS | 19.84% |
| LIVESTOCK | 14.38% |
| METALS | 18.88% |
| SOFTS | 25.00% |
Click here for more information on the ABSR Dynamic Roll Benchmark Sub Indices.
