ABSR TransFuel Energy Index™

Sector: Commodity, Energy  ⁄  Strategy: Passive, altBeta  ⁄  Base Weight Method: Consumption  ⁄ Rebalance Frequency: Annual  ⁄  Roll Method: ABSR Dynamic  ⁄ Back Tested Inception: Jan 2, 1997  ⁄  Data Start: May 1, 2017

TransFuel IndexThe ABSR TransFuel Energy Index is the first “Liquid” Hybrid Energy Index to include renewable energy biomass in its calculation. Since the 1980’s, renewable energy biomass in the form of fuel ethanol and biodiesel has grown to account for roughly 5% of total U.S. transportation fuel consumption surpassing natural gas. The ABSR TransFuel Energy Index was designed to provide a composite pricing benchmark for investing and risk hedging in the general price fluctuations of the U.S. transportation fuel industry prorated by trends in product consumption. The index consists of a basket of exchange traded commodity futures rebalanced and reconstituted annually by energy product consumption as published by the U.S. Energy Information Administration (EIA). The index is dynamic in nature and could include new product developments or sources of energy as they become available and represent a meaningful proportion of the total transportation fuel consumption in the United States.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

Return Snapshot:
AS OF: 04/18/19INDEX VALUECHANGE1 DAYMTDQTDYTD
EXCESS RETURN381.77+1.11+0.29%+5.32%+5.32%+26.16%
TOTAL RETURN608.26+1.80+0.30%+5.46%+5.46%+27.07%
Total Return Detail:
AS OF: 03/29/191YEAR3 YEAR5 YEAR10 YEARINCEPTION
TOTAL RETURN-5.98%39.33%-37.93%12.77%476.75%
COMPOUND ANNUALIZED RETURN-5.98%11.69%-9.10%1.21%8.19%
ANNUALIZED ARITHMETIC MEAN-2.30%13.68%-6.42%3.90%11.62%
ANNUALIZED STANDARD DEVIATION26.99%22.40%24.55%23.09%27.11%
ANN SEMISTANDARD DEVIATION22.35%16.64%16.84%15.96%18.05%
SKEWNESS-1.03-0.79-0.23-0.15-0.18
KURTOSIS0.590.80-0.290.521.54
MAX MONTHLY ROR9.56%13.06%14.41%22.17%27.84%
MIN MONTHLY ROR-17.88%-17.88%-17.88%-17.88%-34.15%
MAX MONTHLY DRAWDOWN-32.03%-32.03%-60.12%-60.12%-72.95%
SHARPE RATIO-0.170.55-0.290.150.35
SORTINO RATIO-0.200.75-0.430.220.53
Excess Return Detail:
AS OF: 03/29/191 YEAR3 YEAR5 YEAR10 YEARINCEPTION
TOTAL RETURN-8.00%34.21%-40.30%7.99%262.48%
COMPOUND ANNUALIZED RETURN-8.00%10.30%-9.80%0.77%5.96%
ANNUALIZED ARITHMETIC MEAN-4.46%12.43%-7.20%3.46%9.51%
ANNUALIZED STANDARD DEVIATION26.97%22.41%24.50%23.08%27.02%
ANN SEMISTANDARD DEVIATION22.36%16.71%16.69%15.89%18.00%
SKEWNESS-1.03-0.80-0.23-0.15-0.19
KURTOSIS0.590.83-0.270.541.51
MAX MONTHLY ROR9.33%13.04%14.41%22.16%27.44%
MIN MONTHLY ROR-18.04%-18.04%-18.04%-18.04%-34.19%
MAX MONTHLY DRAWDOWN-32.45%-32.45%-60.16%-60.16%-73.25%
SHARPE RATIO-0.250.50-0.330.130.28
SORTINO RATIO-0.300.67-0.480.190.41
1. Important Disclosure Regarding Performance Data: Return data prior to May 1, 2017 for the ABSR TransFuel Energy 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 May 1, 2017 for the ABSR TransFuel Energy 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: 04/2009-03/2019ABSR-TF¹GSCI-ENRICI-EBCOM-EN STOCKSBONDS
TOTAL RETURN12.77%-38.48%-31.63%-65.23%338.09%44.72%
COMPOUND ANNUAL RETURN1.21%-4.74%-3.73%-10.02%15.92%3.77%
ANN ARITHMETIC MEAN3.88%-1.39%-0.63%-7.87%15.66%3.74%
ANN STANDARD DEVIATION23.04%26.10%24.98%22.78%12.63%2.83%
SKEWNESS-0.15-0.13-0.10-0.15-0.27-0.40
KURTOSIS0.550.790.901.260.520.33
SHARPE RATIO0.15-0.07-0.04-0.361.211.17
MAX DRAWDOWN-60.12%-74.91%-73.79%-77.93%-16.26%-3.67%
CORRELATION: 04/09-03/19*ABSR-TF¹GSCI-ENRICI-EBCOM-ENSTOCKSBONDS
STOCKS: S&P 500 - TR0.580.570.580.481.00-0.08
BONDS: BARCLAY US AGG -TR-0.16-0.20-0.20-0.22-0.081.00
*auto-correlation adjusted
ABSR-TF: ABSR TransFuel Energy Index - Total Return, GSCI-EN: S&P GSCI Energy Index - Total Return, RICI-E: Rogers International Commodity Index - Energy (Total Index), BCOM-EN: 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 May 1, 2017 for the ABSR TransFuel Energy 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: 04/18/19SYMBOLSECTORINDEX VALUEWEIGHT
RBOB GASOLINERBENERGY433.0055.20%
HEATING OILHOENERGY339.1622.32%
CRUDE OILCLENERGY303.2914.77%
NATURAL GASNGENERGY28.932.86%
CORNCGRAINS28.314.01%
SOYBEAN OILBOGRAINS76.250.84%
SECTORWEIGHT
BIOMASS4.85%
NATURAL GAS2.86%
PETROLEUM92.29%
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