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

The 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: 09/22/21INDEX VALUECHANGE1 DAYMTDQTDYTD
EXCESS RETURN447.95+6.39+1.45%+2.03%+2.11%+49.42%
TOTAL RETURN726.13+10.36+1.45%+2.03%+2.12%+49.50%
Total Return Detail:
AS OF: 07/30/211YEAR3 YEAR5 YEAR10 YEARINCEPTION
TOTAL RETURN81.61%12.13%72.74%-17.92%635.30%
COMPOUND ANNUALIZED RETURN81.61%3.89%11.55%-1.96%8.45%
ANNUALIZED ARITHMETIC MEAN63.96%10.54%15.51%1.67%12.18%
ANNUALIZED STANDARD DEVIATION24.09%35.15%28.96%26.33%28.06%
ANN SEMISTANDARD DEVIATION11.87%29.84%25.55%20.27%19.68%
SKEWNESS-0.05-1.05-1.22-0.69-0.36
KURTOSIS1.232.474.212.551.99
MAX MONTHLY ROR19.11%19.72%19.72%19.72%27.84%
MIN MONTHLY ROR-9.24%-33.41%-33.41%-33.41%-34.15%
MAX MONTHLY DRAWDOWN-11.41%-55.60%-55.60%-67.90%-78.23%
SHARPE RATIO2.650.270.500.040.37
SORTINO RATIO5.380.320.560.050.52
Excess Return Detail:
AS OF: 07/30/211 YEAR3 YEAR5 YEAR10 YEARINCEPTION
TOTAL RETURN81.51%8.41%63.49%-22.63%353.65%
COMPOUND ANNUALIZED RETURN81.51%2.73%10.33%-2.53%6.34%
ANNUALIZED ARITHMETIC MEAN63.90%9.43%14.41%1.08%10.19%
ANNUALIZED STANDARD DEVIATION24.09%35.20%28.99%26.33%27.99%
ANN SEMISTANDARD DEVIATION11.87%29.80%25.55%20.27%19.62%
SKEWNESS-0.05-1.03-1.21-0.68-0.36
KURTOSIS1.232.434.162.561.96
MAX MONTHLY ROR19.10%19.72%19.72%19.72%27.44%
MIN MONTHLY ROR-9.24%-33.43%-33.43%-33.43%-34.19%
MAX MONTHLY DRAWDOWN-11.41%-56.91%-56.91%-69.67%-79.63%
SHARPE RATIO2.650.240.460.020.30
SORTINO RATIO5.380.280.520.020.42
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.
Sub Index Components:
AS OF: 09/22/21SYMBOLSECTORINDEX VALUEWEIGHT
RBOB GASOLINERBENERGY537.7255.04%
HEATING OILHOENERGY292.3521.56%
CRUDE OILCLENERGY333.8914.69%
NATURAL GASNGENERGY43.044.19%
CORNCGRAINS36.163.67%
SOYBEAN OILBOGRAINS143.050.83%
SECTORWEIGHT
BIOMASS4.51%
NATURAL GAS4.19%
PETROLEUM91.30%
Click here for more information on the ABSR Dynamic Roll Benchmark Sub Indices.