Thomson Reuters CRB Commodity Producers Index · PDF file• Coal Energy Producers •...
Transcript of Thomson Reuters CRB Commodity Producers Index · PDF file• Coal Energy Producers •...
© 2015 S-Network Global Indexes, 267 Fifth Avenue, New York, NY 10016.
Thomson Reuters CRB
Commodity Producers Index
Q2 2016
© 2015 S-Network Global Indexes, 267 Fifth Avenue, New York, NY 10016.
Index Description
A True Global Benchmark
150 Constituents
50 Energy Stocks
35 Agriculture Stocks
35 Base Industrial Metals Stocks
30 Precious Metals Stocks
Minimum Market Cap = USD 750 Million, USD 1 Billion for Energy Stocks
Sector Weights Comparable to TR/J CRB
Screened For Investability and Liquidity
Capitalization (Float Adjusted) Weighted by Sector
Solid design specifications assure broad market coverage and transactional efficiency.
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© 2015 S-Network Global Indexes, 267 Fifth Avenue, New York, NY 10016.
Commodity Producers
Comprehensive coverage of the commodity producers sector.
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• Seeds, chemicals and
fertilizer production
• Farm machinery
• Commodity agricultural
products
• Livestock & Aquaculture
• Trading companies &
distributors
Agricultural Producers
• Integrated Oil & Gas
• Exploration and
Production
• Oilfield Equipment and
Services
• Refining and Distribution
• Coal
Energy Producers
• Steel
• Aluminum
• Copper
• Iron Ore
• Nickel
Base/Industrial Metals
Producers
• Gold
• Silver
• Platinum
• Palladium
Precious Metals Miners
© 2015 S-Network Global Indexes, 267 Fifth Avenue, New York, NY 10016.
Features Benefits
Global Captures World-Wide Opportunity, Including BRIC Countries and Other Emerging Markets
Liquid Low Transaction Costs and No Practical Size Constraints
Pure-Play Direct Exposure to the Commodities Space
Production & Reserves Own or Control Global Production of Commodities (e.g. ~70% of Global Non-Governmental
Petroleum reserves)
Large Cap/Large Mid-Cap Bias Most Constituents Are the World Market Leaders in Their Respective Sectors
Oil & Gas Producer Bias Minimizes Value Added Service Providers, Improving Exposure to Underlying Energy
Commodities
Primary Agriculture No Companies Classified as Packaged Food Producers, Emphasis on Producers of Seeds,
Chemicals and Fertilizers
Equities Only No regulatory Risk Emanating from Use of Futures
Index Features and Benefits
Index Features and Benefits
Key design features result in key benefits for benchmarking and investing.
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© 2015 S-Network Global Indexes, 267 Fifth Avenue, New York, NY 10016.
Construction Methodology
Universe Development and Maintenance
~1500 Stocks from Around the World
Updated Quarterly for Corporate Actions + IPOs
Inclusion Criteria
No Investment Restrictions
No Operational Impediments
Listed on Exchange with Last Closing Price
Minimum Market Capitalization (>USD 750 million, >USD 1 Billion for Energy Sector)
Minimum Free Float (>USD 600 million, >USD 800 Million for Energy Sector)
Minimum Average Daily Trading Volume (>USD 1 million)
Weighting Within Sectors
Capitalization Weighted, Adjusted for Free Float
Raw Weights Within Sectors Adjusted by Sector Weights
Capping Procedures Applied (25/5/45 RIC Rules)
A stable and transparent construction methodology is entirely rules-based and fully replicable.
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© 2015 S-Network Global Indexes, 267 Fifth Avenue, New York, NY 10016.
Index Constituents and Performance
© 2015 S-Network Global Indexes, 267 Fifth Avenue, New York, NY 10016.
Capitalization Profile
With an average market capitalization of approximately 24 Billion USD, the Thomson Reuters CRB Commodity
Producers Index offers exposure to the world’s leading companies in the commodity sector.
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Number of Constituents 150
Total Market Capitalization 3.53 Trillion USD
Largest Market Capitalization 388.70 Billion USD
Smallest Market Capitalization 758.52 Million USD
Average Market Capitalization 23.53 Billion USD
Median Market Capitalization 10.07 Billion USD
Capitalization Profile
Source: S-Network, as of 6/30/2016
© 2015 S-Network Global Indexes, 267 Fifth Avenue, New York, NY 10016.
Diversification
The Thomson Reuters CRB Commodity Producers Index offers diversified country
and sector exposure.
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Source: S-Network, as of 06/30/2016
Integrated Oil & Gas 24%
Fertilizers & Agricultural Che
23% Agricultural
Products 9%
Gold 7%
Diversified Metals & Mining
7%
Oil & Gas Exploration &
Produc 7%
Steel 6%
Agricultural & Farm Machinery
6%
Oil & Gas Equipment &
Services 3%
Oil & Gas Storage & Transporta
3% Other
5%
CRBQX Sector Distribution
United States 53%
Canada 12%
United Kingdom 10%
Zurich 6%
Netherlands 2%
France 2%
Australia 2%
Hong Kong 2%
Japan 2%
Norway 1%
Others 8%
CRBQX Country Distribution
© 2015 S-Network Global Indexes, 267 Fifth Avenue, New York, NY 10016.
Historical Performance
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Source: S-Network, as of 06/30/2016
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Thomson Reuters CRB Commodity Producers Index vs. Benchmarks (12/31/1999–06/30/2016)
CRBQXTR Index MSCI World TR S&P 500 TR DJ-UBS Commodity TR
© 2015 S-Network Global Indexes, 267 Fifth Avenue, New York, NY 10016.
CRBQXTR MSCI WORLD TR S&P 500 TR DJ-UBS Commodity TR S&P GS Commodity TR
5 Year 18.69% 13.17% 12.10% 15.09% 19.59%
3 Year 16.72% 11.71% 11.25% 14.06% 20.44%
1 Year 23.15% 15.26% 14.50% 17.59% 23.23%
CRBQXTR MSCI WORLD TR S&P 500 TR DJ-UBS Commodity TR S&P GS Commodity TR
5 Year -4.96% 7.23% 12.10% -10.82% -14.03%
3 Year -2.46% 7.54% 11.66% -10.55% -19.81%
1 Year -7.15% -2.19% 3.99% -13.32% -26.08%
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Statistical Profile I
CRBQXTR MSCI WORLD TR S&P 500 TR DJ-UBS Commodity TR S&P GS Commodity TR
5 Year -22.44% 41.80% 77.02% -43.60% -53.03%
3 Year -7.21% 24.38% 39.20% -28.44% -48.43%
1 Year -7.15% -2.19% 3.99% -13.32% -26.08%
Total Return Appreciation
Compound Annual Growth Rate
Source: S-Network, as of 06/30/2016
Annualized Monthly Standard Deviation
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CRBQXTR MSCI WORLD TR S&P 500 TR DJ-UBS Commodity TR S&P GS Commodity TR
CRBQXTR 1.0000
MSCI WORLD TR 0.8133 1.0000
S&P 500 TR 0.7436 0.9654 1.0000
DJ-UBS Commodity TR 0.7632 0.5149 0.4397 1.0000
S&P GS Commodity TR 0.7146 0.5333 0.4717 0.8745 1.0000
Statistical Profile II
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CRBQXTR MSCI WORLD TR S&P 500 TR DJ-UBS Commodity TR S&P GS Commodity TR
5 Year -0.1829 0.5911 1.0009 -0.6845 -0.6716
3 Year -0.0724 0.6727 1.0315 -0.7256 -0.9721
1 Year -0.2211 -0.0863 0.3251 -0.7350 -1.1824
Sharpe Ratio
Correlation (5 Year / Monthly)
Source: S-Network, as of 06/30/2016
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Statistical Profile III
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Source: S-Network, as of 06/30/2016
CRBQXTR MSCI WORLD TR S&P 500 TR DJ-UBS Commodity TR S&P GS Commodity TR
CRBQXTR 1.0000
MSCI WORLD TR 0.6615 1.0000
S&P 500 TR 0.5530 0.9320 1.0000
DJ-UBS Commodity TR 0.5824 0.2651 0.1933 1.0000
S&P GS Commodity TR 0.5106 0.2844 0.2225 0.7648 1.0000
R-Squared (5 Year / Monthly)
CRBQXTR MSCI WORLD TR S&P 500 TR DJ-UBS Commodity TR S&P GS Commodity TR
CRBQXTR 1.0000 0.5730 0.4817 0.6161 0.7492
MSCI WORLD TR 1.1543 1.0000 0.8875 0.5899 0.7936
S&P 500 TR 1.1481 1.0501 1.0000 0.5480 0.7635
DJ-UBS Commodity TR 0.9454 0.4494 0.3528 1.0000 1.1358
S&P GS Commodity TR 0.6815 0.3584 0.2914 0.6733 1.0000
Beta (5 Year / Monthly)
© 2015 S-Network Global Indexes, 267 Fifth Avenue, New York, NY 10016.
Disclaimer
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