THOMSON REUTERS EQUAL WEIGHT COMMODITY

TOTAL RETURN INDEX

REFINITIV INDICES

THOMOSN REUTERS COMMODITY INDICES METHODOLOGY

The Thomson Reuters Equal Weight Commodity Total Thomson Reuters Equal Weight Commodity Total Return
Return Index is a broad based commodity index reflecting index is based on the average daily prices of 17 component
the price movement of 17 exchange traded future contracts. commodities. The commodities are considered in equal
Thomson Reuters Commodity Indices also offers Thomson weights, which are maintained through daily arithmetic
Reuters/CoreCommodity CRB® Index, Non-Energy, Non-Agri averaging.
and 3 month Forward versions.
Index Components: Cocoa, Coffee, Copper, Corn,
AVAILABLE INDICES Soybeans, Cotton, Crude Oil, Gold, Heating Oil, Lean Hogs,
Live Cattle, Natural Gas, Platinum, Silver, Soy Oil, Sugar
Thomson Reuters Equal Weight Commodity Excess Return and Wheat
Index (.TRCCIER)
Thomson Reuters Equal Weight Commodity Total Return Weighting scheme: Equal weighted
Index (.TRCCITR)
Thomson Reuters Equal Weight Commodity Index (.TRCCI) – Rebalance: Daily
Old CRB Index
Roll: The roll periods take place during the week leading up
to the second Friday of the same six months (Jan, Feb, Apr,
June, Aug, and Nov) every year.
INDEX CHARACTERISTICS
Index Snapshot: Index Snapshot:
Energy 18% Number of Components 17
Agriculture 47% Currency USD
Livestock 12% Inception Date 20 AUG 1999
Metals 23% RIC .TRCCITR

HISTORICAL PERFORMANCE - TOTAL RETURNS VS EXCESS RETURNS

500
TR Equal Weight Total Return Index
TR Equal Weight Excess Return Index
450

400

350

300

250

200

150

100
Sep-99 Dec-01 Mar-04 Jun-06 Sep-08 Dec-10 Mar-13 Jun-15 Sep-17 Dec-19
 THOMSON REUTERS EQUAL WEIGHT COMMODITY TOTAL RETURN INDEX

Total Return - Annualized

3M 6M 1Y 3Y 5Y
TR EQUAL WEIGHT COMMODITY TR INDEX 31.90 12.10 8.43 0.08 -2.73
TR EQUAL WEIGHT COMMODITY ER INDEX 29.81 10.10 6.19 -1.57 -3.77

Index Returns – By Year

2015 2016 2017 2018 2019
TR EQUAL WEIGHT COMMODITY TR INDEX -17.76 5.61 0.50 -8.02 8.43
TR EQUAL WEIGHT COMMODITY ER INDEX -17.80 5.28 -0.43 -9.81 6.19

Annualized Standard Deviation

3M 6M 1Y 3Y 5Y
TR EQUAL WEIGHT COMMODITY TR INDEX 6.16 8.72 8.43 8.70 9.90
TR EQUAL WEIGHT COMMODITY ER INDEX 6.18 8.72 8.44 8.70 9.92

Annualized Sharpe Ratio

3M 6M 1Y 3Y 5Y
TR EQUAL WEIGHT COMMODITY TR INDEX 5.18 1.39 1.00 0.01 -0.28
TR EQUAL WEIGHT COMMODITY ER INDEX 4.83 1.16 0.73 -0.18 -0.38
Data as of 31 Dec 2019

% WEIGHT BY COMMODITY

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Wheat Cocoa
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Platinum Soybeans
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Live Cattle Crude Oil

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Lean Hogs Heatin Gold
5.88% g Oil 5.88%
5.88%