4
REFINITIV/CORECOMMODITY
Fr32
CRB®
TOTAL
RETURN INDEX
REFINITIV INDICES
REFINITIV/CORECOMMODITY CRB® EXCESS & TOTAL METHODOLOGY
RETURN INDEX
Selection: The inclusion or removals of commodities are
The Refinitiv/CoreCommodity CRB® Index is based on Exchange determined by the CC CRB Oversight Committee.
Traded Futures. The Index represents 19 commodities, grouped by The Committee take various factors into account when considering
liquidity into 4 groups. Petroleum products capped at 33%, other 3 inclusion or removal:
groups equal weighted. Refinitiv Commodity Indices also offers Non- Requisite liquidity as demonstrated by suitable levels of
Agri, Non-Energy and 3 month Forward versions. open interest, trading volumes, bid/ask spreads
Global economic significance; such as consumption,
EU BMR production levels and trends
Commodity sector correlations, relationships and
The Refinitiv/CoreCommodity CRB® Indices are administered by properties
Refinitiv Benchmark Services (UK) Limited (“RBSL”). RBSL is Contribution to strategic properties commonly associated
authorised and regulated in the UK by the Financial Conduct Authority with commodities as an asset class, e.g., inflation
(“FCA”), FCA Reference Number 610678. protection, diversification to traditional financial assets,
etc.
AVAILABLE INDICES
Index Components: Aluminium, Cocoa, Coffee, Copper, Corn,
Refinitiv/CoreCommodity CRB® Index Excess Return (.TRCCRB) Cotton, Crude Oil, Gold, Heating Oil, Lean Hogs, Live Cattle,
Refinitiv/CoreCommodity CRB® Index Total Return (.TRCCRBTR) Natural Gas, Nickel, Orange Juice, RBOB Gasoline, Silver,
Refinitiv/CoreCommodity CRB® 3-Month Forward Index Excess Return Soybeans, Sugar and Wheat
(.TRCCTBER)
Refinitiv/CoreCommodity CRB® 3-Month Forward Index Total Return Weighting scheme: Commodities are organized into 4 groups
(.TRCCTBTR) based on liquidity:
INDEX CHARACTERISTICS Group 1: Petroleum products – capped at 33%
Index Snapshot: Group 2: Seven highly liquid commodities (equal weighted
Number of Components 19 at 6%) – capped at 42%
Energy 39% Group 3: Four liquid commodities (equal weighted at 5%) –
Agriculture 34% capped at 20%
Metals 20% Group 4: Five commodities (equal weighted at 1%) –
Livestock 7% capped at 5%
Inception Date 03 JAN 1994
RIC .TRCCRBTR Rebalance: Monthly, on the 6th business day of each month
Roll: Monthly, 1st-4th of each month
HISTORICAL PERFORMANCE – RETURNS VS 3-MONTH FORWARD
700
RF/CC CRB® Total Return Index
600 RF/CC CRB® 3-Month forward Total Return Index
500
400
300
200
100
0
Feb-94 Jan-96 Dec-97 Nov-99 Oct-01 Sep-03 Aug-05 Jul-07 Jun-09 May-11 Apr-13 Mar-15 Feb-17 Jan-19 Dec-20
REFINITIV/CORECOMMODITY CRB® TOTAL RETURN INDEX
Total Return - Annualized
3M 6M 1Y 3Y 5Y
RF/CC CRB® TOTAL RETURN INDEX 74.63 45.44 -9.30 -3.25 0.18
RF/CC CRB® 3 MONTH FWD TR INDEX 70.47 43.10 -3.19 -0.42 2.79
Index Returns – By Year
2015 2016 2017 2018 2019
RF/CC CRB® TOTAL RETURN INDEX -23.36 9.65 1.66 -10.66 11.75
RF/CC CRB® 3 MONTH FWD TR INDEX -21.81 12.25 3.56 -8.37 11.32
Annualized Standard Deviation
3M 6M 1Y 3Y 5Y
RF/CC CRB® TOTAL RETURN INDEX 14.89 14.05 27.58 19.10 17.43
RF/CC CRB® 3 MONTH FWD TR INDEX 13.76 12.82 22.15 16.13 15.10
Annualized Sharpe Ratio
3M 6M 1Y 3Y 5Y
RF/CC CRB® TOTAL RETURN INDEX 5.01 3.23 -0.34 -0.17 0.01
RF/CC CRB® 3 MONTH FWD TR INDEX 5.12 3.36 -0.14 -0.03 0.18
Data as of 31 Dec 2020
% WEIGHT BY COMMODITY
RBOB Gasoline Refinitiv has over 30 years’ expertise in the Indices business and has
5% Natural Gas Corn calculated many of the most widely-held indices in the world. Our pure
6% 6%
Heating Oil beta indices and smart indices address many investor objectives
Soybeans
5% across asset classes, themes, regions and sectors.
6%
Live Cattle
6% We offer comprehensive institutional-quality solutions and a full-
service indexing partnership to help you get your ideas to market
efficiently. This is backed by our industry leading platform of financial
Gold
6% intelligence and trust principles which guarantee integrity.
WTI Crude Oil Aluminum
23% 6%
Copper
6%
For Further Information refinitiv.com/en/financial-
Sugar data/indices
Silver
1% Cotton
5% Enquiries Index_Queries@refinitiv.com
Coffee Cocoa 5% © 2020 Refinitiv
Orange Juice 5% 5%
1%
Lean Hogs Wheat Nickel
1% 1% 1%
