Rogers International Commodity Index
Encyclopedia
The Rogers International Commodity Index ( RICI ) is a composite, USD based, total return index
, designed by Jim Rogers
in 1996/1997. The first fund began on July 31, 1998.
The index was designed to meet the need for consistent investing in commodities through a broad-based international vehicle. The index is perhaps the most diverse commodity index — it is calculated from 37 commodities
from 13 international exchanges. The list of commodities is subject to change by the RICI Committee. In general, a commodity will be considered fit to be included in the index if it plays a significant role in worldwide (developed and developing countries) consumption. If one particular commodity is being traded on more than one international exchange, the most liquid contract globally, in terms of volume and open interest combined, is then selected for inclusion in the index. Liquidity is also used in determining weights in the Index.
The index is divided into three sub-indices, which reflect the three sub-segments of the RICI - RICI Agriculture, RICI Energy and RICI Metals. The sub-indices' contribution to main index from the beginning are Agriculture - 34.90%, Energy - 44.00%, Metals - 21.10% according to the RICI Handbook (see reference below).
Each commodity is rebalanced on the start of each month towards initial weights, determined annually by the RICI Committee as discussed in the RICI Handbook (see reference below). The RICI has had very few changes since 1996 making it the most stable, consistent, and transparent of all the commodity indexes. When one invests in the RICI, one knows what one will own a few years down the road in sharp contrast to the other commodity indexes which change significantly.
For each commodity, the most valid (most actively traded from the committee point of view) expiration is chosen to be included into the RICI calculation. The index is rolled at the end of each month to contracts that are expected to be most active during the next month. Generally, if the next calendar month of a futures contract includes a first notice day, a delivery day or historical evidence that liquidity migrates to a next contract month during this period, then the next contract month is intended to be applied to calculate the index – taking legal constraints into account.
The index calculation methodology is reviewed annually by the index committee during its meeting in December and possibly amended thereafter. Meetings can be called at any time if conditions warrant it.
Merrill Lynch has a TRAKR linked to the Index. It is listed on the Chicago Mercantile Exchange so is widely available. Merrill Lynch also has other products listed in New York such as the ones under the symbols RJI, RJA, RJN, RJZ
ABN-AMRO has listed an ETF based on the Index in Germany and Switzerland so it too is widely available. ABN-AMRO also has products linked to the Agriculture Index which some find attractive. The ABN-AMRO symbols are AOJ K68, AOM MBJ, and AOM MBH.
The symbols for products listed in Singapore are: AA ZPC RICIAGR110228 for the RICI Enhanced Agriculture Zero Cert (Code: FM9W.SI) and AA ZPC RICIENH110228 for the RICI Enhanced Commodity Index Zero Cert (http://www.sgx.com/wps/portal/marketplace/mp-en/listed_companies_info/warrant_all-in-one_info/!ut/p/c5/pY9JDoJAFAWP9H9jC-0SGpmEBoVWYENwCIEwLQhGTi8ewLgwb1mpVB7ksK4v57oqp3royxZSyNWC27pDNR_RjjQLFeG4ImQcaUhWnqkF9eVebncbZFa0co9r_lZGiDH5x7bVH_YFUqRF3LAxeE2pv_A5aZYjiiR4BuaBCFNXAmFG9_NJGrpxC3k5ggd51Q7XzzMOwhm6B2SQa18zlMDYSTl3zH0DMADV1g!!/dl3/d3/L0lDU0lKSmdwcGchIS9JRFNBQ0lpTXlDb2tBRUFtaWdZIS80QzFiOVdfTnIwZ0NVZ2chLzdfQ0dBSDQ3TDAwR1A3RjAyTkhJTk84QzA0NDEvWEx6OjA2MTIwMTA5LzE1NjAwMjkyNjg3Ng!!/FM8W] Code:FM8W.SI)
Total return index
A total return index is an index that measures the performance of a group of components by assuming that all cash distributions are reinvested, in addition to tracking the components' price movements. While it is common to refer to equity based indices, there are also total return indices for bonds...
, designed by Jim Rogers
Jim Rogers
James Beeland Rogers, Jr. is an American investor, author, and occasional financial commentator. He is currently based in Singapore. Rogers is the Chairman of Rogers Holdings and Beeland Interests, Inc...
in 1996/1997. The first fund began on July 31, 1998.
The index was designed to meet the need for consistent investing in commodities through a broad-based international vehicle. The index is perhaps the most diverse commodity index — it is calculated from 37 commodities
Commodity
In economics, a commodity is the generic term for any marketable item produced to satisfy wants or needs. Economic commodities comprise goods and services....
from 13 international exchanges. The list of commodities is subject to change by the RICI Committee. In general, a commodity will be considered fit to be included in the index if it plays a significant role in worldwide (developed and developing countries) consumption. If one particular commodity is being traded on more than one international exchange, the most liquid contract globally, in terms of volume and open interest combined, is then selected for inclusion in the index. Liquidity is also used in determining weights in the Index.
The index is divided into three sub-indices, which reflect the three sub-segments of the RICI - RICI Agriculture, RICI Energy and RICI Metals. The sub-indices' contribution to main index from the beginning are Agriculture - 34.90%, Energy - 44.00%, Metals - 21.10% according to the RICI Handbook (see reference below).
Calculation key points
Calculation is being done in realtime and settlement values are being published daily.Each commodity is rebalanced on the start of each month towards initial weights, determined annually by the RICI Committee as discussed in the RICI Handbook (see reference below). The RICI has had very few changes since 1996 making it the most stable, consistent, and transparent of all the commodity indexes. When one invests in the RICI, one knows what one will own a few years down the road in sharp contrast to the other commodity indexes which change significantly.
For each commodity, the most valid (most actively traded from the committee point of view) expiration is chosen to be included into the RICI calculation. The index is rolled at the end of each month to contracts that are expected to be most active during the next month. Generally, if the next calendar month of a futures contract includes a first notice day, a delivery day or historical evidence that liquidity migrates to a next contract month during this period, then the next contract month is intended to be applied to calculate the index – taking legal constraints into account.
The index calculation methodology is reviewed annually by the index committee during its meeting in December and possibly amended thereafter. Meetings can be called at any time if conditions warrant it.
Values
The initial value of RICI was set to 1000 on July 31, 1998. By February 2011, the index had grown by 317.60% to a value of 4176.01. The RICI has been known to have higher compound returns than other commodity indexes since 1 August 1998. (See Comparative Performance chart in reference below (as of June 2009)).Investment Information
RICI and its sub-indices products are offered by various Licensees in most major markets.Merrill Lynch has a TRAKR linked to the Index. It is listed on the Chicago Mercantile Exchange so is widely available. Merrill Lynch also has other products listed in New York such as the ones under the symbols RJI, RJA, RJN, RJZ
ABN-AMRO has listed an ETF based on the Index in Germany and Switzerland so it too is widely available. ABN-AMRO also has products linked to the Agriculture Index which some find attractive. The ABN-AMRO symbols are AOJ K68, AOM MBJ, and AOM MBH.
The symbols for products listed in Singapore are: AA ZPC RICIAGR110228 for the RICI Enhanced Agriculture Zero Cert (Code: FM9W.SI) and AA ZPC RICIENH110228 for the RICI Enhanced Commodity Index Zero Cert (http://www.sgx.com/wps/portal/marketplace/mp-en/listed_companies_info/warrant_all-in-one_info/!ut/p/c5/pY9JDoJAFAWP9H9jC-0SGpmEBoVWYENwCIEwLQhGTi8ewLgwb1mpVB7ksK4v57oqp3royxZSyNWC27pDNR_RjjQLFeG4ImQcaUhWnqkF9eVebncbZFa0co9r_lZGiDH5x7bVH_YFUqRF3LAxeE2pv_A5aZYjiiR4BuaBCFNXAmFG9_NJGrpxC3k5ggd51Q7XzzMOwhm6B2SQa18zlMDYSTl3zH0DMADV1g!!/dl3/d3/L0lDU0lKSmdwcGchIS9JRFNBQ0lpTXlDb2tBRUFtaWdZIS80QzFiOVdfTnIwZ0NVZ2chLzdfQ0dBSDQ3TDAwR1A3RjAyTkhJTk84QzA0NDEvWEx6OjA2MTIwMTA5LzE1NjAwMjkyNjg3Ng!!/FM8W] Code:FM8W.SI)