SHPEI notes:
The SummerHaven Private Equity Strategy Index (SHPEI) is constructed as follows. From a universe of approximately 3,000 U.S. companies, proprietary screens are applied to determine an investable universe. The SHPEI is then constructed using a proprietary methodology which favors companies with low enterprise value to earnings before interest, taxes, depreciation, and amortization (“EV / EBITDA”) ratios; low net equity issuance; low market capitalization; and moderate profitability, and includes the greater of 200 or 20% of such investable universe. The SHPEI assumes an investment on the first trading day of each July, at the closing price on such trading day, of equal dollar amounts in eligible stocks. Rebalancing occurs once per year on the first trading day of each succeeding July. The proceeds of any “going private” transaction are assumed to be reinvested equally in the remaining stocks in the portfolio as of the date of the transaction. Dividends if any are assumed to be reinvested.
The SHPEI does not represent actual trading, and any product based on the index would have had different results than those shown, due inter alia to the difference between the actual buy and sell prices versus the assumption of trading at the close (including the potential to trade over several days versus on a single day, especially for less liquid stocks) and the fees and expenses (including but not limited to brokerage commissions) of any such product.
SHPEI returns shown reflect back-tested performance prior to the index inception date (December 2017). Back-tested performance is not actual performance, but is hypothetical performance based on actual returns of index components. The back-test calculations are based on the same methodology that was in effect when the Index was officially launched. However, back-tested data may reflect the application of the Index methodology with the benefit of hindsight, and may not reflect the impact that material economic and market factors might have had if SummerHaven had calculated the Index on a live basis.
The S&P500, Russell2000 and PitchBook PE index information is included to show the general market, volatility, or private equity funds trend during the period indicated and is not intended to imply that the SHPEI was similar to those indices either in composition or element of risk or that any such index is an appropriate benchmark for comparison to the SHPEI. The performance of the indices assumes no transaction costs, management or incentive fees, or other expenses.
Neither SummerHaven Index Management, LLC nor its members, officers, employees, partners or affiliates make any claim, prediction, warranty or representation whatsoever, expressly or impliedly, either as to the results to be obtained from the use of the SHPEI or the fitness or suitability of the Index for any particular purpose to which they might be put. Past performance should not be construed as an indicator of future performance.
Source: SummerHaven Investment Management; Bloomberg; equity factors data (basis and momentum) is based on data maintained by Prof Kenneth R. French, Roth Family Distinguished Professor of Finance at the Tuck School of Business at Dartmouth College.
Commodities notes:
Commodities index (hypothetical) is based on equally weighted monthly index of rolling front futures (shortest futures contract that will not expire in that month) and collateralized by t-bill rate.
Bonds: For the period 1926 to 1991 bond returns are based on Ibbotson Associate Long Term Government Total Returns, and Bloomberg/Barclays 7-10 year index subsequent to that. For the period prior to 1926 we use data from Siegel (1992) ), “The real rate of interest from 1800-1990 A study of U.S. and U.K.” Journal of Monetary Economics 29: 227-252.
T-Bills: T-Bill returns based on data from Federal Reserve Economic Data for the period 1934-2018, 3-Month Treasury Bill: Secondary Market Rate. For the period 1926 to 1934 Bills returns are based on Ibbotson Associate 30 Day Treasury Bills Total Returns. For the period prior to 1926 we use data from Siegel (1992)), “The real rate of interest from 1800-1990 A study of U.S. and U.K.” Journal of Monetary Economics 29: 227-252.
Stocks: Shiller, R. J. (2000), “Irrational Exuberance.” Princeton University Press; for the period 1872-1987, and S&P 500 TR for the period 1988-2018.
The bonds, T-bills and stock information is included to show the general market and volatility trend during the period indicated and is not intended to imply that the commodities index is similar to those indices either in composition or element of risk or that such indices are an appropriate benchmark for comparison. The performance of the indices assumes no transaction costs, management or incentive fees, or other expenses.
List of commodities
New York-Cotton; New Orleans-Cotton; Chicago -Cotton; Liverpool -Cotton; Alexandria -Cotton; New York-Cocoa; New York-Potatoes; New York-Black Pepper ; New York-Silk; Chicago -Potatoes; Chicago -Onions; Chicago -Plywood; Singapore -Rubber; New York-Rubber; New York-Coffee; New York-Sugar; New York-Coffee-Robusta; New York-Orange Juice; London-Cocoa; EU-White Sugar; Chicago-Lumber; Winnipeg -Wheat; Duluth -Wheat; New York-Wheat; St. Louis-Wheat; Kansas City-Wheat; Philadelphia -Wheat; Chicago -Wheat; Minneapolis -Wheat; Toledo -Wheat (No. 2 Red) ; Liverpool -Wheat; New York-Corn; Chicago -Corn; St. Louis-Corn; Kansas City-Corn; Philadelphia -Corn; New York-Oats; Winnipeg -Oats; Philadelphia-Oats; Chicago-Oats; St. Louis-Oats; Minneapolis -Oats; Chicago -Rye; Minneapolis -Rye; Winnipeg -Rye; Winnipeg -Barley; Chicago -Barley; Chicago -Flaxseed; Winnipeg -Flaxseed; Duluth -Flaxseed; Minneapolis -Flaxseed; New York-Soybean Oil ; Chicago -Soybean Oil ; Chicago -Soybean; Chicago -Soybean Meal ; Toledo -Cloverseed; Winnipeg -Canola; New York-Cottonseed Oil ; Rough Rice-Rough Rice; Rapeseed-Rapeseed; Malaysia-Crude Palm Oil; EU-European Wheat; New York-Hides; New York-Lard; Chicago -Lard; New York-Wool Tops ; New York-Grease Wool ; Chicago -Pork; Chicago -Butter; Chicago -Eggs; Chicago -Turkey; Chicago -Ribs; Chicago -Broiler; Chicago -Clear Bellies/ Pork Bellies; Chicago -Milk; Chicago -Feeder Cattle; Chicago -Live Cattle; Chicago -Lean Hogs; Chicago -Cheese; Chicago -Dry Whey; New York-Copper; New York-Tin; New York-Zinc; London -Copper; London-Tin; London -Zinc; London-Lead; London -Pig Iron ; London -Silver; London -Nickel; London -Aluminum; New York-Palladium; New York-Platinum; New York-Silver; New York-Gold; London-Brent Crude; New York-WTI Crude; New York-Heating Oil; London-Gas Oil; London-Natural Gas-UK; New York-Natural Gas-US; New York-Gasoline; New York-RBOB; Chicago-Ethanol.
Source: Database starts in 1871, with grains (wheat, corn, oats, barley) and Animal products (pork, lard, shoulders) traded in Chicago. Softs data starts with cotton futures data traded in New York, and London industrial metals (Copper and Tin) data starts in 1870’s. Precious metals data starts with London Silver in early 1900’s. All calculations made by SummerHaven.
General notes:
These charts are for information purposes only, does not constitute investment advice and should not be deemed to be a recommendation to make any investment. While all the information is believed to be accurate, SummerHaven Index Management, LLC makes no express warranty as to its completeness or accuracy, nor can it accept responsibility for errors.