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Choice of commodity markets and contracts

Rogers International Commodity Index^® (RICI)^® is based on monthly closing prices of a fixed-weight portfolio of the nearby futures and forwards contract month of international commodity markets. The selection and weighting of the portfolio is reviewed annually and weights assigned in the December preceding the start of a new year. If a commodity is traded on more than one exchange, the most liquid, in terms of volume and open interest combined, is included in the RICI^®. For example, silver is traded at the New York Commodity Exchange, the Chicago Board of Trade and the Mid-America Commodity Exchange. The largest volume and open interest is consistently transacted at the New York Commodity Exchange, consequently, this contract represents silver in the RICI^® at the exclusion of the contracts at the Chicago Board of Trade and the Mid-America Commodity Exchange.

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Index weightings

The fixed weights of each commodity selected for inclusion in the RICI^® are determined in the December preceding each new year. These weights are then applied to the price changes in the nearby futures of forwards contract each month. For example, wheat is 7% of the RICI^® for the current trading year. Each month, the change in value of wheat will comprise 7% of the RICI^® change in value.

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Calculation of monthly returns

The monthly return in each market is calculated in percentage terms according to the following formula:

Return = (Current Month Closing Price / Previous Month Closing Price) – 1

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Calculation of foreign market monthly returns

The monthly return in each foreign market is calculated in percentage terms according to the following formula:

Return = ((Current Month Closing Price * Current Month Currency Conversion Rate) / (Previous Month Closing Price * Previous Month Currency Conversion Rate)) – 1

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Calculation of monthly rate of return for RICI^®

The monthly rate of return of the RICI^® equals the weighted average of the individual commodity market returns plus the interest income calculated above.

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Calculation of the RICI^® value

The value of the RICI^® is computed by compounding the monthly rates of return on the Index. The beginning net asset value of the RICI^® equals 1000 as of January 1, 1984. Each month thereafter, the net asset value is determined according to the following formula:

Net Asset Value = (1 + Current Month Return) * Previous Month Net Asset Value

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Rolling of contract months

For each commodity in the RICI^®, the nearby contract, not subject to notice days, delivery days or other contract rules that could effect the holding of a commodity contract for the index for the entire calendar month is included in the above calculations. If the next calendar month includes a notice day, delivery day or historical evidence indicates liquidity migrates to the next contract month during this period, the next contract month is used for calculation of the RICI^®. For example, coffee has a first notice day seven business days prior to the beginning of the delivery month. In the March contract, this notice day would occur in February. The last day the March contract is included in the calculation of the RICI^® is January 31 (or last business day of January) in order to avoid holding the contract during the notice period. Accordingly, the February return is based on the next contract month; in the case of coffee, this would be the May contract. In most cases, exposure to a contract concludes two months prior to the expiration month of the contract.

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Source of Data

The data for each commodity contract comes from the commodity exchanges through data vendors believed to be reliable. Currency rates are acquired through Bloomberg and are believed to be reliable. Although these data sources are believed to be reliable, there is no assurance that the data is indeed accurate. RICI makes no representation to the accuracy of the data utilized.

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*As of 3/1/04, Soy Bean meal has replaced Flaxseed in the Index.