abstract: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.What is total return index?
It maybe toocostlyorimpractical toreplicatethetargetedindexcompletely. To synthesise it, the ETFproviderusually enters into atransactionknown as a totalreturnswapwith a bank.
The note consists of futures of contracts of seven agricultural commodities (soybeans, corn, wheat, cotton, soybean oil, coffee and sugar) and tracks the return of the Dow Jones-UBS Agriculture Total Return Sub-Index.