Thomson Reuters/Jefferies CRB Index
The Thomson Reuters / Jefferies CRB Index ( TRJ / CRB Index ) is a commodities index that includes 19 different futures, which are traded on commodity futures exchanges. He was first calculated in 1957 by Commodity Research Bureau ( CRB) in the USA. The current commodity index, which bears the name of CRB index is not comparable with the historical CRB index. In 2005 he was fundamentally revised, as its traditional calculation method was no longer current. The original CRB Index running ever since under the name of Continuous Commodity Index ( " Old CRB Index") on.
Concept
The CRB index was introduced in 1957 and has since been rebuilt several times. He initially contained 28 components, their number decreased to 1995 17 For each raw material went into the calculation is the average of futures prices of several due dates one. Until 1987, all futures due annually were used. A change in the composition was as soon as a contract with maturity was come in one year and was eliminated from the index at different intervals depending on the raw material of the next contract. From 1987, the calculation based on the futures of the next nine months, and from 1995 on the futures of the next six months was referring.
The CRB Index was at this time no replica of a trading strategy, because the resulting price differences were not compensated by adjusting the weights of the futures in the index. This fundamental problem of commodity index has not been resolved by the nine subsequent changes. The first revision was made on April 3, 1961 and the last on December 6, 1995. The CRB index could not be used as a benchmark for financial products, since only the number of companies included in the index calculation futures was changed and from the index level at most the price development of raw materials was read.
In 2001 a name change to "Reuters CRB Index" and on 20 June 2005 a new renamed " Reuters / Jefferies CRB Index" (RJ / CRB Index ) as well as a fundamental change in the concept. The index no longer applies since the futures of the next six months in a geometric weighting to each other, but on a near Future, which rolled regular ( extended ) is. The Reuters / Jefferies CRB index is the arithmetic average of 19 commodity futures, which are traded on the futures exchanges. The Commodity Research Bureau developed it together with the companies Reuters and Jefferies & Company. Since 2009, the index the name " Thomson Reuters / Jefferies CRB Index" bears ( TRJ / CRB Index ), to reflect the merger of Reuters and the Thomson Corporation on the media group Thomson Reuters on April 17, 2008.
The original Reuters - CRB Index running since 2005 under the name Continuous Commodity Index ( CCI, also called " Old CRB Index") and further consists of 17 equally weighted commodities (each 5.88 percent).
Composition
The first CRB Index from 1957 contained 28 components that were each weighted geometric ( 3.57 percent each ): cotton, cotton (spot), cottonseed oil, lead, eggs, barley, corn, rubber, oats, coffee, " B", cocoa, potatoes, copper, flaxseed, rye, lard, soybean, soybean meal, soybean oil, animal skins, wheat, wheat (spot), wool fat, wool tops, zinc, sugar No. 4, No. 6 sugar and onions. 26 commodities were traded on the futures markets in New York, Chicago and Winnipeg and two raw materials (cotton and wheat). On the spot markets in New Orleans and Minneapolis
Since 2005, the CRB Index of 19 futures is formed, which are divided into four categories. A conversion is made every month in order to keep the index weighting constant. It overweight commodities are sold and underweight in an appropriate ratio to buy.
Category I is called Petroleum and contains energy commodities except natural gas. This group has an index weighting of 33 percent. Petroleum has including 23 percent for the largest share, followed by heating oil and gasoline with five percent. The three raw materials are weighted in relation to their trade volume. Category II contains seven highly liquid commodities, including copper and gold. In this group all the raw materials have a weight of six percent. Category III includes four liquid raw materials, including cotton and coffee, their weighting is four percent. In category IV diversifying raw materials can be found, including nickel and wheat, which are recovered with a percentage in the calculation of the index.
The following overview shows the raw materials, their weightings in the index and the exchange on which the futures are traded.
Inflation indicator
The Thomson Reuters / Jefferies CRB Index is regarded as an indicator for the future development of inflation or the cost of development in the industry. He is at a turning point in the commodities market is a good leading indicator for the bond market, as raw materials in their tendency towards the bonds generally have a lead time of three to six months. Between the interest on the bonds and commodity prices (CRB Index ), there is also a close temporal connection.
Correlations of the CRB index with the geometrically weighted U.S. dollar index and the trade-weighted Trade Weighted U.S. Dollar Index can be seen. A falling U.S. dollar is equivalent to inflationary tendencies and tend to rising commodity prices. This is especially true for agricultural commodities and the price of oil.
For Europeans, it is exactly the opposite. A strong U.S. dollar leads to a weak euro (see Euro Effective Exchange Rate Index ). Based on the linkages between the markets, this means a constant velocity of commodity prices (CRB Index ) and Euro. Many currencies are relatively strongly dependent on the evolution of commodity prices. For example, the Canadian dollar has a close correlation to the CRB index. The currency tends to increase along with the index.
A context consists of freight rates with commodity prices and demand for metals, fuels, and foodstuffs. There is a certain parallelism between the development of the CRB Index and the Baltic Dry Index ( BDI). The BDI is published by the Baltic Exchange in London and is an important price index for the worldwide shipping of main cargo (mainly coal, iron ore and grain ) on standard routes.
History
Historical Overview
The CRB index was first calculated in 1957 by Commodity Research Bureau ( CRB) and 1958 published in the " CRB Commodity Yearbook ". The back-calculation was performed to 4 September 1956. 's Original base period was 1947 to 1949, as well as the " Bureau of Labor Statistics Spot Market Index ." This was done to ensure a simple comparison of the two spot and futures market indices. In the following 38 years there have been nine revisions. 1961, 1967, 1971, 1973, 1974, 1983, 1987, 1992 and 1995 In 2001, the name changed to "Reuters CRB Index".
With the tenth revision of the Index on 20 June 2005, which was accompanied by a name change to Reuters / Jeffries CRB Index, there was a fundamental change in the index concept. As a new base value of 300 points were established on 30 June 2005. The back-calculation according to the amended method of calculation was carried out until 1994. As of 21 September 2009, the index is named " Thomson Reuters / Jefferies CRB Index" ( TRJ / CRB Index) to the merger of Reuters and the Thomson Corporation on the media group Thomson Reuters reflect.
On June 12, began in 1986 at the " New York Futures Exchange ," a subsidiary of " New York Cotton Exchange ( NYCE ) ," the trading of futures on the CRB index and on 28 October 1988 of options on futures. On 10 June 2004, the NYCE and the " Coffee, Sugar and Cocoa Exchange " ( CSCE ) connected to the " New York Board of Trade " ( NYBOT ) together. Since the trading of futures takes place on the CRB Index on the NYBOT. On 12 January 2007, took the Intercontinental Exchange (ICE), the NYBOT, which was renamed on September 3, 2007 in ICE Futures U.S..
The CRB index began on 3 January 1994 at computationally 113.94 points. After an interim high on 3 October 1997 at 205.42 points in commodity index fell during the Asian crisis to February 16, 1999 to a low of 117.98 points. The decline is 42.6 percent. On 12 October 2000, the CRB index stood at 204.64 points and then during the recession by January 30, 2002 by 29.6 percent to drop to 143.97 points. In the following years the commodity index rose due to an enormous demand for raw materials in the People's Republic of China and India sharply.
On 26 October 2004 the index overcame for the first time calculated the limit of 300 points, on 25 February 2008 for the first time the 400 -point mark. On 2 July 2008 an all-time high was marked during the day with 473.52 points. Since the low of 2002 corresponds to an increase of 228.9 percent.
In the course of the international financial crisis in the U.S. subprime crisis had its origins in 2007, the index began to decline. 2008, the financial crisis had an increasing impact on the real economy. Due to a decline in global demand in the commodity markets were held, primarily from the beginning of the fourth quarter of 2008 strong price declines. On 2 March 2009, the CRB index fell 200.34 points to its lowest level since 2002. Since the all time high of July 2008, this represents a decrease of 57.7 percent. That is the biggest downfall in the history of the index. The February 24, 2009 marked the end of the descent. As of early 2009, the CRB Index was back on the way up.
On 29 April 2011, the index rose to 370.56 points. The February 2009, an increase of 85.0 percent. Was particularly strong rise in the prices of agricultural commodities. Especially meat, cereals, sugar and oils and fats prices rose since mid-2010. Reasons several factors are called (rising world population, growing money supply, speculation on agricultural markets, crop losses due to natural disasters, export restrictions in some countries ). Consequences of high commodity prices are rising inflation and the outbreak of unrest in parts of the world.
Annual development
The current commodity index, which bears the name of CRB index is not comparable with the historical CRB index. In 2005 he was fundamentally revised, as its traditional calculation method was no longer current. Today's CRB Index is a geometrically weighted commodity index and is dominated by the energy sector, while the classic index was a weighted arithmetic goods price index and had a preponderance in the agricultural sector. The original CRB index has been running since 2005 under the name Continuous Commodity Index ( " Old CRB Index") on. In order to present a meaningful time series, the data has been retroactively to 1994 converted to the change in methodology.
The table shows the annual high, low and closing levels of the back-calculated to 1994 CRB index.
¹ December 31, 2012
Other commodity indices
- Continuous Commodity Index
- Dow Jones -UBS Commodity Index
- FAO Food Price Index
- Rogers International Commodity Index
- S & P GSCI