CRB index
The CRB Index (official name currently “Thomson Reuters / Corecommodity CRB Total Return Index”) is a commodity index that comprises 19 different futures that are traded on commodity futures exchanges . It was first calculated in 1957 by the Commodity Research Bureau (CRB) in the USA . In 2005 it was completely revised (see below) that the current CRB index can no longer be compared with the historical index. The original index has since continued under the name Continuous Commodity Index ("Old CRB Index").
concept
| year | Futures market | Spot market |
|---|---|---|
| 1957 | 26th | 2 |
| 1961 | 25th | 2 |
| 1967 | 26th | 2 |
| 1971 | 27 | 2 |
| 1973 | 28 | 0 |
| 1974 | 27 | 0 |
| 1983 | 27 | 0 |
| 1987 | 21st | 0 |
| 1992 | 21st | 0 |
| 1995 | 17th | 0 |
| 2005 | 19th | 0 |
The CRB Index was introduced in 1957 and has been redesigned several times since then. While it initially contained 28 components , their number sank to 17 by 1995. For each commodity, the calculation was based on the average of the futures prices from several maturity dates. Until 1987, all futures due annually were used. A change in the composition took place as soon as a contract with a maturity in one year was added and the close contract was removed from the index at different intervals depending on the commodity. From 1987 the calculation was based on the futures of the following nine months and from 1995 on the futures of the following six months.
At that time, the CRB Index was not a replica of a trading strategy, because the resulting price differences were not offset by adjusting the weights of the futures in the index. This basic problem of the raw materials index has not been solved by the nine subsequent changes either. The first revision took place on April 3, 1961 and the last on December 6, 1995. The CRB index could not be used as a benchmark for financial products, as only the number of futures included in the index calculation was changed and the index value at most changed the price development of Raw materials was readable.
In 2001, the name was changed to “Reuters-CRB Index” and on June 20, 2005 it was renamed “Reuters / Jefferies CRB Index” (RJ / CRB Index) and the concept was fundamentally changed. Since then, the index no longer refers to the futures of the following six months in geometric weighting to each other, but to a close future that is regularly rolled (extended). The Reuters / Jefferies CRB Index is the arithmetic mean of 19 commodity futures that are traded on the futures exchanges. The Commodity Research Bureau developed it together with Reuters and Jefferies & Company . Since 2009, the index has been called the "Thomson Reuters / Jefferies CRB Index" (TRJ / CRB Index) to reflect the merger of Reuters and Thomson Corporation to form the Thomson Reuters media group on April 17, 2008.
The original Reuters CRB Index has been running since 2005 under the name Continuous Commodity Index (CCI, also "Old CRB Index") and consists of 17 equally weighted commodities (5.88 percent each).
composition
The first CRB Index from 1957 contained 28 components that were geometrically weighted (3.57 percent each): cotton, cotton (spot), cottonseed oil, lead, eggs, barley, grain, gum, oats, coffee "B", cocoa, Potatoes, copper, flaxseed, rye, lard, soybeans, soybean meal, soybean oil, animal hides, wheat, wheat (spot), wool fat, wool tips, zinc, sugar # 4, sugar # 6, and onions. 26 commodities were traded on the futures markets in New York , Chicago and Winnipeg and two (cotton and wheat) on the spot markets in New Orleans and Minneapolis .
Since 2005, the CRB Index has been made up of 19 futures, which are divided into four groups. A switch is made every month in order to keep the index weighting constant. Overweighted raw materials are sold and underweighted ones are bought in a corresponding ratio. Group 1 is petroleum products (petroleum products) and includes energy commodities except natural gas. Their index weight is limited to 33 percent; Crude oil has the largest share with 23 percent, followed by heating oil and gasoline with five percent each (roughly weighted according to their trading volume ). Group 2 contains seven very liquid commodities, including copper and gold, all 6% weighted. Group 3 contains four liquid raw materials, including cotton and coffee, each weighted 5%. In group 4 are the five remaining ( diversifying ) commodities, including nickel and wheat, each of which is included in the calculation of the index with 1%.
The following overview shows the commodities, their weighting in the index and the stock exchange whose futures prices are included in the index:
| category | raw material | Weighting in% | Stock exchange |
|---|---|---|---|
| I. | oil | 23 | New York Mercantile Exchange |
| I. | Unleaded gasoline | 5 | New York Mercantile Exchange |
| I. | Heating oil | 5 | New York Mercantile Exchange |
| Petroleum products | 33 | ||
| II | aluminum | 6th | London Metal Exchange |
| II | natural gas | 6th | New York Mercantile Exchange |
| II | gold | 6th | New York Mercantile Exchange |
| II | copper | 6th | New York Mercantile Exchange |
| II | Live cattle | 6th | Chicago Mercantile Exchange |
| II | Corn | 6th | Chicago Board of Trade |
| II | Soybeans | 6th | Chicago Board of Trade |
| Highly liquid raw materials | 42 | ||
| III | cotton | 5 | ICE Futures US |
| III | coffee | 5 | ICE Futures US |
| III | cocoa | 5 | ICE Futures US |
| III | sugar | 5 | ICE Futures US |
| Liquid raw materials | 20th | ||
| IV | Lean pig | 1 | Chicago Mercantile Exchange |
| IV | nickel | 1 | London Metal Exchange |
| IV | orange juice | 1 | ICE Futures US |
| IV | silver | 1 | New York Mercantile Exchange |
| IV | wheat | 1 | Chicago Board of Trade |
| Diversifying commodities | 5 |
Inflation indicator
The Thomson Reuters / Jefferies CRB Index is an indicator of the future development of inflation or the development of costs in the industry. In the event of a trend reversal on the commodities market , it is a good leading indicator for the bond market , as commodities generally have a lead of three to six months compared to bonds . There is also a close temporal connection between bond interest rates and commodity prices (CRB index).
Relationships between the CRB Index and the geometrically weighted US Dollar Index and the trade-weighted Trade Weighted US Dollar Index can be seen. A falling US dollar is synonymous with inflationary tendencies and rising raw material prices. This is especially true for agricultural commodities and the price of oil .
For Europeans it is exactly the opposite. A strong US dollar leads to a weak euro (see Euro Effective Exchange Rate Index ). In terms of the links between the markets, this means that commodity prices (CRB index) and euros are synchronized. Numerous currencies are relatively dependent on the development of raw material prices. For example, the Canadian dollar has a close correlation with the CRB index. The currency tends to rise along with the index.
There is a connection between freight rates and raw material prices and the demand for metals, fuels and food. There is a certain synchronization 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 major cargo (mainly coal, iron ore and grain) on standard routes.
history
Historical overview
The CRB Index was calculated for the first time in 1957 by the Commodity Research Bureau (CRB) and published in 1958 in the “CRB Commodity Year Book”. The calculation was made back to September 4, 1956. The original base period was 1947 to 1949, as was the case with 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 were 9 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 June 20, 2005, which was accompanied by a renaming of the Reuters / Jeffries CRB Index, a fundamental change in the index concept took place. On June 30, 2005, 300 points were set as the new base value. The recalculation for the changed method of calculation was carried out until 1994. Since September 21, 2009 follows the index the name "Thomson Reuters / Jefferies CRB Index" (TRJ / CRB Index) to the merger of Reuters and the Thomson Corporation for media company Thomson Reuters to reflect.
On June 12, 1986, the "New York Futures Exchange", a subsidiary of the "New York Cotton Exchange (NYCE)" began trading futures on the CRB Index and on October 28, 1988 of options on futures. On June 10, 2004, the NYCE and the "Coffee, Sugar and Cocoa Exchange" (CSCE) merged to form the "New York Board of Trade" (NYBOT). Since then, futures trading on the CRB Index has taken place on NYBOT. On January 12, 2007, the Intercontinental Exchange (ICE) took over the NYBOT, which was renamed ICE Futures US on September 3, 2007 .
The CRB Index started on January 3, 1994 at 113.94 points. After an interim high on October 3, 1997 at 205.42 points, the commodity index fell to a low of 117.98 points by February 16, 1999 during the Asian crisis . The decrease is 42.6 percent. On October 12, 2000, the CRB Index stood at 204.64 points and then fell by 29.6 percent to 143.97 points during the recession by January 30, 2002. In the following years, the raw material index rose sharply due to an enormous demand for raw materials in the People's Republic of China and India .
On October 26, 2004, the index crossed the 300-point mark for the first time and on February 25, 2008 the 400-point mark for the first time. On July 2, 2008, an all-time high of 473.52 points was recorded during the day. Since the low in 2002, this corresponds to an increase of 228.9 percent.
The index began to decline in the course of the international financial crisis , which began in 2007 with the US housing crisis . In 2008 the financial crisis increasingly affected the real economy. Because of the lower global demand on the raw material markets, prices fell sharply, especially from the beginning of the fourth quarter of 2008. On March 2, 2009, the CRB Index fell to 200.34 points, its lowest level since 2002. Since the all-time high of July 2008, this corresponds to a decline of 57.7 percent. This is the biggest fall in the history of the Index. February 24, 2009 marked the end of the downward trend. From the beginning of 2009 the CRB Index was on the way up again.
On April 29, 2011 the index rose to 370.56 points. That means an increase of 85.0 percent since February 2009. The price increase for agricultural commodities was particularly strong. Meat, grain, sugar as well as oils and fats in particular have risen in price since mid-2010. Several factors are named as reasons (rising world population , growing money supply , speculation on the agricultural markets, crop failures due to natural disasters , export restrictions in some countries). The consequences of high raw material prices are an increase in inflation and unrest in parts of the world.
Annual development
Today's commodity index, called the CRB Index, cannot be compared with the historical CRB Index. It was fundamentally revised in 2005 when its traditional calculation method was no longer up to date. Today's CRB Index is a geometrically weighted commodity index and is dominated by the energy sector, while the classic index was an arithmetically weighted commodity price index and had an overweight in the agricultural sector. The original CRB Index has been running since 2005 under the name Continuous Commodity Index ("Old CRB Index"). In order to present a meaningful time series, the data were converted retrospectively to 1994 using the changed methodology.
The table shows the annual highs, lows and closings of the CRB Index calculated back to 1994.
| year | Peak | Lowest point | Final stand |
|---|---|---|---|
| 1994 | 139.19 | 113.94 | 134.78 |
| 1995 | 151.11 | 132.20 | 150.15 |
| 1996 | 197.69 | 145.59 | 194.55 |
| 1997 | 205.65 | 181.09 | 181.09 |
| 1998 | 181.42 | 121.88 | 125.44 |
| 1999 | 159.52 | 117.98 | 157.69 |
| 2000 | 204.64 | 154.75 | 195.93 |
| 2001 | 203.36 | 145.20 | 147.97 |
| 2002 | 199.05 | 143.97 | 194.40 |
| 2003 | 245.42 | 197.23 | 238.99 |
| 2004 | 300.61 | 243.59 | 278.58 |
| 2005 | 336.20 | 273.53 | 331.83 |
| 2006 | 365.35 | 295.13 | 307.26 |
| 2007 | 359.78 | 285.88 | 358.71 |
| 2008 | 473.52 | 208.60 | 229.54 |
| 2009 | 284.45 | 200.34 | 283.38 |
| 2010 | 332.80 | 248.79 | 332.80 |
| 2011 | 370.56 | 293.28 | 305.30 |
| 2012¹ | 325.91 | 267.16 | 295.01 |
¹ December 31, 2012
Further commodity indices
- Continuous Commodity Index
- Dow Jones-UBS Commodity Index
- FAO Food Price Index
- Rogers International Commodity Index
- S&P GSCI
Web links
Individual evidence
- ↑ a b Thomson Reuters / CoreCommodity - CRB Index. Thomson Reuters, April 4, 2017, accessed April 14, 2017 .
- ↑ Thomson Reuters: Continuous Commodity Index ( Memento of the original from March 31, 2010 in the Internet Archive ) Info: The archive link has been inserted automatically and has not yet been checked. Please check the original and archive link according to the instructions and then remove this notice. (PDF; 220 kB)
- ↑ Sentix: Technical Intermarket Analysis ( Memento from December 16, 2005 in the Internet Archive )
- ↑ Frankfurter Allgemeine Zeitung: Decline in the Baltic Dry Index is not a good signal for the global economy , from July 6, 2010
- ^ Commodity Research Bureau: Redesigned Reuters CRB Index At New York Board Of Trade , May 10, 2005
- ↑ Die Presse: SuperMarkt: Hunger for the printing press , from January 29, 2011
- ↑ Manager Magazin: Expensive Raw Materials - Prices for Oil and Copper continue to climb , from February 2, 2011
- ↑ Stooq: Historical Prices
