Continuous Commodity Index
The Continuous Commodity Index (CCI, also "Old CRB Index") is a commodity index that comprises 17 different futures that are traded on commodity futures exchanges . It was calculated for the first time in 1957 by the Commodity Research Bureau (CRB) in the USA and is listed on the ICE Futures US futures exchange . The CCI is not to be confused with the Thomson Reuters / Jefferies CRB Index (TRJ / CRB Index). The original CRB Index was introduced in 1957 and renamed the Continuous Commodity Index in 2005.
concept
The Continuous Commodity Index (CCI) was introduced in 1957 by the Commodity Research Bureau under the name CRB Index and has since been redesigned several times. 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. In 2001 the name was changed to “Reuters-CRB Index” and on June 20, 2005 it was renamed “Continuous Commodity Index” (CCI).
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. The original CRB Index has since continued under the name Continuous Commodity Index. The Commodity Research Bureau developed the current CRB Index 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 CRB Index is an arithmetic commodity price index that comprises 19 different futures on commodities. The CCI (“Old CRB Index”), on the other hand, is a geometric commodity price index that comprises 17 commodities.
The CCI is considered 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 relationship between bond interest rates and commodity prices (CCI). Connections between the CCI 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 .
composition
The first CCI (Old CRB Index) from 1957 contained 28 components that were geometrically weighted to one another (3.57 percent each). The Continuous Commodity Index (CCI) has consisted of 17 equally weighted commodities (each 5.88 percent), which are divided into five categories. Compared to the Thomson Reuters / Jefferies CRB Index (TRJ / CRB Index), the energy sector has a low weight. Precious metals, on the other hand, and especially the agricultural sector, are more present. Both together have a share of more than three quarters of the overall index.
The following overview shows the commodities, their weighting in the index and the exchange on which the futures are traded.
| raw material | Weighting in% | Stock exchange |
|---|---|---|
| natural gas | 5.88 | New York Mercantile Exchange |
| oil | 5.88 | New York Mercantile Exchange |
| Heating oil | 5.88 | New York Mercantile Exchange |
| energy | 17.64 | |
| cotton | 5.88 | ICE Futures US |
| copper | 5.88 | New York Mercantile Exchange |
| Industrial materials | 11.76 | |
| gold | 5.88 | New York Mercantile Exchange |
| platinum | 5.88 | New York Mercantile Exchange |
| silver | 5.88 | New York Mercantile Exchange |
| Precious metals | 17.64 | |
| Corn | 5.88 | Chicago Board of Trade |
| Soybeans | 5.88 | Chicago Board of Trade |
| wheat | 5.88 | Chicago Board of Trade |
| Cereals and oilseeds | 17.64 | |
| coffee | 5.88 | ICE Futures US |
| cocoa | 5.88 | ICE Futures US |
| orange juice | 5.88 | ICE Futures US |
| sugar | 5.88 | ICE Futures US |
| food | 23.52 | |
| Live cattle | 5.88 | Chicago Mercantile Exchange |
| Lean pig | 5.88 | Chicago Mercantile Exchange |
| Live cattle | 11.76 |
history
Historical overview
The index started in 1957 under the name "CRB Index" and was calculated back to September 4, 1956. From 1957 to 1972 the index remained in a trading range between 95 and 115 points. On August 9, 1968, an all-time low of 95.20 points was achieved.
In the 1970s, stagflation prevailed in the industrialized countries with high inflation , weak economic development, low productivity and high unemployment. This period was characterized by great uncertainty in the financial world, the oil crisis , a sharp rise in the US national debt , a massive expansion of the (paper) money supply and a flight of capital investors into real assets. By November 20, 1980, the CRB Index rose to a record high of 337.60 points. Since the all-time low of 1968, this corresponds to an increase of 254.6 percent.
By November 7, 2001, the commodity index sank to a low of 182.83 points. Since the peak in 1980, this corresponds to a decrease of 45.8 percent. In the following years the index rose sharply due to an enormous demand for raw materials in the People's Republic of China and India .
In 2001 the name was changed to “Reuters-CRB Index” and on June 20, 2005 it was renamed “Continuous Commodity Index” (CCI).
On January 29, 2008, the index passed the 500 point limit for the first time. By July 3, 2008, the CCI rose to a high of 615.04 points. Since November 2001 this corresponds to an increase of 237.9 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 December 5, 2008, the CCI fell to its lowest level since 2005 at 322.53 points. Since July 2008 this has been a drop of 47.5 percent. This is the biggest fall in the history of the Index. December 5, 2008 marked the end of the downward trend. From the end of 2008 the CCI was on the way up again.
On April 20, 2011, the CCI marked an all-time high with a closing level of 691.09 points. That means an increase of 113.6 percent since December 2008. 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
The table shows the annual high, low and closing levels of the Continuous Commodity Index (Old CRB Index) since 1956.
| year | Peak | Lowest point | Final stand |
|---|---|---|---|
| 1956 | 115.83 | 107.15 | 111.72 |
| 1957 | 114.09 | 102.77 | 102.87 |
| 1958 | 107.13 | 100.48 | 100.95 |
| 1959 | 104.02 | 99.76 | 101.43 |
| 1960 | 102.30 | 96.54 | 97.00 |
| 1961 | 106.37 | 97.79 | 102.68 |
| 1962 | 103.56 | 99.04 | 102.70 |
| 1963 | 112.06 | 100.52 | 109.49 |
| 1964 | 110.87 | 101.36 | 103.73 |
| 1965 | 105.37 | 97.56 | 105.37 |
| 1966 | 112.08 | 102.69 | 103.53 |
| 1967 | 106.60 | 98.80 | 99.60 |
| 1968 | 102.00 | 95.20 | 100.80 |
| 1969 | 105.40 | 100.90 | 103.90 |
| 1970 | 106.40 | 99.10 | 102.50 |
| 1971 | 104.10 | 96.40 | 103.40 |
| 1972 | 136.30 | 103.40 | 135.90 |
| 1973 | 220.70 | 135.10 | 200.60 |
| 1974 | 237.80 | 187.30 | 203.90 |
| 1975 | 222.90 | 175.10 | 191.00 |
| 1976 | 229.70 | 191.20 | 204.70 |
| 1977 | 232.70 | 184.70 | 200.30 |
| 1978 | 237.40 | 198.90 | 227.60 |
| 1979 | 282.80 | 228.40 | 281.50 |
| 1980 | 337.60 | 256.30 | 308.50 |
| 1981 | 314.50 | 250.50 | 254.90 |
| 1982 | 268.60 | 225.80 | 234.00 |
| 1983 | 283.80 | 232.10 | 277.60 |
| 1984 | 284.20 | 244.00 | 244.20 |
| 1985 | 248.10 | 217.30 | 229.37 |
| 1986 | 230.88 | 196.16 | 209.07 |
| 1987 | 238.21 | 204.24 | 232.53 |
| 1988 | 272.19 | 224.00 | 251.83 |
| 1989 | 252.37 | 220.82 | 229.93 |
| 1990 | 248.76 | 219.69 | 222.64 |
| 1991 | 222.96 | 204.43 | 208.08 |
| 1992 | 215.30 | 198.17 | 202.76 |
| 1993 | 226.76 | 198.38 | 226.31 |
| 1994 | 239.72 | 219.89 | 236.64 |
| 1995 | 246.47 | 229.31 | 243.18 |
| 1996 | 263.79 | 235.99 | 239.61 |
| 1997 | 254.79 | 228.84 | 229.14 |
| 1998 | 236.08 | 187.89 | 191.22 |
| 1999 | 209.91 | 182.67 | 205.14 |
| 2000 | 234.38 | 201.43 | 227.83 |
| 2001 | 232.58 | 182.83 | 190.61 |
| 2002 | 238.39 | 186.38 | 234.52 |
| 2003 | 263.60 | 228.10 | 255.29 |
| 2004 | 292.49 | 257.49 | 283.90 |
| 2005 | 349.20 | 277.07 | 347.89 |
| 2006 | 409.65 | 345.49 | 394.89 |
| 2007 | 477.48 | 377.59 | 476.08 |
| 2008 | 615.04 | 322.53 | 363.06 |
| 2009 | 489.61 | 341.44 | 484.42 |
| 2010 | 673.64 | 422.61 | 629.53 |
| 2011 | 691.09 | 546.36 | 563.00 |
| 2012¹ | 605.48 | 502.28 | 554.62 |
¹ December 31, 2012
Web links
Individual evidence
- ↑ 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)
- ↑ Go Futures: Continuous Commodity Index (PDF; 4.2 MB)
- ↑ 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
- ^ Commodity Research Bureau: The CRB Encyclopedia of Commodity and Financial Prices , John Wiley & Sons, New York 2009, ISBN 0470344067
- ↑ Markt-Daten.de: Historical courses ( Memento of the original dated December 14, 2010 in the Internet Archive ) Info: The archive link was inserted automatically and has not yet been checked. Please check the original and archive link according to the instructions and then remove this notice.
- ↑ Wikiposit: Historical courses
