Rogers International Commodity Index
The Rogers International Commodity Index ( RICI ) is a commodity index that comprises 38 different futures that are traded on commodity futures exchanges . It was developed in the 1990s by the US investor Jim Rogers and launched in 1998.
concept
The RICI comprises 38 different raw materials that are traded on commodity futures exchanges in 6 different countries. It was developed in 1996/1997 by the US investor, hedge fund manager and writer Jim Rogers and launched in 1998. By referring to the closest future and rolling it regularly, the index can be replicated and is investable. The futures are rolled monthly according to a fixed scheme. The index is adjusted annually. This so-called rebalancing is carried out discreetly with the help of a procedure by an investment committee.
Only futures contracts that are sufficiently liquid are taken into account . The commodities are quoted in 4 different currencies: US dollars , Japanese yen , Australian dollars and Canadian dollars . The broad composition includes agricultural and energy products as well as metals. The RICI is a total return index with the US dollar as the base currency. In contrast to the excess return index, which is similar to a price index, the total return index also contains interest income and is therefore more similar to a performance index. When buying a commodity future, the full value of the contract does not have to be deposited on the futures exchange, but only a small part, the so-called margin . This also applies to the operators of commodity indices , who invest the remaining capital in short-dated US government bonds. The resulting interest income is included in the calculation of the index.
When weighting the index members, the raw material prices are taken into account in people's everyday lives. Jim Rogers said of the RICI: "The Rogers International Commodity Index reflects my vision of the world, it reflects the costs of everyday life and survival." Because of the many different, sometimes exotic commodities that are listed in the index, the RICI is more difficult to trade than other commodity indices. Numerous positions have a low weight in the index, with price movements having only a minor effect here.
The Rogers International Commodity 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.
Relationships between the RICI and the geometrically weighted US dollar index and the trade-weighted Trade Weighted US dollar index can be identified. 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 following overview shows the commodities, their weighting in the index and the exchange on which the futures are traded.
history
Historical overview
The Rogers International Commodity Index started on July 31, 1998 with a base value of 1,000 points. On November 27, 2000 it closed at 1,708.63 points. In the course of the recession, the commodity index fell by 27.1 percent to 1,245.90 points by November 15, 2001. 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 . On February 26, 2008, the RICI passed the 5,000 point limit for the first time. On July 3, 2008, an all-time high was marked with a closing level of 5,832.90 points. Since the low in 2001, this corresponds to an increase of 368.1 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 February 18, 2009, the RICI fell to its lowest level since 2003 with a closing level of 2,221.68 points. Since the all-time high of July 2008, this corresponds to a decline of 61.9 percent. This is the biggest fall in the history of the Index. February 18, 2009 marked the end of the downward trend. From the beginning of 2009 the commodities index was on the way up again.
On April 8, 2011, the index rose to a closing level of 4,439.75 points. This means an increase of 99.8 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
The table shows the annual high, low and closing levels of the Rogers International Commodity Index.
| year | Peak | Lowest point | Final stand |
|---|---|---|---|
| 1998 | 1,034.35 | 855.09 | 888.63 |
| 1999 | 1,278.63 | 848.70 | 1,260.29 |
| 2000 | 1,708.63 | 1,238.86 | 1,589.57 |
| 2001 | 1,694.46 | 1,245.90 | 1,291.04 |
| 2002 | 1,779.19 | 1,262.60 | 1,731.17 |
| 2003 | 2,324.94 | 1,731.22 | 2,285.00 |
| 2004 | 3,021.35 | 2,285.05 | 2,761.06 |
| 2005 | 3,358.03 | 2,712.76 | 3,300.74 |
| 2006 | 3,831.00 | 3,198.36 | 3,401.38 |
| 2007 | 4,452.02 | 3,122.10 | 4,422.02 |
| 2008 | 5,832.90 | 2,328.15 | 2,593.66 |
| 2009 | 3,281.72 | 2,221.68 | 3,274.00 |
| 2010 | 3,896.44 | 2,836.02 | 3,896.44 |
| 2011 | 4,439.75 | 3,393.37 | 3,626.61 |
| 2012 | 3,971.91 | 3,224.86 | 3,700.10 |
| 2013 | 3,534.02 | ||
| 2014 | 2,749.00 | ||
| 2015 | 2,032.03 | ||
| 2016 | 2,303.40 | ||
| 2017 | 2,415.90 | ||
| 2018 | 2,194.25 | ||
| 2019 | 2,454.43 |
Web links
Individual evidence
- ↑ FinanzStream: The new commodity indices by Jim Rogers ( Memento of the original from January 30, 2012 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. (PDF; 1.1 MB)
- ↑ Rogers Raw Materials: The RICI Handbook (PDF; 513 kB)
- ^ Rogers Raw Materials: The RICI Weighting
- ^ Rogers International Commodity Index. Index Weight. In: rogersrawmaterials.com. May 17, 2020, accessed on May 17, 2020 .
- ^ Franz Schellhorn: SuperMarkt: Hunger for the printing press. In: DiePresse.com. January 29, 2011, accessed June 4, 2011 .
- ↑ Expensive raw materials - prices for oil and copper continue to climb. In: manager-magazin.de. February 2, 2011, accessed June 4, 2011 .
- ^ Rogers International Commodity Index. In: rogersrawmaterials.com. May 17, 2020, accessed on May 17, 2020 .
