The Thomson Reuters/CoreCommodity CRB Index (TR/CC CRB) is a commodity futures price index. It was first calculated by Commodity Research Bureau, Inc. in 1957 and made its inaugural appearance in the 1958 CRB Commodity Year Book.
A commodity price index is a fixed-weight index or (weighted) average of selected commodity prices, which may be based on spot or futures prices. It is designed to be representative of the broad commodity asset class or a specific subset of commodities, such as energy or metals. It is an index that tracks a basket of commodities to measure their performance. These indexes are often traded on exchanges, allowing investors to gain easier access to commodities without having to enter the futures market. The value of these indexes fluctuates based on their underlying commodities, and this value can be traded on an exchange in much the same way as stock index futures.
The Index was originally composed of 28 commodities, 26 of which were traded on exchanges in the U.S. and Canada, and two cash markets. It included barley and flaxseed from the Winnipeg exchange; cocoa, coffee "B", copper, cotton, cottonseed oil, grease wool, hides, lead, potatoes, rubber, sugar #4, sugar #6, wool tops and zinc from New York exchanges; and corn, eggs, lard, oats, onions, rye, soybeans, soybean meal, soybean oil and wheat from Chicago exchanges. In addition to those 26 markets, the Index also included the spot New Orleans cotton and Minneapolis wheat markets which were added to balance some commodities repeated in the Index as by-products of other commodities.
Barley, a member of the grass family, is a major cereal grain grown in temperate climates globally. It was one of the first cultivated grains, particularly in Eurasia as early as 10,000 years ago. Barley has been used as animal fodder, as a source of fermentable material for beer and certain distilled beverages, and as a component of various health foods. It is used in soups and stews, and in barley bread of various cultures. Barley grains are commonly made into malt in a traditional and ancient method of preparation.
The Winnipeg Commodity Exchange is the former name of a derivatives market based in Winnipeg, Manitoba, Canada now known as ICE Futures Canada. Futures and options contracts are electronically traded in western barley and canola (rapeseed).
The original base period was 1947-49, the same as the Bureau of Labor Statistics Spot Market Index. This was purposely done to facilitate easy comparison of both spot and futures indexes.
The Bureau of Labor Statistics (BLS) is a unit of the United States Department of Labor. It is the principal fact-finding agency for the U.S. government in the broad field of labor economics and statistics and serves as a principal agency of the U.S. Federal Statistical System. The BLS is a governmental statistical agency that collects, processes, analyzes, and disseminates essential statistical data to the American public, the U.S. Congress, other Federal agencies, State and local governments, business, and labor representatives. The BLS also serves as a statistical resource to the United States Department of Labor, and conducts research into how much families need to earn to be able to enjoy a decent standard of living.
The Thomson Reuters/CoreCommodity CRB Index (TR/CC CRB) was originally designed to provide dynamic representation of broad trends in overall commodity prices. In order to ensure that it continued to fulfill that role, its components and formula have been periodically adjusted to reflect changes in market structure and activity. Since 1957, there have been ten revisions to Index components. The first was in 1961 and the latest in 2005.
In the original calculation, all future deliveries up to a year ahead were averaged to calculate the current price. In 1987, the calculation was changed to only include deliveries nine months forward. In 1989, all non-cycle months were excluded from the calculation.
The 1995 revision lowers the number of forward deliveries included to those within six months of the current date, up to a maximum of five delivery months per commodity. However, a minimum of two delivery months must be used to calculate the current price, even if the second contract is outside of the six-month window.
There has also been a continuous adjustment of the individual components used in calculating the Index since the original 28 were chosen in 1957. All of these changes have been part of the continuing effort of Thomson Reuters to ensure that its value provides accurate representation of broad commodity price trends.
It currently is made up of 19 commodities as quoted on the NYMEX, CBOT, LME, CME and COMEX exchanges. These are sorted into 4 groups, each with different weightings. These groups are:
The Chicago Board of Trade (CBOT), established on April 3, 1848, is one of the world's oldest futures and options exchanges. On July 12, 2007, the CBOT merged with the Chicago Mercantile Exchange (CME) to form CME Group. CBOT and three other exchanges now operate as designated contract markets (DCM) of the CME Group.
The London Metal Exchange (LME) is the futures exchange with the world's largest market in options and futures contracts on base and other metals. As the LME offers contracts with daily expiry dates of up to three months from trade date, weekly contracts to six months, and monthly contracts up to 123 months, it also allows for cash trading. It offers hedging, worldwide reference pricing, and the option of physical delivery to settle contracts. Since 2012 it has been owned by Hong Kong Exchanges and Clearing after LME's shareholders voted in July 2012 to approve the sale of the exchange for a price of £1.4 billion.
The Chicago Mercantile Exchange (CME) is a global derivatives marketplace based in Chicago and located at 20 S. Wacker Drive. The CME was founded in 1898 as the Chicago Butter and Egg Board, an agricultural commodities exchange. Originally, the exchange was a non-profit organization. The Merc demutualized in November 2000, went public in December 2002, and merged with the Chicago Board of Trade in July 2007 to become a designated contract market of the CME Group Inc., which operates both markets. The chairman and chief executive officer of CME Group is Terrence A. Duffy, Bryan Durkin is president. On August 18, 2008, shareholders approved a merger with the New York Mercantile Exchange (NYMEX) and COMEX. CME, CBOT, NYMEX and, COMEX are now markets owned by CME Group.
The index comprises 19 commodities: aluminum, cocoa, coffee, copper, corn, cotton, crude oil, gold, heating oil, Lean Hogs, live cattle, natural gas, nickel, orange juice, silver, soybeans, sugar, unleaded gas and wheat.
Lean Hog is a type of hog (pork) that can be easily traded in mercantile and option exchanges. This type of hog is the source of the majority of the pork meat in the US.
The tenth revision of the index renamed it the Thomson Reuters/Core Commodity CRB Index, or TR/CC CRB.
Thomson Reuters Indices is a line of indices and index services from Thomson Reuters:
The Thomson Reuters Equal Weight Commodity Index is a major US barometer of commodity prices. The index comprises 17 commodity futures that are continuously rebalanced: Cocoa, Coffee, Copper, Corn, Cotton, Crude Oil, Gold, Heating Oil, Live Cattle, Live Hogs, Natural Gas, Orange juice, Platinum, Silver, Soybeans, Sugar No. 11, and Wheat.
The S&P GSCI serves as a benchmark for investment in the commodity markets and as a measure of commodity performance over time. It is a tradable index that is readily available to market participants of the Chicago Mercantile Exchange. The index was originally developed in 1991, by Goldman Sachs. In 2007, ownership transferred to Standard & Poor's, who currently own and publish it. Futures of the S&P GSCI use a multiple of 250. The index contains a much higher exposure to energy than other commodity price indices such as the Dow Jones-UBS Commodity Index.
A commodity market is a market that trades in the primary economic sector rather than manufactured products, such as cocoa, fruit and sugar. Hard commodities are mined, such as gold and oil. Investors access about 50 major commodity markets worldwide with purely financial transactions increasingly outnumbering physical trades in which goods are delivered. Futures contracts are the oldest way of investing in commodities. Futures are secured by physical assets. Commodity markets can include physical trading and derivatives trading using spot prices, forwards, futures, and options on futures. Farmers have used a simple form of derivative trading in the commodity market for centuries for price risk management.
In finance, a futures contract is a standardized forward contract, a legal agreement to buy or sell something at a predetermined price at a specified time in the future, between parties not known to each other. The asset transacted is usually a commodity or financial instrument. The predetermined price the parties agree to buy and sell the asset for is known as the forward price. The specified time in the future—which is when delivery and payment occur—is known as the delivery date. Because it is a function of an underlying asset, a futures contract is a derivative product.
The SSE Composite Index also known as SSE Index is a stock market index of all stocks that are traded at the Shanghai Stock Exchange.
Zhengzhou Commodity Exchange, established in 1990, is a futures exchange in Zhengzhou, one of the four futures exchanges in China. The ZCE is under the vertical management of China Securities Regulatory Commission (CSRC).
A capitalization-weighted index, also called a market-value-weighted index is a stock market index whose components are weighted according to the total market value of their outstanding shares. Every day an individual stock's price changes and thereby changes a stock index's value. The impact that individual stock's price change has on the index is proportional to the company's overall market value, in a capitalization-weighted index. In other types of indices, different ratios are used.
Euronext Paris is France's securities market, formerly known as the Paris Bourse, which merged with the Amsterdam, Lisbon, and Brussels exchanges in September 2000 to form Euronext NV, which is the second largest exchange in Europe behind the United Kingdom's London Stock Exchange Group.
The Standard & Poor's Commodity Index (SPCI) is a commodity price index that measures the price changes in a cross section of agricultural and industrial commodities with actively traded U.S. futures contracts, stretching across five sectors - Energy, Metals, Grains, Livestock, and Fibers & Softs. Only commodities that are consumed for industrial use are included in the index. Weights in the index are determined by the dollar value of Commercial Open Interest (COI) for each component commodity, and rebalanced annually each February.
The Bloomberg Commodity Index (BCOM) is a broadly diversified commodity price index distributed by Bloomberg Indexes. The index was originally launched in 1998 as the Dow Jones-AIG Commodity Index (DJ-AIGCI) and renamed to Dow Jones-UBS Commodity Index (DJ-UBSCI) in 2009, when UBS acquired the index from AIG. On July 1, 2014, the index was rebranded under its current name.
Soft commodities, or softs, are commodities such as coffee, cocoa, sugar, corn, wheat, soybean, fruit and livestock. The term generally refers to commodities that are grown, rather than mined; the latter are known as hard commodities.
The SET50 and SET100 Indices are the primary stock indices of Thailand. The constituents of both lists are companies listed on the Stock Exchange of Thailand (SET) in Bangkok.
The Deutsche Bank Liquid Commodity Index (DBLCI) was launched in February 2003. It tracks the performance of six commodities in the energy, precious metals, industrial metals and grain sectors. The DBLCI has constant weightings for each of the six commodities and the index is rebalanced annually in the first week of November. Consequently, the weights fluctuate during the year according to the price movement of the underlying commodity futures.
In May 2006, Deutsche Bank launched a new set of commodity index products called the Deutsche Bank Liquid Commodities Indices Optimum Yield, or DBLCI-OY. The DBLCI-OY indices are available for 24 commodities drawn from the energy, precious metals, industrial metals, agricultural and livestock sectors. A DBLCI-OY index based on the DBLCI benchmark weights is also available and the optimum yield technology has also been applied to the energy, precious metals, industrial metals and agricultural sector indices. Like the DBLCI, the DBLCI-OY is available in USD, EUR, GBP and JPY on a hedged and un-hedge basis. The DBLCI-OY is rebalanced on the fifth index business day of November when each commodity is adjusted to its base weight. The DBLCI-OY is also listed as an exchange-traded fund (ETF) on the American Stock Exchange.
The DBLCI Mean Reversion Index is a commodity index published by the Deutsche Bank. Launched at the same time as the Deutsche Bank Liquid Commodity Index (DBLCI) in February 2003, the DBLCI-Mean Reversion has the same underlying assets. The listed instruments are also rolled using the same mechanism as the DBLCI, namely energy contracts are rolled monthly and the metal and grain contracts are rolled annually. This occurs between the second and sixth business day of the month. The DBLCI-MR is also quoted in both total returns and excess returns terms in US dollars as well as EUR, JPY and GBP.
A stock index or stock market index is a measurement of a section of the stock market. It is computed from the prices of selected stocks. It is a tool used by investors and financial managers to describe the market, and to compare the return on specific investments.
The Saint-Petersburg International Mercantile Exchange (SPIMEX) is a Russian commodity exchange. The offices of SPIMEX are located in Moscow, Saint Petersburg and Irkutsk. SPIMEX was incorporated in 2008.