Commodity Indices

The world's first commodity index, in its original and updated forms

Highlights

  • Widely recognised brand
  • Up to date
  • Multiple types of exposure

Intended for

  • Commodities Trader
  • Fund Manager
  • Research Analyst

Description

Thomson Reuters provides a variety of highly recognised commodity indices, many of which are tracked by Exchange Traded Funds and other derivatives. All indices have a strong connection to the Commodity Research Bureau (CRB) name.

The Thomson Reuters Equal Weight Continuous Commodity Index is the CRB index in its original equal weight form from 1957.The CRB index has undergone periodic updates as commodity markets have evolved and is now known as the Thomson Reuters/CoreCommodity CRB Index (TR/CC - CRB Index), consisting of 19 commodities.

Features

Benefits

Thomson Reuters/CoreCommodity CRB Index ("TR/CC CRB Index"):

Comprised of a basket of 19 commodities, with 39% allocated to energy contracts; 41% to agriculture; 7% to precious metals and 13% to industrial metals.
  • Acts as a representative indicator of today's global commodity markets

Thomson Reuters/CoreCommodity CRB Ex-Energy Index:

Removes Crude Oil, Heating Oil, Natural Gas and RBOB Gasoline from the standard index
  • Ideal for product issuers and investors looking for commodity indices with higher exposure to agricultural commodities and metals

Thomson Reuters/Jefferies CRB Equity Indices ("CRB-EQ"):

Provide exposure to commodity related companies, with more specific breakdowns available, such as Agriculture, Energy and Industrial Metals
  • Provides similar exposure to commodity prices without having to invest in commodity futures

Thomson Reuters Equal Weight Continuous Commodity Index ("CCI"):

Features 17 equally weighted commodities
  • Provides a more even distribution into the major commodity sectors, rather than overweighting in certain sectors such as energy or agriculture

Intraday Performance Site

Thomson Reuters provides a wide range of Global Indices. View a selection of our most popular indices and an overview of their performance.

White Paper

Squeezing a little more out of commodities - earning alpha from the TR/J CRB index

This paper shows there are at least two ways of producing alpha using the current TR/J CRB as a benchmark.

Thomson Reuters/CoreCommodity CRB Index ("TR/CC CRB Index")

For more than 50 years, the world-renowned CRB Index has served as the most widely recognized measure of global commodities markets. This leading commodity futures benchmark is designed to provide timely and accurate representation of a long-only, broadly diversified investment in commodities through a transparent and disciplined calculation methodology.

Thomson Reuters/Jefferies CRB In-The-Ground Global Commodity Equity Index ("CRB-EQ")

Building upon the history and reputation of the CRB Index, the CRB-EQ Indices offer investors unique, simplified benchmarks for globally traded equities of companies that are principally engaged in the production and distribution of commodities and commodity-related products. Corresponding to the CRB Index family, the CRB-EQ Index family comprises a diversified global composite index and four distinct sector sub-indices:

  • TR/J CRB Global Commodity Equity Index (CRBQX)
  • TR/J CRB Global Energy Equity Index (CRBEX)
  • TR/J CRB Global Agriculture Equity (CRBAX)
  • TR/J CRB Global Industrial Metals Equity Index (CRBIX)
  • TR/J CRB Global Precious Metals Equity Index (CRBGX)

In addition, the CRB WCAT Index, which follows the introduction of the CRB-EQ indices, also provides a benchmark for the equities of commodity-related companies, but in particular provides exposure to stocks of oil and gas exploration and production companies based in the US and Canada.

  • TR/J CRB Wildcatters Energy E&P Equity Index (WCATI)

Thomson Reuters Continuous Commodity Index ("CCI")

This index is reconigzed as an unbiased, major barometer of commodity prices. The CCI is comprised of 17 commodity futures which are continously rebalanced to maintain the equal weight of 5.88%.

2012 METHODOLOGY REVISION
The recent revision includes the introduction of a 5 day roll period, daily arithmetic rebalancing to equal weights and the replacement of orange juice with soy oil as a new constituent commodity.
In order to facilitate the transition to the new methodology, the value of the Thomson Reuters Continuous Commodity Total Return index will be reflected as follows over a period of 4 days (*note that his section has been edited for changes on Jan 2nd, 2013):

  • The intraday and close values for the index on 07-Jan based on settlement values will reflect 100% of the returns of the old basket calculated based on the old methodology.
  • The intraday and close values for the index on 08-Jan will reflect 20% of the returns of the new basket calculated based on the new methodology, 80% of the returns of the old basket calculated based on the old methodology. The intraday values on 08-Jan will also reflect this transition index between the old and the new index.
  • The intraday and close values for the index on 09-Jan will reflect 40% of the returns of the new basket calculated based on the new methodology, 60% of the returns of the old basket calculated based on the old methodology. The intraday values on 09-Jan will also reflect this transition index between the old and the new index.
  • The intraday and close values for the index on 10-Jan will reflect 60% of the returns of the new basket calculated based on the new methodology, 40% of the returns of the old basket calculated based on the old methodology. The intraday values on 10-Jan will also reflect this transition index between the old and the new index.
  • The intraday and close values for the index on 11-Jan will reflect 80% of the returns of the new basket calculated based on the new methodology, 20% of the returns of the old basket calculated based on the old methodology. Following the 11-Jan close values from Monday 14-Jan open, the index will be calculated 100% according to the revised methodology.

For more information, visit the RELATED WEBSITES:

  • Lucas Garland

    Head of Product Management, Indices

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