Commodity Index
Indices, which reflect either price and quality characteristics of the goods themselves, or the prices of goods in the prices of futures contracts, which are recorded on commodity markets / Commodity Index, published in the journal The Journal of Commerce of the Agency "Reuters" (Reuters), and The magazine The Economist, are indicators of the state of industry and the level of commodity prices. However, faced with the difficulties of the calculation of Commodity Index of goods in physical form, investors are guided by the futures contracts, on the indices, which are indirect indicators of dynamics of the prices of goods. Institutional investors, which may not invest the funds on the futures markets, may include goods in their investment portfolios through these Commodity Index. Among commodity indices, which are indicators of futures prices, it is necessary to note the following: bankers trust commodity index (Bankers Trust Commodity Index, BTCI) -this is a weighted, a composite indicator of the cost of a basket of five of the goods.
Energy prices are based on the futures contracts of the new York Mercantile exchange (New York Mercantile Exchange). Aluminium prices are based on the futures contracts of the London stock exchange of metals (London Metal Exchange), and the prices of gold and silver at London fixing prices of cash transactions (London spot fixing). Used basic price is the average price of each commodity component of the index in the first quarter of 1984. The components are: crude oil - 45/30,191 USD; gold - 18/384, $ 18.; aluminum 17/1543, $ 67).; furnace fuel oil - 10/0,8340 USD; silver - 10/9,0043 USD. Value of the index for each day shall be calculated by multiplying the current price of the goods at its base weight and dividing this the values in the base price, the index of energy resources and metals (Energy and Metals Index, ENMET) is geometrically weighted index, based on prices of futures contracts and built by the company Merrill ynch on the prices of six commodities: crude oil (40%), natural gas (15%), gold (20%), silver (5%), copper (15%) and aluminium (5%). The index is weighted in order to show the best, historically, the correlation with the index of consumer prices (consumer price index and producer price index (producer price index). Commodity Index is calculated daily.
Commodity index Goldman Sachs Commodity Index, GSCI is built on the prices of 22 of the goods. Included basic commodities, which are traded on the London stock exchange of metals (London Metal Exchange) and futures markets of the USA. The goods are divided into five groups: energy - crude oil (15,89%), natural gas (15,73%), heating oil (9,94%), unleaded gasoline (9,70%); agricultural products - wheat (8,87%), corn (6,34%), soy beans (2,99%), cotton (2,%%), sugar (2,84%), coffee (1.09 per cent), cocoa (0,29%); live animals - cattle (9,35%), pigs (4,24%); non-ferrous metals - aluminum (2,86%), copper (2,07%), zinc (0.77 per cent), Nickel (0,48%), lead (0,29%), tin (0,12%); precious metals - gold (2,53%), platinum (0,40%), silver (0,26%). Each item is weighted by the volume of its world production, in order to take into account influence of production of the given goods in the world economy as a whole. To show the possibilities of reinvestment, the index includes which is reinvested income (rollingyield) continuously renewable futures positions and reinvestment. Movement of prices reflects the price changes of the "spot" on goods, lying in the basis of contracts. The profitability of goods reflects their yield at reinvest and the yield on Treasury bills. Because the real supply of goods, lying in the basis of contracts, never occurs, the investor can keep their money in Treasury bills. In addition, there are six under indices, each of which represents a group of goods and is a component of the index itself; they are calculated daily in the prices of real time. Futures and options on the basis of this index are sold on the Chicago Mercantile exchange (Chicago Mercantile Exchange). Other areas of investment, based on the index GSCI and its ïîäûíäåêñàõ include structured debt obligations (structured notes), "swaps", over-the-counter option contracts and contract of annuity ™ with guaranteeing the principal amount. Commodity Index of investment goods (Investable Commodity Index, ICI) - øèðîêîáàçèñíûé index 16 of goods, based on the exchange commodity futures and developed by ìåæðûíî÷íîãî management (Intermarket Management, Inc.). The index measures the reinvested total revenues from equally balanced, fully comparable basket of goods: grain (19%) - of wheat, corn, soybeans; metals (19%) - gold, silver, copper; energy (25%) - crude oil, fuel oil, natural gas, gasoline; live cattle (12%) - cattle, pigs; food products and fibres (25%) - cocoa, coffee, sugar, cotton. //- It is a chain index (calculated on the basis of the previous day). It is a daily basis determined by the change (in percentage) of the geometric mean prices 16 of the goods plus 100% of the daily calculated composite of income for all individuals in circulation Treasury bills for a term of 13 weeks commodity index j. P. Morgan (J.P. Morgan Commodity Index, JPMCI) -weighted dollar is the arithmetic mean of all the revenues from the investment in the metals and energy resources (a total of 11 types of goods). In the index are included basic metals (22%), aluminum (9%), copper (8%), Nickel (2%), zinc (3%); energy (55%) - medium East Texas crude oil (33%), heating oil (10%), natural gas (7%), unleaded gasoline (5%), precious metals (23%) - gold (15%), silver (5%), platinum (3%). Since this is the index of the total revenue for the calculations are taken of the income received from changes in prices of commodity futures, from the constantly renewable "long-term" futures positions (when the curve of the price of a forward contract is going down), and the resulting value is compared with the index of Treasury bills.
Commodity Index has positive correlation with economic growth and inflation, and a negative correlation with income of bonds and shares. Monthly all the components of the index settings are updated to match the dynamics of the movement in the dollar index "Equestrian knight of the" Bureau for the study of commodity markets (Knigth-Ridder Commodity Research Bureau Index, KR-CRB Index) is constructed on the basis of prices of 21 of the goods, delivery futures contract on which are sold on the stock exchanges of the USA. The index is seen as a General indicator of trends in the prices of goods. Has six groups of components: industrial goods (28,6%) - crude oil, heating oil, unleaded gas, copper, timber, cotton, cereals (23,8%) -corn, wheat, soy beans, soy oil, soy flour; metals (14,3%) - gold, silver, platinum; meat products (14,3%) - beef, pork, bacon; imported goods (14,3%) - coffee, cocoa, sugar, mixed goods (4,7%) and orange juice. Equal weighting is used for both the arithmetic mean of the individual commodity months, and for the geometric mean of the average for 21 of the goods. As a result, no one specific month or type of goods may not influence on the index. Futures and options used in the calculation of the index, are sold on the new York futures exchange, New York futures Exchange, NYFE). Settlements on futures contracts are made in cash in the period stipulated by the contract. Index calculation is done on the computer (in Knigth-Ridder Financial Publishing) and every 15 seconds appears on the Board of the new York futures exchange during the trading day.
