Reuters-CRB Index
Encyclopedia
The Thomson Reuters/Jefferies CRB Index (TR/J CRB) is a commodity 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.
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.
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 Thomson Reuters/Jefferies CRB Index (TR/J 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 tenth revision of the index renamed it the Thomson Reuters/Jefferies CRB Index, or TR/J CRB.
Commodity price index
Continuous Commodity Index (CCI)
Commodity price index
A commodity price index is a fixed-weight index or average of selected commodity prices, which may be based on spot or futures prices...
. It was first calculated by Commodity Research Bureau
Commodity Research Bureau
The Commodity Research Bureau Founded in 1934 and currently a division of Barchart.com, Inc., CRB is the oldest and most well-known commodities and futures research and analysis firm.-History:...
, Inc. in 1957 and made its inaugural appearance in the 1958 CRB Commodity Year Book.
The Index was originally composed of 28 commodities, 26 of which were traded on exchanges
Commodities exchange
A commodities exchange is an exchange where various commodities and derivatives products are traded. Most commodity markets across the world trade in agricultural products and other raw materials and contracts based on them...
in the U.S. and Canada, and two cash markets. It included barley
Barley
Barley is a major cereal grain, a member of the grass family. It serves as a major animal fodder, as a base malt for beer and certain distilled beverages, and as a component of various health foods...
and flaxseed from the Winnipeg exchange
Winnipeg Commodity Exchange
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 ....
; 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.
The original base period was 1947-49, the same as the Bureau of Labor Statistics
Bureau of Labor Statistics
The Bureau of Labor Statistics 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. The BLS is a governmental statistical agency that collects, processes, analyzes, and...
Spot Market Index. This was purposely done to facilitate easy comparison of both spot and futures indexes.
The Thomson Reuters/Jefferies CRB Index (TR/J 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
Chicago Board of Trade
The Chicago Board of Trade , established in 1848, is the world's oldest futures and options exchange. More than 50 different options and futures contracts are traded by over 3,600 CBOT members through open outcry and eTrading. Volumes at the exchange in 2003 were a record breaking 454 million...
, LME
London Metal Exchange
The London Metal Exchange 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, along with longer-dated contracts up to 123 months, it also...
, CME
Chicago Mercantile Exchange
The Chicago Mercantile Exchange is an American financial and commodity derivative exchange based in Chicago. The CME was founded in 1898 as the Chicago Butter and Egg Board. Originally, the exchange was a non-profit organization...
and COMEX
Comex
Comex may refer to:*COMEX, a division of the New York Mercantile Exchange *COMEX , a French company in undersea engineering*COMEX, a gold trust owned by iShares...
exchanges. These are sorted into 4 groups, each with different weightings. These groups are:
- Petroleum based products (based on their importance to global trade, always make up 33% of the weightings)
- Liquid assets
- Highly liquid assets
- Diverse commodities.
The tenth revision of the index renamed it the Thomson Reuters/Jefferies CRB Index, or TR/J CRB.
External links
See Also
Thomson Reuters IndicesThomson Reuters Indices
Thomson Reuters Indices is a line of indices and index services from Thomson Reuters:* Beta-generating Indices* Alpha-creating Indices* Custom Indices* Calculation Services- Beta-generating Indices :...
Commodity price index
Commodity price index
A commodity price index is a fixed-weight index or average of selected commodity prices, which may be based on spot or futures prices...
Continuous Commodity Index (CCI)
Continuous Commodity Index (CCI)
The Thomson Reuters Equal Weight Continuous Commodity Index is recognized as a major barometer of commodity prices. The index comprises 17 commodity futures that are continuously rebalanced:...