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CRB Commodities Index


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CRB Commodities Index

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  #1 (permalink)
 
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 Scalpingtrader 
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Hi all,

I am currently looking into intermarket relationships, part of which goes into the influence of commodities.
So, for both the commodity traders and the intermarket gurus such as @tigertrader @josh et al, the question which index/indices you are using to assess the overall commodity market situation. (And intraday/intraweek tendency)

In Murphy's intermarket Analysis, he frequently refers to the crb index, whereof an altered version can today be found at Nybot (CRY).

So, I'd very much appreciate input from anyone working these fields regarding what, why and if you care to share how you use to look at the commodity market as an economic sector.

P.S.: Happy Easterdays to whom it may concern

ST

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  #3 (permalink)
 
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 tigertrader 
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Scalpingtrader View Post
Hi all,

I am currently looking into intermarket relationships, part of which goes into the influence of commodities.
So, for both the commodity traders and the intermarket gurus such as @tigertrader @josh et al, the question which index/indices you are using to assess the overall commodity market situation. (And intraday/intraweek tendency)

In Murphy's intermarket Analysis, he frequently refers to the crb index, whereof an altered version can today be found at Nybot (CRY).

So, I'd very much appreciate input from anyone working these fields regarding what, why and if you care to share how you use to look at the commodity market as an economic sector.

P.S.: Happy Easterdays to whom it may concern

ST




commodities as an asset class are negatively correlated to the dollar and positively correlated to (cpi) inflation. with that in mind, you can draw inferences into it's relationships with equities, and debt, but it should be kept in mind that perhaps as much as 20% of commodity futures prices is accountable to their financialization and the rest is attributable to fundamentals, and 40% of current commodity/equity correlation is a spillover from fx/equity correlation. a 1% increase in equities will, on average, coincide with a 20bps drop in USD. as commodities are priced in USD, this will mechanically lead to a 20bps increase in commodity prices on account of USD/equity correlation. historically, diversification benefits were obtainable because of the traditionally negative correlation between commodities and equities, but that changed in 2008 with the crash, and the subsequent de-leveraging and demand destruction. the increase of commodity/equity correlation since 2008 diminished the diversification value to a cross-asset portfolio. at least part of the correlation increase can likely be attributed to the investment demand for commodities as an asset class. as investors increase or decrease exposure to all risky assets (including commodities and equities), commodities/equity correlation increases.



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 ElChacal 
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Does anyone know the CRB index ticker for Kinetick??

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ElChacal View Post
Does anyone know the CRB index ticker for Kinetick??

CRBQX.X I believe from a quick look on IQFeed's website. There is also CRBQ ETF btw.

Mike

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 ElChacal 
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Big Mike View Post
CRBQX.X I believe from a quick look on IQFeed's website. There is also CRBQ ETF btw.

Mike

I also found ^CCITR.X which seems to be more in line with the current (CRY:IND?) value but still a little off...

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 Big Mike 
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ElChacal View Post
I also found ^CCITR.X which seems to be more in line with the current (CRY:IND?) value but still a little off...

Based on the symbol name containing CCI, I'm assuming it's the Commodity Continuous Index. (corrected from channel, was thinking indicator for a second lol)

@IQFeed Dave can comment more perhaps, but technically you should be asking Kinetick tech support.

Mike

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 ElChacal 
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I think I found it... ^TRJCRB.X

From the abbreviation would make sense "Thomson Reuters/Jefferies CRB index"

Now, I just need to find a way to predict the dollar. LOL

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