January is the month for revisions of commodity indices market weights. Everyone does it although it is not clear exactly how those changes are derived. Commodity indices has turned into a $200 billion business and when the weights change there will be a significant amount of money flowing between commodities.
Now, most of the indices say they have some production and or supply component to the changes in weights as well as liquidity criteria but it is hard to determine what will be the actually adjustments. We have presented just one index for review, the largest, DJUBS commodity index. Here gold is the biggest winner with a one percent increase in weight. Natural gas got cut while saw a bump up. If you looked at the GSCI weights there would have been some more significant changes. The Roger's index added some new commodity markets such as milling wheat.
Adaptation is important but these fluctuation in weights have a feel of arbitrariness. There is no one index that dominates and there is no one standard. There is a line between passive and "active" management. Changing weights, adding and subtract markets, can all be viewed as forms of semi-active management.
Now, most of the indices say they have some production and or supply component to the changes in weights as well as liquidity criteria but it is hard to determine what will be the actually adjustments. We have presented just one index for review, the largest, DJUBS commodity index. Here gold is the biggest winner with a one percent increase in weight. Natural gas got cut while saw a bump up. If you looked at the GSCI weights there would have been some more significant changes. The Roger's index added some new commodity markets such as milling wheat.
Adaptation is important but these fluctuation in weights have a feel of arbitrariness. There is no one index that dominates and there is no one standard. There is a line between passive and "active" management. Changing weights, adding and subtract markets, can all be viewed as forms of semi-active management.
| DJUBS commodity index change | |||
| Commodity | 2010 | 2011 | Diff |
| Natural Gas | 11.55% | 11.22% | -0.33% |
| Crude Oil | 14.34% | 14.71% | 0.37% |
| Unleaded Gasoline | 3.53% | 3.50% | -0.03% |
| Heating Oil | 3.58% | 3.58% | -0.01% |
| Live Cattle | 3.55% | 3.36% | -0.19% |
| Lean | 2.10% | 2.00% | -0.10% |
| Wheat | 4.70% | 4.61% | -0.10% |
| Corn | 7.09% | 6.98% | -0.11% |
| Soybeans | 7.91% | 7.86% | -0.06% |
| Soybean Oil | 3.00% | 2.94% | -0.06% |
| Aluminum | 5.75% | 5.20% | -0.55% |
| Copper | 7.64% | 7.54% | -0.10% |
| Zinc | 3.02% | 2.85% | -0.17% |
| Nickel | 2.37% | 2.25% | -0.12% |
| Lead | 0.00% | 0.00% | 0.00% |
| Tin | 0.00% | 0.00% | 0.00% |
| Gold | 9.12% | 10.45% | 1.33% |
| Silver | 3.29% | 3.29% | 0.00% |
| Platinum | 0.00% | 0.00% | 0.00% |
| Sugar | 2.89% | 3.33% | 0.43% |
| Cotton | 2.00% | 2.00% | 0.00% |
| Coffee | 2.56% | 2.36% | -0.21% |
| Cocoa | 0.00% | 0.00% | 0.00% |
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