1984 65438+2 1, KRFP (knight rider financial publishing) acquired CRB company.
1986, New York Futures Exchange (NYFE, 1998 was merged by NYBOT) cooperated with CRB to launch futures trading with CRB index as the target, and it was successful. After becoming a trading object, CRB index has greater influence in the market.
From 1987 to 1995, the CRB index was revised three times. The revision of 1995 is the ninth revision of CRB index. After modification, the quantity of goods is reduced to 17.
1997, CRB was named bridge /CRB, because KRFP was acquired by bridge information system company. Although the owner of the company changed again, CRB index, as a brand in the financial market, was not affected.
200 1, 10, Reuters acquired most of the assets of Qiaoxun Company, and the name of Qiaoxun /CRB was restored to the name of CRB. CRB is still engaged in the original work, and the CRB index is renamed as Reuters /CRB index.
Since the ninth revision of 1995, CRB index has not been revised for ten years. In 2005, Reuters cooperated with Jefferies Financial Products Company, a subsidiary of Jefferies Group, and revised the CRB index for the tenth time. The modified name is also changed to RJ/CRB index.
It is worth noting that the tenth revision is unprecedented.
First of all, the varieties covered by the index increased from 17 to 19, and three varieties of unleaded gasoline, aluminum and nickel were added on the basis of removing one platinum.
Secondly, in the original calculation method, 17 varieties were treated equally, that is, the weight of each variety was117, but now different varieties are given different weights. The name, source, grouping and weight of each variety are shown on the right:
(The ninth edition of CRB index has not died out, but has become the current continuous commodity index. )
The varieties of 19 futures contracts covered by the index are as follows:
Agricultural products: soybeans, wheat, corn, cotton, sugar, frozen concentrated orange juice, cocoa, coffee, live cattle and lean pigs.
Energy: crude oil, heating oil, gasoline and natural gas.
Metals: gold, silver, copper, aluminum, nickel.
Index components (in alphabetical order):
1. aluminum (6%)
2. Cocoa (5%)
3. Coffee (5%)
4. Copper (6%)
5. Corn (6%)
6. Cotton (5%)
7. Crude oil (23%)
8. Gold (6%)
9. Heating oil (5%)
10. Lean pigs (1%)
1 1. Live cattle (6%)
12. Natural gas (6%)
13. Nickel (1%)
14. orange juice (1%)
15. Silver (1%)
16. Soybean (6%)
17. Sugar (5%)
18. unleaded gasoline (5%)
19. Wheat (1%)
Among them, the first group consists of petroleum products; The second group includes seven highly liquid commodities; The third group includes four kinds of liquid commodities; The weight of group Ⅳ is lower, but it is more beneficial to reduce the dispersion of portfolio risk after joining. Except for group I, the weight of each commodity in other groups is the same.
Judging from this adjustment, the proportion of precious metals has dropped significantly, while the proportion of energy and basic metals has increased. The substantial increase in oil weight is an important point of this adjustment.
Finally, the calculation method has also undergone major changes. For example, the original method of calculating the price of each commodity is to average the contract price of the commodity within half a year, but now it is changed to the rolling method. This method stipulates that only the price of the latest contract month is taken, and the replacement time is within 4 trading days at the beginning of the month. For example, WTI crude oil futures contract, the contract price in April takes the beginning of March, and the contract price in May takes the beginning of April; For corn (corn) futures contracts, the May contract price will be taken at the beginning of March, and the May contract price will still be taken at the beginning of April (because there is no April contract), and the July contract price will be taken at the beginning of May.
Another important change in the calculation method is to change the original geometric average method into arithmetic average method. The original calculation method is to multiply the price of 17 commodity, and then open 17 power.