|
PureBytes Links
Trading Reference Links
|
Mark:
Here are the weightings and makeup of both the CRB and the Goldman Index:
CRB:
Softs [Cocoa Coffee OJ and Sugar] = 24 percent
Energy [Crude, heating Oil and Natural Gas] = 18 percent
Grains [Corn, Soybeans and Wheat] = 18 percent
Industrials [Copper and cotton] = 11 percent
Livestock [Lice Cattle and Lean Hogs] = 11 percent
Metals [Gold, Platinum and Silver] = 18 percent
Here are the exchanges and the commodities and their weightings for the Goldman
Index[And note this is its most recent weighting]:
LME:
Aluminum 4.3 %
Zinc 1.1 %
Nickel 0.6 %
Copper 2.5 %
Lead 0.4 %
Tin 0.1%
Nymex
Gold 2.5 %
Silver 0.2 %
Platinum 0.2 %
CME
Live Cattle 7.8 %
Lean Hogs 3.8 %
CBOT:
Corn 5.7 %
Soybeans 2.7 %
Wheat 8.1 %
CSCE:
Coffee 2 %
Sugar 3 %
Cocoa 0.4 %
Cotton 3.2 %
Nymex:
Crude 20.6 %
Heating Oil 12.1 %
Unleaded Gasoline 12.4 %
Natural Gas 6.3 %
The Goldman Index IS arbed against cash markets and is heavily used in pension
fund trading. Goldman will actually make you a price on your amount. That's good
and bad--the index is liquid in some sense, but is also manipulated relative to
positions at times. At first glance, it appears to be very heavily weighted in
energy, perhaps too much.
Hope that helps.
Best,
Tim Morge
|