Refinitiv provides a variety of highly recognised commodity indices, many of which are tracked by Exchange Traded Funds and other derivatives. All indices have a strong connection to the Commodity Research Bureau (CRB) name.
The CRB index has undergone periodic updates as commodity markets have evolved and is now known as the Refinitiv/CoreCommodity CRB Index (TR/CC – CRB Index), consisting of 19 commodities. The R/CC CRB Index is designed to provide timely and accurate representation of a long-only, broadly diversified investment in commodities through a transparent and disciplined calculation methodology. In particular, the CRB Ex-Energy Index removes Crude Oil, Heating Oil, Natural Gas and RBOB Gasoline from the standard index, providing it with higher exposure to agricultural commodities and metals.
Key Features and Coverage on RIMES
For this data source, RIMES hosts approximately 85 commodities and 13 indices. Index coverage includes various CRB indices, e.g. Ex Energy and 3-month.
Some of the data items available include:
- Index Items: Database Domain Code, Database Source, Database Symbol, Description, Excess Return, Total Return, etc.
- Commodity Items: Back Month (Price/RIC), Commodity code (root), Daily Excess/Total Return – RIMES Calculated, Date of Portfolio, Front Month (Price/RIC), Opening Excess Return, Rebalance Disruption Event (0/1), Roll In/Out Contract Weight, Rollover Disruption Event (0/1), Series Value, Total Return – RIMES Calculated, Treasury Bill Daily Return – RIMES Calculated, etc.
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