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Indexfam Explained and Amplified

Updated 07/23/10

The name of a stock index does not always carry enough information understand what the index actually is or it's usefulness within FastTrack. This page discusses some of the stock market index members of the FastTrack IndexFam family. This discussion does not cover indexes that we judge easy to understand.

CRB indexes - Commodity Research Bureau
Exchange Traded Funds Indexes - Indexes that underlay all exchange traded funds.
Sector Indexes - Indexes that track stocks in a particular industry sector

CRBI-

The New York Board of Trade, exclusive futures and options exchange for the Reuters CRB Index, will introduce new contracts on a revised and renamed version of this leading benchmark of the commodity futures market beginning July 11, 2005.

The renamed Index – the Reuters/Jefferies CRB Index – is the collaborative effort of Reuters, the global information company, and Jefferies Financial Products, LLC, a leading provider of commodity-related products for institutional investors and a subsidiary of Jefferies Group, Inc. On June 20, 2005 , the Index will officially become the “RJ/CRB”, undergoing the most significant revision in its nearly fifty year history with changes in weighting, methodology and commodity representation.

Developed in 1957, the Reuters/Jefferies CRB Index is one of the most often cited indicators of overall commodity prices. Originally, the CRB Index was weighted heavily towards agricultural commodities. Since its inception, it has been revised nine times to be more representative of a broader range of commodity prices, particularly energy. This tenth change brings the Reuters/Jefferies CRB in line with the evolution of a rapidly expanding commodity futures market. The RJ/CRB Index continues to offer investors a broad and reliable benchmark for the performance of the commodity sector; it now represents nineteen commodity futures markets, including all five of the NYBOT primary agricultural products (cocoa, coffee, cotton, FCOJ and sugar).

“The transition to the Reuters/Jefferies CRB Index comes at a significant time for the futures industry,” stated NYBOT President and CEO C. Harry Falk. “Many portfolio managers and individual investors are turning to commodities as an important alternative asset class that may provide critical portfolio diversification, and the RJ/CRB market at the New York Board of Trade offers serious investors access to the commodities market though a single financial instrument with less volatility than generally found in many individual commodities.”

New York ’s original futures exchange began trading the CRB in its index marketplace in 1986; the name of the index changed to the Reuters CRB Index in 2001. Now again renamed as the Reuters/Jefferies CRB Index, these contracts offer investors direct access to an asset class that may diversify their holdings, improve portfolio returns, reduce overall portfolio risk and hedge against inflation.

Trading in the RJ/CRB will commence on July 11, with the first listed month of September 2005. Effective with this introduction, the RJ/CRB futures will list four months on a quarterly cycle (March, June, September and December). The RJ/CRB contract will also feature a multiplier of $200 times the Index (down from $500 in the old CRB). The new contract size will provide easier access to the Index market. Real time data for the RJ/CRB will be generally available beginning June 20 th under the current CRB trading symbols.

The previous version of the Reuters CRB will be renamed the “Continuous Commodity Index” and will be made available for trading under the symbol “CI” after the close of business on June 17th. All outstanding open positions in the current Index will be rolled into the new product and trade under the symbol “CR”. The Exchange will continue to list new months for the CCI.

CRB-1 Reuters CRB Total Return Index

For FastTrackers the CRBI- and CRB-1 offer the opptunity for generating simple relative strength signals. Using CRBI- in red and CRB-1 in green, AccuTrack 25/100 creates signals which have a successful timing record. This is by no means optimal. However, the strategy suggests potential for using these signals to trade short/long commodity funds to diversity a portfolio.

http://www.crbtrader.com/crbindex/total_return.asp

"The Reuters-CRB-Tot Return Index's  (CRB-1) return and volatility characteristics allow it to serve as an benchmark for institutions looking to take advantage of this asset class.

One of the key features of the CRB-1 is its method of calculation. Because the CRB-1 is geometrically averaged, the listed CRB-1 future contracts almost always trade at a discount to their fair value. This is due to the fact that arbitrageurs are able to manage a short CRB-1 futures position against an equal weighted long component position which is arithmetically weighted. As time passes and depending upon the volatility of the component commodities, the arbitrageurs long component position will outperform the short CRB-1 position. This mathematical certainty allows the arbitrageurs to sell CRB-1 futures contracts at a slight discount to their daily calculated value. Informed investors may regularly obtain this price anomaly and therefore increase their overall return by the level of the discount captured. A large institutional investor may find this aspect of using the CRB-1 particularly attractive. Along with the size of a CRB-1 futures contract ($100,000 per contract with the index at 200.00), using CRB-1 futures contracts may seem the most useful of the current commodity benchmarks currently available.

Many investors looking to commodities as a hedge against other held assets are not so much concerned with commodity prices rising but with commodities prices rising quickly. Large upward spikes in commodity prices may send investors scrambling to insulate their portfolio against the possible inflationary ramifications associated with such a move. The comparatively low volatility of the CRB-1 make using CRB-1 options a reasonably priced insurance policy. "

Exchange Traded Fund Indexes

For every exchange traded fund there is an index. These are members of the FastTrack ETFIndex family. Intra-day Index values are published at 5 to 15 minute intervals depending on the index. Trades in the ETFs occur above and below the most recent index number typically taking place with 0.1% -.25% of the index. Strategy: The index-ETF spread is always  most narrow at then close of the market which, not coincidentally, is the only moment of the day for which the exchanges report this spread.

Major organizations like Dow Jones and Barclay's Bank have longstanding indexes and create new indexes regularly in hopes of attracting license fees from organizations who wish to create new ETFs based on the indexes. Often, but not always, when a new ETF begins to trade, the index organization will publish a new version of the index with a different ticker symbol to underlay the ETF. Often a longstanding index has been (and will continue to be) be computed or managed in way that is difficult for a funds manager to follow. The new index, using a different set of construction rules, makes it easier for the fund and index to track together..

This new ticker and associated data will coexist with the old ticker symbol both often having the same name and essentially the same performance. FastTrack often carries both of these indexes and the longstanding index will have much more data and be more widely recognized.

GD-AM, GD-PM, and XAU-I - Gold Indexes

The majority of gold by weight is sold in the London markets at the morning and afternoon gold fix price - one price for all trades. These are the prices we quote in GD-AM and GD-PM.

This means that NY prices can differ (as they do in the 13 cities worldwide that trade gold).In the US Handy Harmon Index (Bridgeport CT) , is commonly used. The HH price adjusts to the London Afternoon gold fix and then can drift from that point later in the NY trading day.

One issue created by our use of the London pricing is that London trading is closed for different holidays. Therefore, I am making an adjustment in our procedures. Where we do not get a London price for a US market day, then FastTrack's GD-PM will be adjusted to match the HH price quoted in the Wall Street Journal.  Commonly, the quoted HH Price is the same as the London PM fix, but not always.

XAU-I is an index of gold stocks. This index is often used as a basis for trading of derivatives (options and futures). Gold stocks are more volatile than the price of gold, and generally move in the same direction as the underlying price of gold. A small increase in gold price can  result in the doubling of profits in the gold stocks.

Moody's Bond Indexes

The Moody's bond index series available to us is listed below. We license these these indexes using the ticker symbols shown. The indexes which are not in  FT DT DB as of August 2009 are included in this listing to give you a better idea of the components of each index. No further explanation of index components is available.

         61499504 MOODY'S BOND YIELD AVG A RATED CORP
         61499509 MOODY'S BOND YIELD AVG A RATED IND
         61499518 MOODY'S BOND YIELD AVG A RATED PUB UT
         61499503 MOODY'S BOND YIELD AVG AA RATED CORP
         61499508 MOODY'S BOND YIELD AVG AA RATED IND
         61499517 MOODY'S BOND YIELD AVG AA RATED PUB UT
MD-09    61499502 MOODY'S BOND YIELD AVG AAA RATED CORP
         61499507 MOODY'S BOND YIELD AVG AAA RATED IND
         61499516 MOODY'S BOND YIELD AVG AAA RATED PUB UT
         61499505 MOODY'S BOND YIELD AVG BAA RATED CORP
         61499510 MOODY'S BOND YIELD AVG BAA RATED IND
         61499519 MOODY'S BOND YIELD AVG BAA RATED PUB UT
MD-16    61499501 MOODY'S BOND YIELD AVG COMP CORP
         61499506 MOODY'S BOND YIELD AVG COMP IND
MD-18    61499515 MOODY'S BOND YIELD AVG COMP PUB UTIL
MD-21    61499521 MOODY's BOND YIELD US GOV 6-MO SECUR

Sector Indexes

Sector indexes are members of the SECTOREQ family. These are built form the market prices of stocks in the same industry  like semiconductors, beverages, autos, etc. SECTOREQ does not include market segment indexes like small cap stocks, large cap stocks, transportation, industrials, etc.. Sector mutual funds often follow a market index quite closely.

For FastTrack Stock database subscribers, there is a set of "Components of Indexes" families available. These families are updated with varying frequency. To obtain fully update index components, visit to the web pages of the index sponsor and use the "Make a Family" button of the FT4Web Internet Browser Tab. Many index links can be found clicking the button on the Internet Tab. For index pages that allow download into Excel, just click the top of the ticker symbol column in Excel and copy the contents to the FT4Web Issue list.

This page is service of Investors FastTrack®. Investors FastTrack is independent from The Mutual Fund Group, Mutual Fund Inc., iShares® is a registered trademark of Barclays Global Investors,N.A. Mutual Fund, and Mutual Fund Investments®including their advisors, exchange traded funds, mutual funds, annuities, and affiliates collectively known herein as Mutual Fund. The above are service marks of Mutual Fund®. Check with Mutual Fund and your traditional sources of investment information before trading a Mutual Fund fund. Copyright ©2010 Investors FastTrack. All rights reserved.