Methods and systems for determining composition of a commodity index
Methods and systems provide a commodity index for investing. In one implementation, a method selects a commodity component for inclusion in the commodity index and calculates a target weight of the commodity component. The method further selects a time interval for maturity of the commodity component to be fixed at from a current date. Financial instruments may be purchased corresponding to the commodity component.
1. A computerized method for determining a composition of a commodity index, comprising:
selecting sectors for the commodity index;
selecting commodity components for the selected sectors;
calculating, with a processor, sector weights of the selected sectors based on regional consumer price index data, regional producer price index data, and global domestic product data; and
calculating, with a processor, individual contract weights for the commodity components based on market value consumption data.
2. The method according to claim 1 ,
wherein the regional consumer price index data comprises U.S. consumer price index data, European consumer price index data, and Japanese consumer price index data; and
wherein the regional producer price index data comprises U.S. producer price index data, European producer price index data, and Japanese producer price index data.
3. The method according to claim 1 , wherein calculating the sector weights comprises calculating aggregate regional data based on the regional consumer price index data and the regional producer price index data.
4. The method according to claim 3 , wherein calculating the aggregate regional data comprises assigning a first weight to the regional consumer price index data and assigning a second weight to the regional producer price index data, wherein the first weight is different from the second weight.
5. The method according to claim 3 , wherein calculating the sector weights further comprises weighing the aggregate regional data using the global domestic product data.
6. The method according to claim 5 , wherein the using of the global domestic product data comprises multiplying a combined aggregate weight for a region of the aggregate regional data by a share of global domestic product for the region.
7. The method according to claim 1 , wherein the sectors comprise at least one of energy, industrial metals, precious metals, agricultural, and livestock.
8. The method according to claim 1 , wherein the global domestic product data is at purchasing power parity exchanger rates.
9. The method according to claim 1 , wherein the global domestic product data is for a period of most recently available full calendar year.
10. The method according to claim 1 , wherein the selected sectors include an energy sector, and wherein selecting commodity components for the energy sector comprises:
splitting the energy sector evenly between inputs and outputs,
wherein the inputs comprises crude oil, and
wherein the outputs comprises refined products;
splitting the crude oil evenly between WTI crude oil and Brent crude oil;
selecting at least one crude oil commodity component for each one of the WTI crude oil and the Brent crude oil; and
selecting refined products commodity components for the refined products.
11. The method according to claim 10 , wherein selecting refined products commodity components comprises:
determining consumption levels for gasoline, heating oil, and gas oil; and
selecting the refined products commodity components and allocating a weight to each of the refined products commodity components based on the consumption levels.
12. The method according to claim 11 , wherein determining consumption levels comprises determining U.S. consumption levels and European consumption levels, wherein the European consumption levels are for a group of European countries.
13. The method according to claim 1 ,
wherein the selected sectors include an agricultural sector;
wherein selecting commodity components for the agricultural sector comprises selecting soybeans, soybean meal, and soybean oil; and
wherein the individual contract weights for the soybean, the soybean meal, and the soybean oil are based on the market value consumption data for soybeans.
14. The method according to claim 1 ,
wherein the selected sectors include an agricultural sector;
wherein selecting commodity components for the agricultural sector comprises frozen concentrate orange juice; and
wherein the individual contract weights for the frozen concentrate orange juice are based on the market value consumption data for oranges divided by a number to reflect difference in concentration of the frozen concentrate orange juice.