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ELECTRONIC
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The Financialisation of Commodities is
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Chapter 07
T4.12 Composition of returns of the DBLCI, 2005 F4.8 Commodity weights of the DCI, July 2007
T4.13 RJ/CRB Commodity Index weights F4.9 Base metals price volatility, 2007
INDUSTRIAL METALS T4.14 Commodity weights of the RICI, April 2007
F4.10 Underlying base metals market
T4.15 Commodity weights of the S&P GCSI,
performance, 2007
Industrial metals markets
April 2007
F4.11 DBLCI-MR sector weights, 2000 –2006
Industrial metals
T4.16 Commodity weights of the UBS CMCI,
F4.12 DBLCI-OY Broad, S&P GSCI & DJ-AIGCI
Aluminium
January 2007
sector weights compared, July 2007
Copper
T5.1 Top 10 coffee producers, consumers,
F4.13 DBLCI-OY Balanced, S&P GSCI Light Energy
Lead
exporters and importers, 2006
& DJ-AIGCI sector weights compared, July
Nickel
T5.2 Top 10 corn producers, consumers,
2007
Tin
exporters and importers, 2006
F4.14 Commodity weights of the LBCI, January
Zinc
T5.3 Top 10 cotton producers, consumers,
2007
Iron ore
exporters and importers, 2006
F4.15 Commodity weights of the MLCX, January
Steel
2007
T5.4 Top 10 softwood lumber producers,
consumers, exporters and importers, 2005
F4.16 Commodity weights of the RJ/CRB, July
Chapter 08
2007
T5.5 Top 10 sugar producers, consumers,
exporters and importers, 2006
F4.17 Total returns for single commodity indices,
PRECIOUS METALS
1989–2007
T5.6 Top 10 wheat producers, consumers,
F4.18 Commodity curves and convenience yields
Precious metals markets
exporters and importers, 2006
F4.19 Commodity volatility and convenience
Precious metals
T6.1 Top 10 oil producers, consumers,
yields, 1988–2004
Gold
exporters and importers, 2006
F4.20 Total return swap
Silver
T6.2 Index of global warming potential of GHGs
F5.1 Coffee turnover by exchange, 2005
Platinum
relative to CO2
(futures only, m lots)
Palladium
T6.3 Top 10 coal producers, consumers,
F5.2 Coffee prices, 1957–2005 (US cents/lb)
exporters and importers, 2005
F5.3 Corn turnover by exchange, 2005 (futures
Appendix 1 Sources
T6.4 Oil demand growth in key consuming
only, m lots)
nations, 1990–2010e (mb/d)
Apendix 2 Glossary
F5.4 Corn prices, 1972–2005 (US$/bushel)
T6.5 Refined products by type
F5.5 Cotton turnover by exchange, 2005
Tables and Figures
T6.6 Top 10 ethanol producers, 2006 (m gal)
(futures only, m lots)
T6.7 Top 10 natural gas producers, consumers,
F5.6 Cotton prices, 1957–2005 (US cents/lb)
T1.1 Commodity futures contracts 2005
exporters and importers, 2005
F5.7 Sugar prices, 1957–2005 (US cents/lb)
T1.2 Estimated fixed storage cost for various
T7.1 Top metals futures contracts, 2005
F5.8 Wheat turnover by exchange, 2005
commodities, 1989–2005
T7.2 Base metals demand growth, 1990–2007
(futures only, m lots)
T1.3 Average historical correlation of
T7.3 Top 10 aluminium producers, consumers, F5.9 Wheat prices, 1972–2005 (US cents/bushel)
commodities and other investments,
exporters and importers, 2005
F6.1 The WTI forward curve moving into a
1970–2005
T7.4 Top 10 copper producers, consumers, strong backwardation, September 2007
T1.4 S&P GSCI-TR, 2002–2005 (%)
exporters and importers, 2005 (US$/bbl)
T1.5 ML US investor model allocations
T7.5 Top 10 lead producers, consumers, F6.2 A strong trend in the front-to-second
with/without commodities, as of
exporters and importers, 2005 month WTI spread (US$/bbl)
November 2005 (%)
T7.6 Top 10 nickel producers, consumers, F6.3 OPEC 10 countries’ output, 2006–2007
exporters and importers, 2005 (mb/d)
T1.6 Participants in OTC trading on the ICE,
2004–2006 (%)
T7.7 Top 10 tin producers, consumers,
F6.4 Projected and implied global inventory
exporters and importers, 2005
change, 2006–2007 (mb/d)
T1.7 Regression results
T7.8 Top 10 zinc producers, consumers,
F6.5 Profit margin captured by value chain
T3.1 Correlation of monthly returns, July
exporters and importers, 2005
player (US$/gal)
1997–April 2007 (%)
T8.1 Central bank gold holdings,
F6.6 Carbon emission IPE, Nov 2006–Oct 2007
T3.2 Comparison of derivative amounts
end December 2007 (tonnes)
F6.7 Liquidity in emissions trading, 2004–
outstanding by type, 2005–2006 (US$trn)
T8.2 Top 10 gold producers and
2006 (mt)
T3.3 Hypothetical price performance of five
consumers, 2005
F6.8 Refined product futures annual turnover
assets over a five-year period
T8.3 Top 10 silver producers and
by contract, 2005 (futures only, m lots)
T4.1 Average annual total returns for various
consumers, 2005
F6.9 Corn use in US ethanol production,
commodity indices, Aug 1999–Nov 2005
T8.4 Top platinum producers and
1980–2004 (m bushels)
T4.2 Incorporating an index with a portfolio of
consumers, 2005
F7.1 China consumption of metals, 2000–2005
stocks and bonds, Jan 1991–Aug 2006
T8.5 Top palladium producers and
(% of world consumption)
T4.3 Correlation of commodity sub-indices
consumers, 2005
F7.2 Performance of far forward base metals,
with major indices, 1982–2007
F1.1 Futures vs. spot returns
2003–2007
T4.4 Historical returns, volatility and Sharpe
F3.1 Structure of a CCO
F7.3 Curves flatten in most markets
ratios compared, July 2006
F3.2 Half pipe copper note
F7.4 Base metals inventory levels, 1985–2007
T4.5 Correlation of commodity indices with
F3.3
F7.5 World refined copper consumption,
Bonus note
other asset classes, Jan 1991–Aug 2006
1900–2030 (000 tonnes)
F4.1 Performance of crude oil returns, OIX index
T4.6 Comparative performance of commodity
F7.6 China consumption of industrial metals,
and WTI frontline, 1993–2007
indices against the equity market, Nov
1990–2006 (% of world demand)
F4.2 Cumulative performance in negative bond
2005
F7.7 Lead cash price, 1957–2005 (US$/tonne)
months, Jan 1989–June 2007
T4.7 MLCX & GSCI provide the highest returns
F4.3 Cumulative performance in negative
during an equity market downturn
equity months, Jan 1989–June 2007
T4.8 Major commodity index weights, 2006
F4.4 Correlation of equity, bonds and
To order your copy of this
T4.9 Commodity indices classification – commodities to inflation, July 2006
report today, simply complete
weight, rolling and rebalancing F4.5 JOC-ECRI Index movement, 2005–2007
and return the order form on
T4.10 The commodity index universe F4.6 Commodity weights of the CYD Market
T4.11 Composition of returns from the DBLCI,
Neutral Plus, Sept 2006 the back page.
1989–2004 F4.7 Commodity weights of the CX, June 2007
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