Global Seasonal Analysis is a monthly report that displays and analyzes annual, quarterly and monthly seasonal trends for 17 global asset prices including equities, benchmark interest rates, foreign exchange, and key commodity prices based on historical data going back to the 1950s.
The following is an excerpt from this month’s report.
CRB Index Yearly Seasonal Pattern Since 1967
The Thomson Reuters/Jefferies CRB Commodity Index is a weighted average of 19 commodities including aluminum, cocoa, coffee, copper, corn, cotton, crude oil, gold, heating oil, lean hogs, live cattle, natural gas, nickel, orange juice, silver, soybeans, sugar, unleaded gas, and wheat. The CRB has historically been seen by investors as a bellwether of market-based inflation.
The green bar in the chart below shows that January is the seasonally strongest month of the year in the CRB Index based on data since 1967. It represents the resumption of a four-month period of overall seasonal strength that runs between November and February, which includes three of the four strongest months of the year, following a weak December.
The height of the green bar indicates that, on average since 1967, the CRB has risen by 0.78% in January. The red line shows that, also on average since 1967, the greenback has outperformed the yen in January 62% of the time, its highest incidence of a positive close for any month during this period.