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 Monthly 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 viewed by investors as a bellwether of market-based inflation.
The green bar in the chart below shows that June is the 11th seasonally strongest or 2nd weakest month of the year in the CRB Index based on data since 1967. It represents the end of a gradual seasonal decline that begins in March, the 7th strongest month, and immediately precedes a sharp rise into August, the strongest month of the year.
The depth of the short green bar on the chart indicates that, on average since 1967, the CRB has declined by 0.07% in June. The red line shows that, also on average since 1967, the CRB has posted a negative June close 55% of the time, its highest incidence of a negative close for any month during this period.