Research Excerpts

Seasonality In Commodity Prices: Recovery Coming?

Posted on: Tuesday, June 12th, 2012

The following (green highlights) is a brief excerpt from our June 2012 Global Seasonal Analysis report, one of 8 different reports that Asbury Research produces for subscribers throughout the month.  (Samples of each report are available by clicking the link.)

Global Seasonal Analysis is a monthly report that identifies and analyzes annual, quarterly and monthly seasonal trends for 17 global asset prices including global equities, global benchmark interest rates, foreign exchange, and key commodity prices based on historical data going back to the 1950s.

excerpt from Asbury Research’s Global Seasonal Analysis
Commodity Prices
June 8th 2012

The CRB Index is an un-weighted geometric average of 17 commodity futures contracts that includes energy, grains, industrials like copper and cotton, livestock, precious metals, and “soft” commodities like coffee and sugar.  It is often seen by investors as a bellwether of market-based inflation.

The green bar on the chart highlights June as the seasonally weakest month of the year for the CRB Index since 1967.  It represents the last of a two-month period of acute seasonal weakness that leads into a strong two-month seasonal rebound during July and August.

The depth of the green bar on the chart indicates that, on average since 1967, the CRB has declined by 0.15% during June.  The red line indicates that, on average since 1967, the CRB has closed lower for the month of June 56% of the time, which is its highest incidence of a negative close of any month during this period.


So far this month the CRB Index has already rebounded by 4% from the June 4th low, on the heels of an 18% collapse since February 24th.

Of particular interest to us right now is that he CRB Index, along with other major commodity prices like copper and gold, are starting to reestablish intermarket relationships with other major US asset prices that — up until recently — had fallen out of sync.  These intermarket relationships are an integral part of our analytical process as they help us to create a US macro strategy based on multiple, confirming inputs.

Asbury Research subscribers can view the entire 13-page report by logging into our Research Center via the big gold button at the upper right corner of this screen.

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