The Nikkei-TOCOM Commodity Index is the aggregated figure of the fluctuation rates of each component’s settlement prices in the core contract-month (fifth or sixth contract-month), from base date (May 31, 2002, on which the Index price is set at 100.00) to the applicable date, multiplied by a weight percentage for each component.
The “Nikkei-TOCOM Commodity Index” which had originally been publicized as the “TOCOM Index” since July 24, 2006, changed its name to the current one as of the April 1, 2009 calculation. The listed commodities in Agricultural Product and Sugar Market were added to the index, in addition to the commodities for industrial use, from December 2, 2013.
On September 20, 2016, TOCOM changed the timing of the Index price dissemination. We now calculate and publish the Index price once a day, after the close of a Day Session. Previously, the Index price was uploaded every 5 minutes.
We appreciate your understanding.
About the Nikkei-TOCOM Commodity Index
- The Nikkei-TOCOM Commodity Index as a benchmark of the whole market
The Nikkei-TOCOM Commodity Index is based on the price of all the listed commodities at TOCOM for each market division (precious metals, oil, rubber and agricultural product & sugar) and therefore gives an overall indication of the price levels on the TOCOM market as a whole.
The TOCOM Index, the first of its kind in the world as a comprehensive commodity index developed and published by a commodity futures exchange, changed its name to the “Nikkei-TOCOM Commodity Index” as of the April 1, 2009 calculation.
The new Nikkei-TOCOM Commodity Index retains continuity from the previous TOCOM Index.
- The Nikkei-TOCOM Commodity Index is a highly transparent index
We believe that the transparency is the most important factor for an index. Therefore, the published values and method used to calculate the Nikkei-TOCOM Commodity Index are readily available so that whoever calculates the index will reach the same result.
- The Nikkei-TOCOM Commodity Index as a tool to hedge risk
Since the Nikkei-TOCOM Commodity Index gives an overall indication of the price levels on the TOCOM market as a whole, it is a reliable indicator for commercial players to form their comprehensive hedging strategies. Also, because of the high correlation between commodity futures prices and price indices (e.g: Consumer Price Index, etc…), the Nikkei-TOCOM Commodity Index could also serve as a tool to hedge against inflation, and as such, it will contribute to enhance the functionality of commodity futures markets as one of the industry’s infrastructure, that is to provide a risk hedge tool for price fluctuation.
- The Nikkei-TOCOM Commodity Index as a tool for asset management
In the past couple of years, as the commodity market has developed and commodity prices increased, and since commodity markets move distinctly from stock and bond markets, investors have been turning their eyes on commodity markets to diversify their investment. As a result, some investment trusts and commodity funds have developed commodity indices, or use such indices, based on the price of TOCOM’s listed commodities.
The Nikkei-TOCOM Commodity Index, while acting as a benchmark to assess the individual performance of such investment trusts and commodity funds, also takes into consideration the composition of the market and its liquidity, and therefore allows for the said trusts and funds to base their operations on the index.
Calculation Method (outline)
- Calculation Method of the Nikkei-TOCOM Commodity Index
The Nikkei-TOCOM ICommodity Index is…
- in principle, composed of all the TOCOM listed commodities
- and has a weight percentage for each component based on the relative size of the cash and futures market,
- which is multiplied by the fluctuation rate of each component’s settlement price in the core contract-month (fifth or sixth contract-month), from base date (May 31, 2002) to the applicable date,
- and is the aggregated figure of all the components.
- Weight Percentage
The scale of the cash market, one of the factors that determine the weight percentage, is calculated from the previous year’s import volume (domestic sales volume for gasoline and kerosene, and the total of import and domestic production figures for azuki). Another factor, the scale of the futures market is based on the average of the previous year’s end of month open interest on the TOCOM markets.
The weight percentage shall be reviewed once a year, for an application starting on the first trading day of June.
Nikkei-TOCOM Commodity Index retains continuity from the previous TOCOM Index. For the detailed information on how Nikkei-TOCOM Commodity Index is calculated, please refer to the “Nikkei-TOCOM Commodity Index Guidebook”.
Component weight percentage (June 2020 to May 2021)