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Monday links: return of arbitrage
Abnormal Returns — ... How rebalanced commodity indices will affect individual commodities.  (FT Alphaville) ...

Picture du Jour: Gold or platinum?
The Big Picture — ... Although gold may experience a further pull-back in the short term (also as commodity index re-weighting runs its course), the longer-term outlook seems fairly positive as a result of a solid supply/demand situation, a likely waning appetite for US dollars and store-of-value considerations. According to the ...

Words from the (investment) wise 1.11.08
The Big Picture — ... which commences January 8. JP Morgan estimates about $50 billion of investment into that index. JP Morgan see the most significant change coming in the DJ-AIGCI rebalance. Here the market weight of crude oil is expected to increase from 9.6% to 13.8%, gold from 10.8% to 7.9%, copper (COMEX) from 4.5% to 7.3%, live cattle from 6.4% to 4.3% and sugar from 4.7% to 3.0%. Meanwhile, S&P GSCI crude oil weight will go from 32% to 33.8%”. Source: Izabella Kaminska, FT Alphaville, January 5, 2009. Ambrose Evans-Pritchard (Telegraph): Merrill Lynch ...

Markets, Stocks to Watch on Tuesday
OptionPundit — ... ) will be announcing before market opens. Commodities are continuing it’s decline, Oil slipping and most metals losing it’s luster. And be careful of the renewed volatiltiy ahead/after the Commodity Index Rebalancing is done sometime by this week. Here is snapshot of the impact from FT - In financial terms, we expect the rebalancing to have the greatest impact in gold, COMEX copper, crude oil, gold, and live cattle. We estimate that the rebalancing of the two indices is expected to result in $877 million of selling in gold, $699 million of buying in COMEX copper, $528 ...