KC SPECIALIST · Softs / IMF Benchmark
Z3457 – [KC] IMF Arabica Benchmark Deviation Signal
IMF Primary Commodity Prices Other Mild Arabica benchmark deviation from trend, as a global arabica reference-price lens for ICE Coffee C.
At a glance
Current reading
-0.835
Signal state
Below-Trend
234 days in Stress phase
Updated
Nov 04, 2026
Monthly IMF release
Sample
34-year window
Monthly cadence; 1992-02 onward
As of Nov 04, 2026. Updated nightly.
SIGNAL OVERVIEW
The IMF Primary Commodity Prices database publishes a monthly Other Mild Arabica benchmark price in US dollars (series code PCOFFOTMUSDM) that serves as the global reference price for washed arabica coffee. The signal reads deviation of this benchmark from a longer-term trend, standardized and tanh-bounded. Sustained positive deviation signals a global arabica reference-price regime running above trend with bullish ICE Coffee C setup; sustained negative deviation signals a below-trend reference regime with bearish ICE Coffee C. Daily Spearman IC against Arabica forward 60-day returns is plus 0.142 at p-value 4e-40 across 8,655 observations; Phase +1 above-trend firings deliver a plus 2.67 pp edge above baseline and Phase -1 below- trend firings deliver minus 4.28 pp. 6.96 pp directional spread. Full regime stats and historical case episodes below.
LIVE CHART
KC IMF Arabica Benchmark Deviation Signal
What the chart is showing right now. The dark line is the IMF Other Mild Arabica monthly benchmark USD price, deviation from longer-term trend, bounded to plus or minus one. Positive composite means the global washed-arabica reference price is running above its longer-term trend (above-trend regime, bullish ICE Coffee C). The bronze line in the middle panel is ICE US Coffee C first-nearby. The bottom panel tracks the trailing 252-day Spearman information coefficient between the composite and Arabica forward 60-day returns.
COMPOSITE
-0.835 / tanh
STATE
Below-Trend
PHASE
-1.21
DAILY IC
+0.142 (p = 4e-40)
PHASE SPREAD
6.96 pp
TODAY’S PLAYBOOK READING
STATE
Moderate Neg
STATE AND HISTORY
Below-Trend firing at composite -0.835, 234 trading days running in the STRESS phase. Phase +1 (Above-Trend) delivers plus 5.23 percent fwd60d / plus 2.67 pp above plus 2.55 pct baseline across 4,109 days. Phase -1 (Below-Trend) delivers minus 1.73 percent fwd60d / minus 4.28 pp below baseline across 3,530 days. Daily IC plus 0.142 at p = 4e-40. Non-overlap rho plus 0.098 at p = 0.24 across 145 samples; sign-consistent with daily IC but not independently significant.
THE IMF BENCHMARK MECHANISM
The IMF Primary Commodity Prices database publishes monthly reference prices for key global commodities, including the Other Mild Arabica benchmark in US dollars (series PCOFFOTMUSDM). This benchmark aggregates physical trade data from major washed arabica producers (Colombia, Honduras, Central America) and serves as the global reference price for washed arabica distinct from ICE Coffee C futures. Deviation from longer-term trend captures global arabica reference-price regimes.
HOW TO POSITION
Macro reference-price lens for ICE Coffee C with multi-month persistence. Above-Trend firings (composite above plus 0.5) historically coincide with sustained Arabica rallies (2010-11, 2014-15, 2021-22, 2024). Below-Trend firings coincide with washed-arabica regime troughs. Pair with ENSO (long- lead ocean forcing), Cecafe realized-price (Brazil transaction confirmation), and CONAB (official Brazil supply forecast) for stacked conviction.
WHAT THE CHART SHOWS
The composite sits at -0.835 in the Below-Trend band. IMF Other Mild Arabica benchmark has run below its longer-term trend through 2026. The current STRESS episode began December 2025 and has run 234 trading days which meets the BTD danger threshold.
TOP INPUTS FIRING
- Primary composite -0.835 State Below-Trend, 234 days running in STRESS phase.
- IMF Other Mild Arabica benchmark below trend IMF PCOFFOTMUSDM has run below longer-term trend through 2026; composite deep in Phase -1 territory.
- Non-overlap not independently significant (honest caveat) Non-overlap IC at 60-day sampling delivers rho plus 0.098 with p-value 0.24 across 145 samples; sign-consistent with daily IC plus 0.142 but not independently significant.
THE TAKEAWAY
What this means for you today
THE IMF BENCHMARK CALL
Composite -0.835, Below-Trend. IMF Other Mild Arabica benchmark has run significantly below its longer-term trend through 2026. Signal firing in the Below-Trend bucket for 234 days; forward 60-day edge in Phase -1 historically runs minus 4.28 pp below baseline.
THE EMPIRICAL CONTEXT
Phase +1 (Above-Trend) delivers plus 2.67 pp above baseline; Phase -1 (Below-Trend) delivers minus 4.28 pp. 6.96 pp directional spread. Phase 0 is a thin 12.3 pct bucket with outlier plus 3.61 pp edge; this is likely sampling noise in a transition zone. Signal is strongest at the extremes.
THE HONEST CAVEAT
Non-overlap test at 60-day sampling delivers rho plus 0.098 with p-value 0.24 across 145 samples; sign-consistent with daily IC but not independently significant at 5 pct. Monthly IMF release cadence means slow updates with 30 to 45 day lag. Multi-month persistence in regimes means short-horizon forecasting is noisier than the daily IC implies.
THE REGIME MAP
The three phases, forward returns and sample share
Computed from 8,715 post-warmup trading days (1992-02-04 onward). Baseline Arabica fwd60d: mean plus 2.55 percent (median minus 0.69 percent). Phase +1 (Above-Trend) delivers +2.67 pp edge; Phase 0 delivers +3.61 pp (thin bucket, small-sample outlier); Phase -1 (Below-Trend) delivers -4.28 pp. 6.96 pp directional spread.
| State | Phase | Share | Fwd 60d | HAC t | Edge vs baseline | Last firings |
|---|---|---|---|---|---|---|
| Above-Trend | +1 | 47.1% (4109 d) | +5.23% | +2.67pp | 2024, 2021-22, 2014-15 | |
| Near-Trend | 0 | 12.3% (1076 d) | +6.16% | +3.61pp | thin bucket outlier | |
| Below-Trend TODAY | -1 | 40.5% (3530 d) | -1.73% | -4.28pp | 2026 (current), 2019, 2012 |
The historical pattern
Signature episodes in the 34-year sample
What this measures
Deviation of the IMF Primary Commodity Prices Other Mild Arabica monthly benchmark (series PCOFFOTMUSDM, in US dollars) from a longer-term trend, standardized and tanh-bounded to plus or minus one. Positive composite equals IMF benchmark above longer-term trend; negative composite equals below trend.
Why it matters
Why IMF benchmark deviation reads arabica regime
The IMF Primary Commodity Prices database publishes monthly reference prices for key global commodities, aggregating physical trade data from major producers. The Other Mild Arabica benchmark (series PCOFFOTMUSDM, USD) aggregates washed-arabica trade data from Colombia, Honduras, Central America, and other major producers. It serves as the global reference price for washed arabica distinct from Brazil-origin naturals and ICE Coffee C futures. Deviation from longer-term trend captures sustained global reference-price regimes.
How to use this signal today
Macro reference-price lens for ICE Coffee C with multi-month persistence. Above-Trend firings historically coincide with sustained Arabica rallies; Below-Trend firings coincide with washed-arabica regime troughs. Pair with ENSO (long-lead ocean forcing), Cecafe realized-price (Brazil transaction confirmation), CONAB (official Brazil forecast), and the BLS IPI deviation signal (US-import cost sibling) for stacked conviction.
Risk overlay
Validation rests on daily Spearman IC plus 0.142 (p-value 4e-40, N = 8,655), extremely significant. Non-overlap test at 60-day sampling plus 0.098 at p-value 0.24; sign-consistent with daily IC but not independently significant. 6.96 pp directional spread. Primary risks are (a) monthly IMF release cadence means slow updates, (b) IMF benchmark reflects washed-arabica physical trade which may diverge from Brazil-naturals-dominated ICE Coffee C in specific regimes, and (c) multi-month persistence means short-horizon forecasting is noisier.
Signal consumers and siblings
Not investment advice · The analysis on this page is informational and educational. Signal readings, historical case figures, and empirical statistics are derived from publicly available data and are provided without warranty. Hypothetical performance results have inherent limitations, including the benefit of hindsight. Readers who intend to trade should consult a licensed investment professional and see the research brief for the full disclaimer.
Last refreshed Nov 05, 2026 07:30 PM ET