Calculating Beta for commodities and currencies

[Killaloth]

Hello everyone,

I am doing an assignment at uni and I'm required to build a portfolio and calculate the beta of the assets on excel.

The beta of a UK stock is of course calculated against the FTSE 100, an US one against the S&P, but what about commodities and currencies?
These are my 2 selected assets:

iShares Silver Trust (NYSEArca: SLV)
Rydex CurrencyShares Swiss Franc Trust (NYSEArca: FXF)

Thank you very much for your attention!

 

[Rhody Trader]

You could use the CRB Index for commodities, though there are other options.

As for forex, the only real index there is the Dollar Index.

 

[Killaloth]

Thank you very much for your advice.

Regarding the dollar, is this the index I have to take into account?

Dow Jones FXCM Dollar Index (^USDOLLAR)

I have only access to yahoo finance but surprisingly there are no historical prices for ^USDOLLAR, something seems to be wrong, I must have piched the wrong ticker but I can't find any other than this.

Apologies for the newbie question, it's the first time in simulate an investment in commodities.

 

[Rhody Trader]

On Yahoo the USD Index is DX-Y.NYB. I don't know the composition of the FXCM index, so can't really comment. It's not the one quoted in the press in any case. One thing to note, though, is that DX-Y.NYB is like 60% weighted to the euro, so it might not be the best choice for a beta calculation.

 

[Jason Rogers]

Thank you very much for your advice.

Regarding the dollar, is this the index I have to take into account?

Dow Jones FXCM Dollar Index (^USDOLLAR)

I have only access to yahoo finance but surprisingly there are no historical prices for ^USDOLLAR, something seems to be wrong, I must have piched the wrong ticker but I can't find any other than this.

Apologies for the newbie question, it's the first time in simulate an investment in commodities.

Hi Killaloth,

The Dow Jones FXCM US Dollar Index (^USDOLLAR) was officially released yesterday so there is no historical chart data as of yet. The index is composed of 4 currencies in equal weightings:

The idea behind the new index is to avoid outdated currency pair selection and confusing methodology to produce a more straightforward design. At inception date, the index reflects an equivalent $10,000 long position against the euro, British pound, Japanese yen, and Australian dollar. The value of the index is subsequently the average value of those US Dollar positions. If the US Dollar rallies 100 pips against the euro, Australian dollar, Japanese yen, and British pound, the index will appreciate by approximately 100 points. It’s that simple.

While there are no historical prices as of yet, I believe the chart data will be back-filled in the coming weeks. The index can be found on FXCM demo accounts at the moment listed as USDOLLAR in the dealing rates, and it will be launched as a tradeable product in live accounts in the months ahead.