Commodity Correlation

[minx]

Before I start trying to work this out does anyone know a quick link to a website where I can find the correlation the following commods: Corn, Oats, Wheat, Soybeans, Soymeal, Bean Oil, Cotton, Coffee, Cocoa, Sugar, Orange Juice, Crude Oil: Brent+WTI, Lean Hogs, Feeder Cattle, Live Cattle and the london coffee, sugar and cocoa and their relations with their american cousins.
Thanks
Minx

 

[oatman]

I wouldn't think there is one. There are too many variables. Contract size, quality and currency for a start. I think you'll have to work them out yourself.

 

[minx]

Not really, you just correlate the daily % price moves...........

 

[oatman]

Well you need to find which exchange your commodities are on. For instance Cocoa,coffee,sugar and cotton in US are here http://www.csce.com/
Cocoa, coffee and sugar in London are Liffe contracts.
does that help?

look here http://www.manfutures.com/resources/getquote.asp?page=default&section=softs

look what I found http://www.mandirect.co.uk/trading-tools/quotes.cfm

 

[minx]

Thanks Oatman, I have all those details, I guess I should've been a little more specific. I'm using eSignal and I'm sure I saw a feture a few months ago where it would fill in an excel portfolio so you could have the OHLC of the Dow and it'd fill in all the days you wanted. I cant seem to find that feature now though :?:
Anyone know?
Thanks

 

[oatman]

Sorry, can't help there. I'm sure someone will know 😉

 

[rog1111]

For a quick visual assessment of the various correlations, you could try the futuresource.com comparison charts. There's a fair choice of instruments, and there's quite a bit of flexibility with how you set the charts up :

http://www.futuresource.com/charts/charts.jsp

rog1111

Before I start trying to work this out does anyone know a quick link to a website where I can find the correlation the following commods: Corn, Oats, Wheat, Soybeans, Soymeal, Bean Oil, Cotton, Coffee, Cocoa, Sugar, Orange Juice, Crude Oil: Brent+WTI, Lean Hogs, Feeder Cattle, Live Cattle and the london coffee, sugar and cocoa and their relations with their american cousins.
Thanks
Minx

 

[JumpOff]

That's a lot of variables to look at all at once! The issue is complicated by the fact that some of the correlations have significant time lags involved. For instance: beef cattle only eat corn during the last 2 months of their lives; they spend the first 18 months on pasture. If they are brood cows or bulls- they spend almost their entire life on pasture - maybe getting just a little supplemental grain in February when their body fat percentage gets low. Yet even though cattle aren't big corn eaters all their lives -there is a correlation - High corn leads to lower beef, then a drop in corn, then an upspike in beef 2 years later.....why?

When corn gets "too high" it generally means there has been a poor growing season in the midwest. A poor growing season usually means "less rain than normal" - a drought. So when its a dry year - there is not as much pasturage for the normal number of cows, and there isn't a big hay crop either. Farmers start selling more cattle than usual going into the winter because they know they can't feed them all. If it's really bad, cow herds get reduced dramatically, and it takes several years before the demand for corn to feed to feeder cattle gets back to normal. Meanwhile there is a glut of beef coming to market - and it takes a while for the system to absorb and process all of that. Low beef prices habituate consumers to eating beef - lowering the price of lean hogs... Now when the price of oil goes up, it dramatically influences the cost of fertilizer, tillage, transportation to market. - making 'set aside' subisidized acres look more attractive to farmers. Add that to the mix above.. well I could go on for pages and pages.....!

It's hard for me to visualize more than a couple of these correlations all at once.... I expect if anyone has worked out all these correlations, they would consider that their life's work, and would not publish it on a website... Your project sounds like a whole career for some neural network nerd herd at MIT - and sounds like a lot of fun too.

TA 's strength is that all of this information gets incorporated into the price action. It's weakness is that 'one time' outside events (like JImmy Carter's Russian grain embargo) also get incorporated, so you have to have some way of discounting that influence if you are going to understand or try to predict a correlation in the future...

Best wishes in your quest for information.. JO

 

[minx]

Thanks all, I found the function in eSignal and just chucked the data into excel. I want the data in order to calculate the risk in my portfolio. I was only trying to get the price movement correlations which means I only needed the daily % price change and then correlated these, fairly straight forward.
Again, thanks for the suggestions.
Minx

 

[bgold]

Thanks all, I found the function in eSignal and just chucked the data into excel. I want the data in order to calculate the risk in my portfolio. I was only trying to get the price movement correlations which means I only needed the daily % price change and then correlated these, fairly straight forward.
Again, thanks for the suggestions.
Minx

You can find everything you ever wanted on correlations on the MRCI site:
http://www.mrci.com/client/correl/

Drawback is that it is not free. Annual subscription is about $400 but in my view worth it. Have a look for yourself.

 

[rcoach]

Before I start trying to work this out does anyone know a quick link to a website where I can find the correlation the following commods: Corn, Oats, Wheat, Soybeans, Soymeal, Bean Oil, Cotton, Coffee, Cocoa, Sugar, Orange Juice, Crude Oil: Brent+WTI, Lean Hogs, Feeder Cattle, Live Cattle and the london coffee, sugar and cocoa and their relations with their american cousins.
Thanks
Minx

HI MINX it's RayCoach, now I'm no pro at this but VantagePoint software is an intermarket analysis software made with neural networks with 80% accuracy, anotherwords it does all this work for you, exspensive yes, worth it, I could'nt tell you I just studied how it was designed, I hope this helps you. CHEERS

 

[-oo0(GoldTrader)]

Correlation Explanation

You can find everything you ever wanted on correlations on the MRCI site:

They can also give you spreads correlated against any abnormal years in the last fifteen years. It may be that those years have similar fundamentals to the current spreads. They are over shorter statistical basis, it is scary to trade against the longer-term seasonals.

See Correlation Explanation.​