Cross-asset correlations… – Commodity Research Group

February 17, 2018 by Jim Colburn Leave a Comment

The CME has a nice analytics tool, here, that shows-cross asset correlations over time… Here is the one month matrix for selected assets:

Over the past month, crude oil shows a high positive correlation with forex with the Euro, +.71, and the British Pound, +.68…. This is not the case over the past year where there is almost no correlation among forex and crude:

Sometimes they correlate and sometimes they don’t!

Commodity Research Group (CRG), founded by veteran analyst Edward Meir, is an independent research consultancy specializing in base and precious metals, as well energy products. The Group provides research and general price analysis for these markets, along with advice to companies seeking to construct commodity hedging strategies.

Our associates bring decades of experience to the table, as they seek to help our clients understand the markets. CRG will distill the myriad of pricing variables mentioned above into coherent research that is to-the-point and tailored to a clients hedging or pricing needs. In addition, CRG is available for consulting assignments and speaking engagements. CRG does not manage money or trade for itself.

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