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Baltic Dry Index > Correlations     Correlations     Forecasting

Baltic Dry Index & Commodities Correlations

quantf research Correlation Selection

Category ETF Returns Prices
General DBC 0.53
0.60
0.21
-0.11
Currencies FXB 0.15
0.42
0.45
0.59
Currencies UUP -0.26
-0.22
0.06
-0.20
Agricultural BAL 0.56
0.69
0.68
0.87
Agricultural CANE -0.19
-0.08
-0.34
-0.59
Agricultural CORN 0.46
0.59
0.24
0.10
Agricultural DBA 0.22
0.13
-0.18
-0.41
Agricultural JJG 0.44
0.55
0.16
-0.06
Agricultural JO 0.24
0.00
-0.22
-0.43
Agricultural NIB -0.49
-0.10
0.13
0.58
Agricultural SGG -0.23
-0.16
-0.33
-0.54
Agricultural SOYB 0.20
0.10
-0.31
-0.61
Agricultural WEAT 0.71
0.76
0.71
0.85
Metals BDG 0.00
0.00
0.00
0.00
Metals CPER 0.32
0.63
0.53
0.81
Metals DBB 0.71
0.75
0.63
0.84
Metals JJC 0.73
0.79
0.65
0.84
Metals JJM 0.56
0.69
0.52
0.77
Metals TAGS 0.25
0.12
0.29
0.10
Metals UBM 0.06
-0.34
-0.33
-0.38

Historical Prices

Select ETF :

What is quantf research BDI Correlations all about?

The quantf research BDI Correlations is a product of quantf research website (www.quantf.com). We provide correlation estimates of the Baltic Dry Index (BDI) with a number of commodities and currencies assets which can assist the investor in understanding the interconnections amongst them and to devise investing strategies for investing in them or hedging them or the BDI.

What is the BDI? Why is it important?

The Baltic Dry Index (BDI) is the major index for dry cargo freight rates. One can, therefore, easily surmise that it would be highly correlated with the pricing path of all these commodities and currencies that are associated with dry cargo transportation. Our intention is to provide useful suggestions to the investor in understanding the interconnections amongst them and to devise investing strategies for investing in them or hedging them or the BDI.

How do I read the quantf research BDI Correlation Selection table?

The quantf research BDI Correlation Selection provides correlation estimates of various ETFs with the BDI using (i) the daily closing price returns series and (ii) the daily closing price levels series. The first column (Category) indicates the class that the specific ETF belongs to. The second column (ETF) provides the ETF ticker. The third column (Returns) presents the correlation coefficient estimates using the daily closing price returns series. The fourth column (Prices) presents the correlation coefficient estimates using the daily closing price levels series. Each correlation estimate has two values: (i) the top value is the quantf correlation estimate using the methodology in Papailias and Thomakos (2013b) and (ii) the bottom value (in italics) is the correlation coefficient using the traditional pairwise methodology. Critical values are marked with blue (if the correlation level is above 0.5) and red (if the correlation level is below -0.5) colours.

Should I invest in the quantf research BDI Correlation Selection?

It depends: if you are a pairs trader interested in dry cargo commodities and the standard pairwise sample correlation is one of your tools, you definitely benefit of our product. Furthermore, these correlations are also useful for monitoring the cross-dependence of commodities and currency classes with the BDI. Furthermore, you can use these correlation estimates to construct hedging strategies for either the BDI or the associated commodity ETFs, or even to supplement existing ETF strategies with additional components based on the BDI and its co-movement with commodities

How are quantf research BDI Correlations calculated?

The methodology used in the above calculation is introduced in Papailias and Thomakos (2013b).

Why are the last 11 periods used?

A fixed rolling window period of 11 past observations is used for two reasons: first, an extensive backtesting indicates that this number is a reasonable one in terms of robustness to alternatives and overall performance and risk management; second, it is meant to account for short-term changes in asset behaviour in a time frame that is consistent with trading strategies suggested elsewhere on quantf research website. One would, of course, get different results from the use of another rolling window.

How often are new correlations calculated?

New signals are provided on a daily basis (US holidays and all other dates where NYSE market is closed are excluded).

What is the source of the data used?

In all computations the ETF data is collected from Yahoo! Finance (finance.yahoo.com). The BDI values are collected from the Open Financial Data Project (http://www.quandl.com).  quantf research is not responsible for the accuracy of the data. quantf research does not redistribute the data which are used exclusively for research and information purposes.

What are the ETFs used here?

Here follows a list of all the ETFs used in the quantf research BDI Correlations product. All descriptions and details are taken from the ETF Database website.

 

Baltic Dry Index & ETFs

  • DBC: This ETF tracks the DBIQ Optimum Yield Diversified Commodity Index Excess Return. The DBIQ Optimum Yield Diversified Commodity Index Excess Return is a rules-based index composed of futures contracts on 14 of the most heavily-traded and important physical commodities in the world. Issued by Invesco PowerShares.
  • FXB: This ETF track the British Pound. The GBP/USD exchange rate is a foreign exchange spot rate that measures the relative values of two currencies, the British pound and the U.S. dollar. Issued by Guggenheim.
  • UUP: This ETF tracks a rules-based index composed solely of long USDX futures contracts. The USDX futures contract is designed to replicate the performance of being long the US Dollar against the following currencies: Euro, Japanese Yen, British Pound, Canadian Dollar, Swedish Krona and Swiss Franc. Issued by Invesco PowerShares.
  • BAL: This ETF tracks the Dow Jones-UBS Cotton Subindex Total Return. The index is a single-commodity sub-index currently consisting of one futures contract on the commodity of cotton. Issued by Barclays iPath.
  • CANE: This ETF tracks the Sugar Futures. The index consists of futures contracts linked to the commodity of sugar. Issued by Teucrium.
  • CORN: This ETF tracks the Corn Futures. The index consists of futures contracts linked to the commodity of corn. Issued by Teucrium.
  • DBA: This ETF tracks the DBIQ Diversified Agriculture Index Excess Return. This index is a rules-based index composed of futures contracts on some of the most liquid and widely traded agricultural commodities. The Index is intended to reflect the performance of the agricultural sector. Issued by Invesco PowerShares.
  • JJG: This ETF tracks the Dow Jones-UBS Grains Subindex Total Return. The Index is currently composed of three futures contracts on grains traded on U.S. exchanges. Issued by Barclays iPath.
  • JO: This ETF tracks the Dow Jones-UBS Coffee Subindex Total Return. The Index is currently consisting of one futures contract on the commodity of coffe. Issued by Barclays iPath.
  • NIB: This ETF tracks the Dow Jones-UBS Cocoa Subindex Total Return. The Index is currently consisting of one futures contract on the commodity of cocoa. Issued by Barclays iPath.
  • SGG: This ETF tracks the Dow Jones-UBS Sugar Subindex Total Return. The Index is currently consisting of one futures contract on the commodity of sugar. Issued by Barclays iPath.
  • SOYB: This ETF tracks Soybean Futures. This product invests in futures contracts linked to the commodity of soybeans. Issued by Teucrium.
  • WHEAT: This ETF tracks Wheat Futures. This product invests in futures contracts linked to the commodity of wheat. Issued by Teucrium.
  • BDG: This ETF tracks the Deutsche Bank Liquid Commodity Index-Optimum Yield Industrial Metals. The Index is a rules-based index composed of futures contracts on some of the most liquid and widely used base metals - aluminum, zinc and copper (grade A). The index is intended to reflect the performance of the industrial metals sector. Issued by Invesco PowerShares.
  • CPER: This ETF tracks the SummerHaven Copper Index Total Return. The index is designed to reflect the performance of the investment returns from a portfolio of copper futures contracts fully collateralized with 3-month U.S. Treasury Bills. Issued by US Commodity Funds.
  • DBB: This ETF tracks the DBIQ Optimum Yield Industrial Metals Index Excess Return. The DBIQ Optimum Yield Industrial Metals Index Excess Return is a rules-based index composed of futures contracts on some of the most liquid and widely used base metals: aluminum, zinc and copper (grade A). The index is intended to reflect the performance of the industrial metals sector. Issued by Invesco PowerShares.
  • JJC: This ETF tracks the Dow Jones-UBS Copper Subindex Total Return. The index includes the contract in the Dow Jones-UBS Commodity Index Total Return that relates to a single commodity, copper (currently the Copper High Grade futures contract traded on the COMEX). Issued by Barclays iPath.
  • JJM: This ETF tracks the Dow Jones-UBS Industrial Metals Subindex Total Return. The Index is currently composed of four futures contracts on industrial metals, three of which (aluminum, nickel and zinc) are traded on the London Metal Exchange and the other of which (copper) is traded on the COMEX division of the New York Mercantile Exchange. Issued by Barclays iPath.
  • TAGS: This ETF tracks various Agricultural Commodity Futures. This ETF consists of positions in four other agricultural ETFs targeting corn (CORN), wheat (WEAT), soybeans (SOYB), and sugar (CANE). Issued by Teucrium.
  • UBM: This ETF tracks the UBS Bloomberg CMCI Industrial Metals Index Total Return. The CMCI Industrial Metals TR measures the collateralized returns from a basket of five futures contracts representing the industrial metals sector. The commodity futures contracts are diversified across five constant maturities from three months up to three years. Issued by UBS.

 

References

Thomakos, D. D., Papailias, F. (2013b). Covariance Averaging for Improved Estimation and Portfolio Allocation. quantf research working paper series.

Papailias, F., Thomakos, D. D. (2013c). The Baltic Dry Index: Cyclicalities, Forecasting and Hedging
Strategies. quantf research working paper series.

  
F. Papailias - D. Thomakos, (c) 2014
 
 
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Disclaimer: The contents of quantf research (c) website (http://www.quantf.com) are provided for research and information purposes only. Prices, returns, strategy recommendations and all statistical estimates in general shown in this webpage are indicative and the authors are not offering to buy or sell or soliciting offers to buy or sell any financial instrument. The views in this website are those of the authors alone and are subject to change at any time. The authors of this webpage do not accept any liability whatsoever for any direct or consequential loss arising from any use of the information provided. The information in this webpage is not intended to predict actual results, which may differ substantially from those presented.