The Asset Correlation window displays the correlations of the supported commodities against currencies and against other commodities.
It is accessed by:
Clicking Correlations in the left hand side of the pricing page, and then clicking Asset Correlation.
Via the System Menu > Correlations option.
From the ribbon bar > Market Data tab > Correlations button
The list of supported correlation groups is displayed at the left. Clicking each of these displays a table showing the relevant correlations. For example, clicking Base Metals displays a table showing the correlations between the prices of each of the supported base metals.
The Asset Correlation window displays correlations for different periods—3 months, 6 months, 9 months and 1 year. In other words, it displays the spot correlation values as calculated over the last three months, the last six months, the last nine months, and over the last year. You change the period by selecting the required tab above the correlation table.
What is correlation? Correlation is a statistical measure of how much the movement of two separate variables (such as the prices of two commodities) are related. The range of possible correlations is between -1 and +1. A result of:
-1 means a perfect negative correlation. A perfect negative correlation means that the two variables move in opposite directions, i.e., as one increases the other decreases, and likewise if one decreases the other increases.
+1 means a perfect positive correlation. A perfect positive correlation between two variables means that they tend to move up together and down together.
0 means no correlation at all. A zero correlation means that the change in value of one variable has no impact or bearing on the change in value of the other variable.
What correlation groups are supported:
A number of correlation groups are supported:
Self Correlations
Self correlations display the correlations between all commodities in the same sector. For example, clicking Base Metals displays a table in which the correlations between each base metal and all other base metals are displayed. The following self correlation groups are supported:
Base metals
Precious metals
Listed energy
OTC energy
Agriculture
Natural gas
Electricity
Dry bulk freight
Currency Correlations
Currency correlations display the correlations between each commodity and a selection of currencies. More specifically, they display the correlations between the price of each commodity in the currency that the commodity trades in, and the exchange rates between a number of currencies and the commodity's trading currency. The following currency correlation pairs are supported:
Base metals to currencies
Precious metals to currencies
Listed energy to currencies
OTC energy to currencies
Agriculture to currencies
Electricity to currencies
Dry bulk freight to currencies
Listed/OTC Energy Correlations
Listed/OTC energy correlations display the correlations between the price of each commodity and the prices of listed/OTC energy commodities. The following listed/OTC energy correlation pairs are supported:
Base metals to listed energy
Precious metals to listed energy
OTC energy to listed energy
Agriculture to listed energy
Natural Gas to listed energy
Electricity to listed energy
Electricity to OTC energy
Natural Gas vs US Residual Fuel
This displays the correlations between the price of each natural gas commodity and the prices of the US Residual Fuel commodities.
Dry Bulk Freight Correlations
Dry bulk freight correlations display the correlations between the price of each commodity and the prices of dry bulk freight commodities. The following correlation pairs are supported:
Base Metals to Dry Bulk Freight
Precious Metals to Dry Bulk Freight
Listed Energy to Dry Bulk Freight
OTC Energy to Dry Bulk Freight
Agriculture to Dry Bulk Freight