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Commodity Index Estimators

In this post I will show my first try at a commodity index substitute. Regular readers know my frustration with proprietary data as I try to demonstrate various techniques to users who might not have the resources to pay for the data. I have substituted US 10y Treasury Total Returns series as my bond proxy with good results, but I have so far been unable to find a free and readily available substitute for commodity indexes.

#unfortunately cannot get substitute for proprietary CRB data#get data series from csv fileCRB<-as.xts(read.csv("spxcrbndrbond.csv",row.names=1))[,2]#my CRB data is end of month; could change but more fun to do in RCRB<-to.monthly(CRB)[,4]index(CRB)<-as.Date(index(CRB))

#combine all Rate of Change series with CRB lag 1 month (moved forward) to account for PPI delayCRBandPPI<-merge(lag(CRB,k=1),PPIACO_change,PPICRM_change,PPIIDC_change)colnames(CRBandPPI)<-c("CRB","PPI All Comm","PPI Crude for Further","PPI Industrial")

chart.CumReturns(CRBandPPI,main="CRB Estimators through PPI",legend.loc="topleft")chart.CumReturns(CRBandPPI["1990::"],main="CRB Estimators through PPI since 1990",legend.loc="topleft")

chart.Correlation(CRBandPPI,main="CRB Estimators through PPI")chart.Correlation(CRBandPPI["1990::"],main="CRB Estimators through PPI since 1990")

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