Does anyone know where I can find some information on correlation of different commodities price movements? Ideally this will be a correlation matrix showing the correlation in price changes between different commodities – oil/corn, corn/soybeans, etc. I have done some Google searching but can’t find anything substantial. Thanks.
You could use a Bloomberg terminal. Or if you are looking for a monthly or longer correlation, the CRB Index website has data you can use: http://www.crbtrader.com/crbindex/
Bloomberg will give you the correlation matrix
Thanks, I don’t have access to a Bloomberg terminal so I’ll check out the CRB website.
be sure to run it back further than one year…