Commodity Index Estimators

May 2, 2011

(This article was first published on Timely Portfolio, and kindly contributed to R-bloggers)

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.

PPI is not real-time, but might offer one good 1-month lagged proxy for commodity indexes.  If we use PPI data from the St. Louis Federal Reserve FRED system, I can get close, but unsure if it will be close enough until further system testing.

From TimelyPortfolio
From TimelyPortfolio
From TimelyPortfolio
From TimelyPortfolio

R code:


#getSymbols(“NAPMPRI”,src=”FRED”) #load ISM Manufacturing Price
getSymbols(“PPIACO”,src=”FRED”) #load PPI All Commodities
getSymbols(“PPICRM”,src=”FRED”) #load PPI Crude for Further Processing
getSymbols(“PPIIDC”,src=”FRED”) #load PPI Industrial

#unfortunately cannot get substitute for proprietary CRB data
#get data series from csv file
#my CRB data is end of month; could change but more fun to do in R


#combine all Rate of Change series with CRB lag 1 month (moved forward) to account for PPI delay
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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