correlations among commodities

In the UBS commodity index there seems to be a shift in the correlations among the subsectors. Specifically grains, softs and precious metals are above 0.60 in correlation against the major index. That’s a jump from an average of 0.30 back in V9.

Also energies and industrial metals reduced marginally their dance rhythm against the UBS average as they ticked down 2 points; Like from 0.87 to 0.85.


Although the change might no be statistically significant, I want to know if there is a fundamental shift in the fact that tropicals are being more influential on the index. Specially when the DX has been climbing strong during this time.


I sense that the answer rocks in the nat gas market. There might be a paradigm change that’s influencing the rest of the commodity complexes.

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