Tag: commodities

MCX Commodity Volumes

Typically, trend-following systems span multiple asset classes in order to reduce correlations. There could be a case for applying a trend-following system over equities and commodities in India. However, not all commodities trade and activity profiles can be vastly different.

It appears that most of the trading activity at the MCX occurs between 6pm and 9pm.

Not all listed commodities trade…

… and most of the activity centers around silver and natural gas – two of the most volatile commodities.

It maybe worthwhile to add at least some of these tickers into the mix and measure their effect on trend-following portfolios.

Food: A problem of plenty?

fertilizer and food price chart

fertilizer, cereal, rice and wheat indices

PFERT: Primary Commodity Prices, Fertilizer
PCERE: Primary Commodity Prices, Cereal index
PRICENPQ: Primary Commodity Prices, Rice, Thailand
PWHEAMT: Primary Commodity Prices, Wheat
PFOOD: Primary Commodity Prices, Food index

If I am reading this chart right, when prices of food commodities (cereals, rice, wheat) go up, fertilizer prices go up. But when food prices come down, fertilizer’s stay up? Wheat prices are more-or-less where they were back in the 90’s. The rest have barely budged. No wonder I’ve spent most of my adult life hearing about farm distress.

Code and charts are on github.