Grain correlations

Discussion in 'Ag Futures' started by heech, Oct 13, 2010.

  1. heech



    Does anyone have any input/feelings/actual numbers on correlation between the various grains?

    I'm new to these instruments.. but seems obvious the last 6 months, the grains are definitely positively correlated. Wheat blows up, corn/beans follow. Corn blows up, beans/wheat follow.

    Is this because both consumers and suppliers of these grains have some ability to substitute between them, depending on price?
  2. bone

    bone ET Sponsor

    Statistical Correlations, 2 year daily closing marks:

    Corn to Soybeans: 64%

    Corn to Wheat: 80%
  3. 1) The "substitution" thing is relevant to commercial users.
    2) During a strong bull market, the correlation should be greater because of excessive speculation. :cool:
  4. local


    Just want to add that there is a stong correlation from the perspective of the producer as well .i.e. as this year progresses and the market realizes a tightening of the balance sheet for each of corn,wht and beans, the market should revert to a fight for new crop acres that will ultimately be determined by relative values of new crop prices. Much like 2007 when prices ultimaely peaked in July of 2008. Just my 2c.

    Regards, local
  5. JPope


    I would have thought the correlation between corn/beans would be higher than corn/wheat. Either way, be careful trading those wheat/corn spreads.

  6. of actual prices? Maybe price changes would be interesting to see.
  7. Biog


    Heech, good free source....
  8. rosy2


    how about grains to manure.

    My theory is the higher grain prices are the less livestock would eat which would decrease manure supply resulting in higher manure prices.

  9. be careful - corr on price series is often spuriously high
  10. In a crisis, when things all go wrong, they have a positive near-1 corrs as well.
    #10     Oct 14, 2010