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I am constructing a portfolio and considering a number of different security classes: Stocks, commodities, ETFs, currencies and bonds.

In order to decide which securities to include in my Portfolio I will rank them by standard deviation, returns, betas etc.

I have two questions in this post.

1) I've previously calculated the betas for stocks without any problem. However, does it make an sense to calculate the beta for a currency, bond or commodities? All my prices are in USD, so can i for example use the NYSE as my index for them?

2) Regarding the bonds. When you download data on bonds from investing.com/yahoo finance for example you get data on the yield for that bond. If i wanted to look at for example the weekly returns, how would one do that? For the moment I have been looking at the weekly changes in yields to get a return, is that correct?

/James Bond

Kalle Anus Kanin
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1 Answers1

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However, does it make an sense to calculate the beta for a currency, bond or commodities? All my prices are in USD, so can i for example use the NYSE as my index for them?

Yes you can calculate beta on investments other than equities, but using the NYSE as a benchmark is not a great choice, since there's not as much correlation between them. You probably want to use a different index that better represents the "market" for each category. That's easier said than done, since there's not really an "index" for currencies or commodities that I am aware of.

If i wanted to look at for example the weekly returns, how would one do that? For the moment I have been looking at the weekly changes in yields to get a return, is that correct?

Yield could be used, but you'd need to covert that into price to calculate return since yield is inversely correlated to price. Which isn't hard; you just need to know the coupon rate of the bond as well. Also, make sure you know if you are given current yield or yield to maturity, which is a more complex calculation.

D Stanley
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