Figure 1 is the three-month (Y-axis) and 1-month (X-axis) correlations of Comex copper and Nymex oil (WTI) with Comex gold.Figure 2 – Copper & Oil Correlations with respect to Gold Gold ratios are disturbed most when numerator and denominator are negatively correlated.Each new user of Echo Link must provide proof of license before access is granted.This is to ensure that only licensed Amateurs have access to the system, and to ensure that each user is using a valid callsign that he or she is authorized to use.April 18, 2017 Bond guru Jeffrey Gundlach of Double Line Capital noted in his 2017 forecast that the copper-to-gold ratio is a "fantastic" coincident indicator of interest rates.I tested his thesis by constructing a 2-year regression model of the U. 10-year Treasury yield given daily Comex copper and gold prices. Figure 1 compares the model output to the 10-year Treasury yield.The goodness-of-fit, or “R-squared,” is a respectable 0.78 – the closer to 1.0 the better. 10-year Treasury yield model based on Comex copper & gold prices Interestingly, the correlation holds up for longer periods.The correlation of the 10-year yield over this two-year period is a very tight -0.88. Extending the model to a three-year period results in a correlation of -0.84 and a slightly greater model error of 17.6 bps and lower R-squared of 0.70.
It is not a solicitation to make any exchange in commodities, securities or other financial instruments. and the author of this article do not accept culpability for losses and/ or damages arising from the use of this publication.Notice that this controller does not contain any database logic.Creating a repository layer enables you to maintain a clean separation of concerns.I chose the gold-to-copper ratio (GCR) for this analysis since we think in "pounds-of-copper-per-ounce-of-gold" in Northern Nevada - Gundlach correlations are positive; mine are negative. As market participants run to safe havens gold and U. Treasurys, they typically retreat from “risk-on” assets like copper.Recent geopolitical concerns and uncertainty about the timing and efficacy of the new administration’s domestic policies have caused a spike in the GCR and decline in U. Rising gold and declining copper prices raise the GCR while higher bond prices produce lower yields.Mixing your database and controller logic makes your application more difficult to maintain over time.The recommendation is that you place all of your database logic in a separate repository layer.The rapid de-correlation of copper with gold sets an alarm in my world.A correlation map is a valuable technique for detecting this event and, by the Gundlach relation, a likely drop in interest rates.At last week’s close, the GCR was at an elevated 497 pounds per ounce and the 10-year Treasury yield plumbed a low 2.230%.The error standard deviation between the model and actual yield is less than 15 basis points (bps).