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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

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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.

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  • There are all sorts of indexes for currencies or commodities. ETFdb.com has several lists as do other web sites. The OP can also create one that is more representative of what his investing/trading sample includes.
    – Bob Baerker
    Jan 9, 2019 at 17:16
  • Thank you for the answer. How about for funds that invest in american equity? Then I could use NYSE?
    – Kalle Anus Kanin
    Jan 9, 2019 at 18:01

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