I've been thinking about this sort of comparison for some time now (oil companies SP vs. WTI). My thoughts have been with regards to calculating Beta. I have been using the TSX for my X axis, but I just tried calculating beta using WTI instead. The beta coefficient was .5725 with an R squared of .1022, which isn't bad for a beta calculation and does show a fair amount of correlation between WTI prices and CLLZF (I used the ADR so it was priced in dollars to match WTI). However, the correlation between CLL.TO and the TSX is much stronger. For this calculated I got a beta of 1.6009 with an R squared of .3951 which is quite good as far as betas go. I used daily data since 12/09/2005 for both calculations.

It would be interesting to see what the correlation is between CLL and bitumen prices, as this would be more relevant than WTI for both currency issues and since bitumen is what CLL sells. Does anyone know where I can get historical bitumen prices?

If anyone wants my calculations feel free to PM me your email and I will send you my excel sheet.