I am trying to assess the sensitivity of a bond portfolio to the price of oil.
The first intention was to 1. Get brent prices (CO1) for say a period of 5 years and 2.Get prices of each bond for the same period (or take the top level valuation –NAV- of the fund) and 3. do a CORREL in excel.
However I wonder if doing so will get me the true sensitivity to oil price because of the maturity effect. Say that the portfolio is made of only one bond, looking at the change in price may not be right because as we go back in time the price of the bond is also affected by the fact that we are placed somewhere else on the yield curve.
Or maybe I am overthinking it and comparing historical prices would be enough? How would you tackle this?
I have access to Bloomberg and APT.