Bloomberg’s Commodity Index, which is calculated on an excess return basis and reflects commodity futures price movements, was up 0.29% on a year-to-date (YTD) basis as of 11/27/24.
YTD returns for commodities are shown in the chart below. Cocoa had the highest YTD return at 227.76%, followed by Coffee at 77.46% and Orange Juice at 73.89%. Natural Gas had the largest decrease, with a YTD return of -38.64%, followed by Soybeans at -23.09%.
Arabica coffee futures climbed to their highest levels since 1977. The spike in coffee prices has been driven by supply concerns in Brazil. Primary growing regions in Brazil have been negatively impacted from severe drought conditions. Brazil, the largest coffee producer, accounts for 1/3 of global coffee production.
U.S. orange production is projected to decline in 2024-2025 season to 63.6 million boxes, down from 66.5 million boxes in 2023-2024 season.
While California’s production is forecast to produce 47.7 million boxes in 2024-2025 (in line with 2023-2024 production), Florida’s production is projected to decline to 15.0 million in 2024-2025. Florida’s orange crop has been negatively impacted by citrus greening, blight disease and hurricanes.
Global prices of oranges have trended higher, most recently at $4.92 per pound in October 2024.
The chart below illustrates the correlations between volatility of crude oil and volatility of various asset classes.
As of 11/27/24, the 10-year Treasury Note volatility is the most correlated to crude oil volatility, with a correlation coefficient of 0.671.
The next chart outlines the correlations between the volatility of natural gas and the volatility of various asset classes.
As of 11/27/24, the 10-year Treasury Note volatility is the most correlated to natural gas volatility, with a correlation coefficient of 0.297.
The chart below highlights the 3-month implied volatility of the S&P 500, crude oil, natural gas, and the 10-Year Note as of 11/27/24.
The percentage of all commodities with a positive monthly return increased to 45.16% on 11/27/24 from 29.03% the previous week (11/18/24-11/22/24).
The first chart below outlines the week-over-week (11/25/24-11/29/24) aggregate Sharpe ratio for commodities. It was negative at -0.76 compared to -0.73 the prior week. The second chart is a rolling 1-year aggregate Sharpe ratio for commodities.
Performance was mixed week-over-week in all classes shown in the chart below, with the largest increase in Livestock at 0.55 from 0.25 the prior week.
