As of 1/09/25, the price of cocoa was at $10,927 per metric ton, a decrease from last week’s price of $11,238 per metric ton, for a 2.77% week-over-week decrease. Cocoa prices were impacted by dry conditions in West Africa in 2024 and most recently (1/08/25) Hershey’s bid to purchase 90,000 metric tons of cocoa.
The chart below illustrates the correlations between volatility of crude oil and volatility of various asset classes.
As of 1/08/25, the 10-year Treasury Note volatility is most correlated to crude oil volatility, with a correlation coefficient of 0.564.
The next chart outlines the correlations between the volatility of natural gas and the volatility of various asset classes.
As of 1/08/25, the 10-year Treasury Note volatility is most correlated to natural gas volatility, with a correlation coefficient of 0.122.
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 01/08/25.
The percentage of all commodities with a positive monthly return increased to 58.06% on 1/08/25 from 51.61% the previous week (12/30/24-1/03/25).
The first chart below outlines the week-over-week (1/06/25-1/10/25) aggregate Sharpe ratio for commodities. It was negative at -0.21 compared to -0.27 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 Precious Metals at 0.57 from 0.33 the prior week.
