- Bloomberg’s Commodity Index, which is calculated on an excess return basis and reflects commodity futures price movements, was up 4.42% on a year-to-date (YTD) basis as of 7/3/25.
- YTD returns for commodities are shown in the chart below. Platinum had the highest YTD return at 47.82%, followed by Soybean Oil at 32.04% and Copper at 24.41%.
- Orange Juice had the largest decrease, with a YTD return of -56.27%, followed by Cocoa at -24.20%.
- The chart below illustrates the correlations between volatility of crude oil and volatility of various asset classes.
- As of 7/2/25, the Energy asset class is the most correlated to crude oil volatility, with a correlation coefficient of 0.626.
- The next chart outlines the correlations between the volatility of natural gas and the volatility of various asset classes.
- As of 7/2/25, the 10-year Treasury Note volatility is the most correlated to natural gas volatility, with a correlation coefficient of 0.480.
- 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 7/2/25.
- The percentage of all commodities with a positive monthly return increased to 70.97% on 7/2/25 from 51.61% the previous week (6/23/25-6/27/25).
- The first chart below outlines the week-over-week (6/30/25-7/3/25) aggregate Sharpe ratio for commodities. It was -0.08 compared to -0.29 the prior week. The second chart is a rolling 1-year aggregate Sharpe ratio for commodities.
- Performance was mixed week-over-week for every asset classes shown in the chart below. The largest increase was in Energy at -0.26 from -0.37 last week.
