Bloomberg’s Commodity Index, which is calculated on an excess return basis and reflects commodity futures price movements, was up 0.70% on a year-to-date (YTD) basis as of 11/1/24.
YTD returns for commodities are shown in the chart below. Cocoa had the highest YTD return at 155.56%, followed by Orange Juice at 65.00% and Lean Hogs at 34.31%. Natural Gas had the largest decrease, with a YTD return of -45.85%, followed by Soybeans at -22.10%.
Cocoa prices hit a high on 4/19/2024 at $11,878 per metric ton, driven by changing weather patterns in West Africa. As of 11/1/24, cocoa prices were $7,410 per metric ton. This was a 8.76% increase since last week, at $6,813.
As of 11/1/24, Robusta coffee was $4,369 a ton, down from the peak at $5,722 on 9/18/24. Coffee prices have trending downwards due to weather conditions in Brazil.
The chart below illustrates the correlations between volatility of crude oil and volatility of various asset classes.
As of 10/31/24, the 10-year Treasury Note volatility is the most correlated to crude oil volatility, with a correlation coefficient of 0.742.
The next chart outlines the correlations between the volatility of natural gas and the volatility of various asset classes.
As of 10/31/24, the 10-year Treasury Note volatility is the most correlated to natural gas volatility, with a correlation coefficient of 0.446.
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 10/31/24.
The percentage of all commodities with a positive monthly return decreased to 35.48% on 10/31/24 from 51.61% the previous week (10/21/24-10/25/24).
The first chart below outlines the week-over-week (10/28/24-11/1/24) aggregate Sharpe ratio for commodities. It was negative at -0.94 compared to -0.80 the prior week. The second chart is a rolling 1-year aggregate Sharpe ratio for commodities.
Performance mostly decreased week-over-week in all classes shown in the chart below, with the largest decrease in Livestock at -0.02 from 0.16 the prior week.
