Bloomberg’s Commodity Index, which is calculated on an excess return basis and reflects commodity futures price movements, was up 4.30% on a year-to-date (YTD) basis as of 10/4/24.
YTD returns for commodities are shown in the chart below. Cocoa had the highest YTD return at 140.83%, followed by Orange Juice at 54.93% and Coffee at 38.91%. Natural Gas had the largest decrease, with a YTD return of -31.91%, followed by Corn at -17.99%.
Cocoa prices hit a high on 4/19/2024 at $11,878 per metric ton, driven by dry weather in West Africa. As of 10/4/24, cocoa prices were $7,000 per metric ton. This was a 14.57% decrease since last week, at $8,194.
In recent news, Brazil is faced with the worst drought in history. Not a drop of rain in the last six months. The drought can jeopardize coffee beans, sugar and soybean crops. As a result, global food prices will see an increase.
The chart below illustrates the correlations between volatility of crude oil and volatility of various asset classes.
As of 10/3/24, the 10-year Treasury Note volatility is the most correlated to crude oil volatility, with a correlation coefficient of 0.838.
The next chart outlines the correlations between the volatility of natural gas and the volatility of various asset classes.
As of 10/3/24, the 10-year Treasury Note volatility is the most correlated to natural gas volatility, with a correlation coefficient of 0.589.
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 10/3/24.
The percentage of all commodities with a positive monthly return increased to 93.55% on 10/3/24 from 74.19% the previous week (9/23/24-9/27/24).
The first chart below outlines the week-over-week (9/30/24-10/4/24) aggregate Sharpe ratio for commodities. It was negative at -0.50 compared to -0.86 the prior week. The second chart is a rolling 1-year aggregate Sharpe ratio for commodities.
Performance mostly increased week-over-week in all classes shown in the chart below, with the largest increase in Energy at -0.62 from -0.91 the prior week.
