Bloomberg’s Commodity Index, which is calculated on an excess return basis and reflects commodity futures price movements, was down 2.76% on a year-to-date (YTD) basis as of 9/6/24.
YTD returns for commodities are shown in the chart below. Cocoa had the highest YTD return at 147.43%, followed by Orange Juice at 62.23% and Coffee at 30.58%. Natural Gas had the largest decrease, with a YTD return of -39.70%, followed by Corn at -20.40%.
Cocoa prices hit a high on 4/19/2024 at $11,878 per metric ton, driven by dry weather in West Africa. As of 9/6/24, cocoa prices were $9,539 per metric ton. This was a 1.82% decrease since last week, at $9,715.
The chart below illustrates the correlations between volatility of crude oil and volatility of various asset classes.
As of 9/5/24, the 10-year Treasury Note volatility is the most correlated to crude oil volatility, with a correlation coefficient of 0.832.
The next chart outlines the correlations between the volatility of natural gas and the volatility of various asset classes.
As of 9/5/24, the 10-year Treasury Note volatility is the most correlated to natural gas volatility, with a correlation coefficient of 0.608.
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 9/5/24.
The percentage of all commodities with a positive monthly return stayed the same at 48.39% on 9/6/24 from 48.39% the previous week (8/26/24-8/30/24).
The first chart below outlines the week-over-week (9/2/24-9/6/24) aggregate Sharpe ratio for commodities. It was negative at -1.42 compared to -1.19 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 Energy at -0.87 from -0.53 the prior week.
