Commodities Update – January 8, 2024

Arbor Data Science  •  Weekly Reports  •  January 8, 2024
  • Bloomberg’s Commodity Index, which is calculated on an excess return basis and reflects commodity futures price movements, was negative on a year-to-date (YTD) basis, down 0.04% at 1/5/24. YTD returns for the top 10 commodities are shown in the chart below. Lean Hogs had the highest YTD return at 5.70%, followed by Natural Gas at 4.27% and WTI Crude Oil at 3.53%. Platinum had the largest decrease, with a YTD return of -4.20%.
  • Natural Gas futures had the biggest percentage decline in 2023 since 2006 driven by high production and sufficient supply, combined with a mild winter. Looking forward, U.S. demand for natural gas may increase as large snowfall is predicted in the coming weeks.
  • WTI Crude Oil prices were higher driven by supply concerns after an oilfield shutdown in Libya, along with continued fears over tensions in the Middle East that could impact global oil supplies.
  • The percentage of all commodities with a positive monthly return decreased to 32.26% from 38.71% the previous week.
  • The aggregate Sharpe ratio for commodities remains negative, but increased week-over-week to -1.27 from -1.36 the prior week.
  • Performance was down in Sharpe ratios week-over-week in most classes shown in the chart below, with the exception of Livestock and Energy, which increased to -0.15 from -0.33 and to -0.21 from -0.40, respectively.