The Best and Worst of Futures Markets in 2015

You don’t need to be an expert in roll yields, cost of production, and South American Wheat supply to know that commodity markets plummeted in 2015. Most of the flak from financial media came from the energy markets (Crude down another 37.05% this year, Natural Gas Near all Time Lows), but there was more to the sell off than just energies  as you can see in the graphic below. Coffee, Wheat, and metals were particularly hard hit, to name a few.

[Please note – Finviz does some weird things around contract rolls, which can make their percentage gains over longer periods different than what would be found using a continuous contract or the cash/spot market, nonetheless, we feel it is representative of each market’s 2015 movements]:

Finviz TYD performance(Disclaimer: Past performance is not necessarily indicative of future results)
Chart Courtesy: Finviz 

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Observations on the 41 futures markets tracked by FinViz:

  • 64% of futures markets ended in the red for 2015
  • More than half of the markets ended either up or down in the double digits, suggesting the markets were as volatile as we thought they were.
  • There were only 5 non financial markets up on the year (the majority that ended positive were either Stock or bond futures).
  • Whoever had Canola Oil as the top market in 2015 deserves a prize – it had the biggest upward move at +12%.
  • The metal sector took a beating in 2015, with the average move at -21.64% (Gold, Silver, Copper, Platinum, and Palladium), and most of the metals at 5-6 year lows.
  • The energy markets dominate the biggest moves down on the year (not a shocker) representing bottom 4 markets (Natural Gas, WTI, Heating Oil, and Brent).

The biggest question we face going into 2016 is how much longer can this downtrend in the commodity markets last? Not many people would have told you that Crude would have continued to lose an additional 30% in 2015 after losing 45% in 2014. Will metals continue to hit new multi-year lows? Is El Nino going to hurt or help the grain markets?

It will be fun to watch it all unfold in the New Year, but our little secret in the systematic world is we’re not even looking for the answers to those questions.  Prices will move up and move down, and systematic models will capture what movement they can, without an opinion on the drought in California or what OPEC is doing.

All the best for a Happy (and prosperous) New Year!