Commodities Volatility in One Table by Attain Capital
Here’s our monthly look at the various commodity ETFs and how they track a simple strategy of buying December futures and rolling them annually. Plus, a comparison to Ag Traders and an overall commodity index.
Some Notes:
- The BarclayHedge Ag Traders CTA Index is killing it {past performance is not necessarily indicative of future results}. Many ag programs have a combination of long meats and short grain exposure. Both have been good trends thus far in 2014. (See Trade commodities instead of “invest” in them?)
- Grains continue their massive down trend.
- 75% of the commodities in this table are experiencing double digit moves on the year.
(Performance as of 9/30/14)
Commodity ETF Over/Under Performance 2014
|
Commodity
|
Futures
|
ETF
|
Difference
|
|---|---|---|---|
| Crude Oil | $CL_F -2.64% |
$USO -2.52% |
0.12% |
| Brent Oil | $NBZ_F -10.35% |
$BNO -13.76% |
-3.41% |
| Natural Gas | $NG_F -2.83% |
$UNG 6.86% |
9.69% |
| Cocoa | $CC_F 21.68% |
$NIB 21.93% |
0.25% |
| Coffee | $KC_F 60.99% |
$JO 69.31% |
8.32% |
| Corn | $ZC_F -28.80% |
$CORN -25.51% |
3.29% |
| Cotton | $CT_F -21.75% |
$BAL -23.12% |
-1.37% |
| Live Cattle | $LE_F 24.01% |
$CATL 18.86% |
-5.15% |
| Lean Hogs | $LH_F 18.90% |
$HOGS 10.96% |
-7.94% |
| Sugar | $SB_F -9.21% |
$CANE -6.94% |
2.27% |
| Soybeans | $ZS_F -19.54% |
$SOYB -16.25% |
3.29% |
| Wheat | $ZW_F -25.43% |
$WEAT -25.97% |
-0.53% |
| Average | 0.42% | 1.15% | 0.74% |
| Commodity Index $DBC | -9.47% | ||
| Long/Short Ag Trader CTAs | 17.64% |
(Disclaimer: past performance is not necessarily indicative of future results).
(Disclaimer: Sugar uses the October contract, Soybeans the November contract.)
Long/Short Ag Trader CTA = Barclayhedge Ag Traders Index
“The Managed Futures Blog is a compilation of thoughts, research, attempts at humor, and more from the team at Attain Capital Management (“Attain”). Attain pairs high net worth individuals, RIA’s, and institutional investors with alternative investments in commodities, managed futures, and global macro strategies through privately offered funds and managed accounts. Click here to sign up for their insight and analysis.”
