The UBS Bloomberg Constant Maturity (“CM”) Commodity Total Return Index (ticker: CMCITR), a modern commodity index designed to reduce the potential negative effects of contango, returned -4.10 percent in October, bringing year-to-date (YTD) performance through the end of the month to 2.28 percent, according to data released today by Van Eck Global and Bloomberg.
Upward commodity price momentum slowed considerably during the month due to persistent concerns surrounding global GDP growth, particularly in the case of China, which saw its growth forecasts cut by both the IMF and the World Bank. Disappointing U.S. corporate earnings also appeared to weigh on the markets, as did uncertainty over how the commodity markets would perform following the results of the U.S. presidential election.
Livestock was the only commodity sector to perform positively during October. Agriculture, energy and precious metals all declined and industrial metals were the worst performing sector.
CMCITR roll yield was negative for the month. WTI contango and Brent backwardation both widened. Natural gas contango widened significantly, and remained at even more severe levels than in recent months. Sugar contango moved further into backwardation, while wheat contango widened. Copper moved into backwardation and silver moved into contango, while gold contango narrowed slightly.CMCITR was outperformed during October by the two other main “constant maturity” indexes, though it remains ahead on a YTD basis. These indexes include the Continuous Commodity Index (CCITR: -3.41 percent in October; -2.63 percent YTD) and the Greenhaven Continuous Commodity Index (GCC: -3.31 percent in October; -1.57 percent YTD). During October, CMCITR also lagged behind the more traditional S&P Goldman Sachs Commodity Index (SPGSCITR), which returned -4.07 percent (-0.74 percent YTD), and the Dow Jones UBS Commodity Index (DJUBSTR), which returned -3.87 percent (+1.54 percent YTD). CMCITR remains ahead of both indexes in terms of performance on a YTD basis.