US: Factory Orders disappoint at 1.8% in December, November figure revised lower

Merrill Lynch analysts noticed that commodities largely fell behind other risk assets in 2012, such as equities or bonds. “In fact, performance has been a drag for the last two years as annualized MLCX TR commodity returns were -0.5% with a volatility of 18.8%, compared to Treasury bond returns of 5.5% with a volatility of 2.1%, or returns for the S&P 500 TR of 10.3% with a volatility of 18.8%”, they wrote, adding that rolling Sharpe ratios for the key commodity indices do not look very appealing compared to other asset classes. “The underperformance of commodities has come at a time where priceadjusted allocations remain at a multi-year low”, they continued, asking themselves if investors are right to move out of commodities.