NYBOT Products Rank Among Highest In Rate Of Returns

The New York Board of Trade® (NYBOT®) Coffee “C”®, Sugar No. 11SM, Frozen Concentrated Orange Juice (or FCOJ), and Cotton No. 2SM contracts ranked among the top 6 physical commodity futures markets with the greatest percentage price movement in a Ranked Return analysis table of 23 commodities, as tracked by Bloomberg L.P., a market news and data company, from December 31, 2003 to December 30, 2004. NYBOT’s commodities experienced price moves ranging from +59.74 to -40.36 percent, with Coffee “C” and Sugar No. 11 scoring first and second place, respectively, while FCOJ and Cotton No. 2 achieved fifth and sixth place.

Commodity	Bloomberg Ranking	% Performance
Coffee “C”	1	+59.74
Sugar No. 11	2	+59.44
FCOJ	5	+41.73
Cotton No. 2	6	–40.36

“If you look at the most active commodity contracts of 2004, our coffee, sugar, and FCOJ in rising markets, and cotton in a declining market, provided critical risk management for underlying industries and significant opportunities for investors who turned to commodities as an asset class,” said C. Harry Falk, NYBOT’s President and CEO. “Market activity of this magnitude demonstrates the value and function of NYBOT futures markets for hedging plans or for portfolio asset allocation strategies.”

Individual market activity includes:

Coffee “C”
NYBOT’s coffee contract, the top-ranked performer, showed a 59.74 percent price appreciation to 103.75 cents per pound (from the end of 2003). The NYBOT coffee market was extremely volatile at times, hitting a 10-day historical volatility high of 87.15 on November 29. Interest from institutional investors in the market apparently increased, as attested to by the rise in the long position held by the “Large Speculator” (Viewed by many as a proxy for commodity/hedge funds) category in the CFTC Commitments of Traders Report, from 14,736 contracts to a recent high of 50,931.

Sugar No. 11
The sugar contract, the runner-up in the ranking, achieved a 59.44 percent price appreciation to 9.04 cents per pound (from 2003 year-end). The Exchange’s highest volume product also exhibited significant volatility, registering a 10-day historical volatility peak of 71.11 on April 2. Greater investment interest was manifested by a quintupling of “Large Speculator” long positions from 27,165 contracts to 122,000.

FCOJ
The Frozen Concentrated Orange Juice contract also had an active year, chalking up a 41.73 percent appreciation in value to 86.10 cents per pound (on a year over year basis). The 10-day historical volatility experienced a surge to 73.26 on September 13. Meanwhile, “Large Speculator” long positions more than doubled from a low of 8,255 contracts to 17,573.

Cotton No. 2
The natural fiber had the major move on the downside, registering a 40.36 percent decline in price to 44.75 cents per pound, from the end of 2003. The 10-day historical volatility reached a high of 63.43 on September 7. Apparently, money managers moved on the short side of the market, as attested to by a substantial rise in “Large Speculator” short positions of 4,172 contracts at the start of the year, to a recent high of 44,425.

The New York Board of Trade (NYBOT) is New York’s original futures exchange, where the world trades food, fiber and financial products. For well over a century, the New York Board of Trade has provided reliability, integrity and security in a global marketplace for cocoa, coffee, cotton, ethanol, orange juice and sugar, as well as currency and index futures and options. Information about the New York Board of Trade can be found at www.nybot.com and www.nybotlive.com.