Currency / Return Type: Report Frequency: Category:    
History: Report Start Date: Date Picker Report End Date: Date Picker    
Description
Reflects the performance of Cocoa Futures. DBLCI-OY indices are designed to maximize potential roll returns by selecting, for each commodity, the futures contract with the highest implied roll yield
Details
Guide guide
Historical Inception Date 02-Dec-1988          
Index Live Date 31-May-2006          
Bloomberg Id DBLCYECC          
Reuters Id .DBLCYECC          
Return Data
Current Level 28.22    
High 35.80 Low 24.02
Annualized Return (%) 2.48 Volatility 24.71
Sharpe Ratio 0.10 Sortino Ratio 0.16
Max Drawdown (%) -29.23    
Daily Return (%) 0.00 Month-to-Date Return (%) 0.10
3 Month Return (%) -2.03 6 Month Return (%) -7.06
YTD Return (%) -7.83 12 Month Return (%) -5.29
Risk Free Rate (%) 0.00    
Monthly Return Statistics
Average Return (%) 0.42 Average Positive Return (%) 5.43
Number of +ve Months 20 % +ve Months (%) 54.05
Average Negative Return (%) -5.47 Best Month (Mar 2018) (%) 13.12
Maximum Monthly Drawdown (%) -11.73    
Excel + DBLCI-OY CC Index Levels
Monthly Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2017 5.09% -7.71% 6.08% 2.50% -1.59% -7.66%
2018 5.50% 8.28% 13.12% 6.98% -8.19% -0.04% -11.42% 4.46% -11.10% 8.21% -2.22% 9.67%
2019 -10.26% 2.09% -0.78% 3.66% 1.30% 2.37% -2.03% -7.70% 10.13% -0.41% 4.99% -1.09%
2020 9.33% -1.68% -11.73% 4.79% 0.04% -7.43% 0.09%
Announcements
No announcements for this index.