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 32.00    
High 35.80 Low 23.99
Annualized Return (%) -0.61 Volatility 26.74
Sharpe Ratio -0.02 Sortino Ratio -0.04
Max Drawdown (%) -29.23    
Daily Return (%) 1.33 Month-to-Date Return (%) 8.54
3 Month Return (%) 18.78 6 Month Return (%) 14.83
YTD Return (%) 5.19 12 Month Return (%) 12.70
Risk Free Rate (%) 0.00    
Monthly Return Statistics
Average Return (%) 0.22 Average Positive Return (%) 6.67
Number of +ve Months 18 % +ve Months (%) 48.65
Average Negative Return (%) -5.88 Best Month (Mar 2018) (%) 13.12
Maximum Monthly Drawdown (%) -12.27    
Excel + DBLCI-OY CC Index Levels
Monthly Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2016 -1.45% -11.22%
2017 -0.52% -9.18% 9.74% -12.27% 11.24% -5.91% 6.10% -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% 8.54%
Announcements
No announcements for this index.