Currency / Return Type: Report Frequency: Category:    
History: Report Start Date: Date Picker Report End Date: Date Picker    
Description
Reflects the performance of Cotton #2 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 DBLCYECE          
Reuters Id .DBLCYECE          
Return Data
Current Level 36.80    
High 55.65 Low 29.47
Annualized Return (%) -2.66 Volatility 19.54
Sharpe Ratio -0.14 Sortino Ratio -0.19
Max Drawdown (%) -47.05    
Daily Return (%) 0.00 Month-to-Date Return (%) 3.40
3 Month Return (%) 20.87 6 Month Return (%) -11.63
YTD Return (%) -10.53 12 Month Return (%) -10.49
Risk Free Rate (%) 0.00    
Monthly Return Statistics
Average Return (%) -0.03 Average Positive Return (%) 4.60
Number of +ve Months 19 % +ve Months (%) 51.35
Average Negative Return (%) -4.92 Best Month (May 2018) (%) 16.08
Maximum Monthly Drawdown (%) -14.46    
Excel + DBLCI-OY CT Index Levels
Monthly Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2017 2.41% 1.39% -2.97% -0.10% 6.23% 7.99%
2018 -1.72% 2.27% 1.19% 1.50% 16.08% -8.76% 6.00% -8.83% -4.05% 2.35% 0.81% -5.69%
2019 1.86% -1.64% 3.07% -0.41% -10.44% -2.98% -3.85% -6.60% 3.38% 5.93% -2.20% 5.27%
2020 -2.32% -9.15% -14.46% 10.32% -2.44% 5.92% 3.40%
Announcements
No announcements for this index.