Currency / Return Type: Report Frequency: Category:    
History: Report Start Date: Date Picker Report End Date: Date Picker    
Description
Reflects the performance of Wheat 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 DBLCOWTE          
Reuters Id .DBLCOWTE          
Return Data
Current Level 10.62    
High 16.24 Low 10.00
Annualized Return (%) -12.75 Volatility 21.43
Sharpe Ratio -0.59 Sortino Ratio -1.02
Max Drawdown (%) -38.44    
Daily Return (%) -0.04 Month-to-Date Return (%) 0.01
3 Month Return (%) -10.55 6 Month Return (%) -13.02
YTD Return (%) -13.48 12 Month Return (%) -10.38
Risk Free Rate (%) 0.00    
Monthly Return Statistics
Average Return (%) -0.91 Average Positive Return (%) 5.07
Number of +ve Months 15 % +ve Months (%) 40.54
Average Negative Return (%) -4.99 Best Month (May 2019) (%) 17.32
Maximum Monthly Drawdown (%) -11.48    
Excel + DBLCI-OY W Index Levels
Monthly Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2017 -9.31% -10.55% 1.50% -5.50% -1.19% -1.09%
2018 5.68% 5.90% -7.64% 8.96% 3.08% -8.57% 7.98% -3.71% -5.17% -1.25% -1.26% -1.66%
2019 1.64% -11.48% -0.64% -7.50% 17.32% 0.59% -5.94% -6.76% 6.52% 2.45% 3.73% 3.82%
2020 -1.95% -4.75% 6.89% -6.80% -0.67% -6.39% 0.05%
Announcements
No announcements for this index.