Currency / Return Type: Report Frequency: Category:    
History: Report Start Date: Date Picker Report End Date: Date Picker    
Description
DBLCI MR index invests in six commodities; Sweet Light Crude Oil (WTI), Heating Oil, Aluminium, Gold, Wheat and Corn. The weights of the commodities in the DBLCI MR index are systematically adjusted depending on the relative richness or cheapness of the commodity. The commodity weight is linked to the ratio between a one-year and five-year moving average price. Relatively expensive commodities have lower weights; conversely, relatively cheap commodities have higher weights.
Details
Guide guide publication
Historical Inception Date 01-Dec-1988          
Index Live Date 14-Feb-2003          
Bloomberg Id DBLCMMCL          
Reuters Id .DBLCMMCL          
Return Data
Current Level 419.61    
High 486.66 Low 317.95
Annualized Return (%) 7.07 Volatility 19.69
Sharpe Ratio 0.36 Sortino Ratio 0.51
Max Drawdown (%) -23.19    
Daily Return (%) -2.96 Month-to-Date Return (%) 4.43
3 Month Return (%) 1.17 6 Month Return (%) 0.62
YTD Return (%) 10.49 12 Month Return (%) -6.94
Risk Free Rate (%) 0.00    
Monthly Return Statistics
Average Return (%) 0.65 Average Positive Return (%) 3.58
Number of +ve Months 22 % +ve Months (%) 59.46
Average Negative Return (%) -3.66 Best Month () (%) 8.65
Maximum Monthly Drawdown (%) -10.82    
Excel + DBLCI - MR Index Levels
Monthly Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2016 8.65% -2.34% 2.58% 6.09%
2017 -3.39% 1.14% -5.50% -3.23% -1.22% -2.06% 6.61% -3.17% 5.51% 2.64% 2.59% 5.29%
2018 4.54% -3.48% 3.39% 5.48% 0.20% 1.91% -0.92% 0.74% 1.78% -4.78% -10.82% -4.96%
2019 8.11% 1.32% 0.46% 1.14% -2.68% 4.26% -1.85% -4.55% 4.42%
Announcements
No announcements for this index.