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 10.86    
High 16.24 Low 10.00
Annualized Return (%) -8.19 Volatility 22.01
Sharpe Ratio -0.37 Sortino Ratio -0.64
Max Drawdown (%) -38.44    
Daily Return (%) -0.89 Month-to-Date Return (%) 3.97
3 Month Return (%) -11.65 6 Month Return (%) -1.47
YTD Return (%) -11.02 12 Month Return (%) -15.42
Risk Free Rate (%) 0.00    
Monthly Return Statistics
Average Return (%) -0.50 Average Positive Return (%) 5.32
Number of +ve Months 15 % +ve Months (%) 40.54
Average Negative Return (%) -4.47 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
2016 -0.11% 3.13% -6.55% 0.70%
2017 2.99% 2.51% -4.25% -1.54% -0.69% 13.84% -5.22% -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% 4.01%
Announcements
No announcements for this index.