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 38.06    
High 55.65 Low 35.55
Annualized Return (%) -1.75 Volatility 17.97
Sharpe Ratio -0.10 Sortino Ratio -0.14
Max Drawdown (%) -36.13    
Daily Return (%) -1.92 Month-to-Date Return (%) 4.33
3 Month Return (%) -8.13 6 Month Return (%) -17.92
YTD Return (%) -16.27 12 Month Return (%) -21.69
Risk Free Rate (%) 0.00    
Monthly Return Statistics
Average Return (%) -0.02 Average Positive Return (%) 3.35
Number of +ve Months 20 % +ve Months (%) 54.05
Average Negative Return (%) -3.99 Best Month (May 2018) (%) 16.08
Maximum Monthly Drawdown (%) -10.44    
Excel + DBLCI-OY CT Index Levels
Monthly Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2016 -0.61% 1.15% 1.91% -1.69%
2017 3.83% 2.78% 0.28% 1.85% -1.25% -6.24% 0.20% 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% 4.32%
Announcements
No announcements for this index.