Currency / Return Type: Report Frequency: Category:    
History: Report Start Date: Date Picker Report End Date: Date Picker    
Description
DBLCI MR Enhanced index invests in twelve commodities covering Energy, Precious Metals, Industrial Metals and Agriculture. 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 publication guide
Historical Inception Date 04-Aug-1997          
Index Live Date 25-Jul-2008          
Bloomberg Id DBLCMREU          
Reuters Id .DBLCMREU          
Return Data
Current Level 154.24    
High 168.26 Low 133.77
Annualized Return (%) 4.47 Volatility 12.36
Sharpe Ratio 0.36 Sortino Ratio 0.53
Max Drawdown (%) -17.18    
Daily Return (%) -1.90 Month-to-Date Return (%) 3.18
3 Month Return (%) 4.13 6 Month Return (%) 0.90
YTD Return (%) 8.94 12 Month Return (%) 0.68
Risk Free Rate (%) 0.00    
Monthly Return Statistics
Average Return (%) 0.39 Average Positive Return (%) 2.32
Number of +ve Months 20 % +ve Months (%) 54.05
Average Negative Return (%) -1.89 Best Month (Jan 2019) (%) 7.62
Maximum Monthly Drawdown (%) -4.20    
Excel + DBLCI Mean Reversion Enhanced USD ER Index Levels
Monthly Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2016 3.41% -0.92% 3.18% 0.76%
2017 0.84% 1.45% -3.55% -1.63% -1.76% 2.32% 2.34% -1.00% 0.47% 2.03% 0.39% 3.10%
2018 4.49% -1.07% 1.05% 3.01% 1.20% -3.16% -0.58% -1.56% 1.52% -3.12% -4.20% -3.65%
2019 7.62% 0.41% -1.05% -1.24% -1.80% 3.66% -0.35% -1.43% 3.18%
Announcements
No announcements for this index.