Currency / Return Type: Report Frequency: Category:    
History: Report Start Date: Date Picker Report End Date: Date Picker    
Description
The DBLCI MR + Index is based on DBLCI MR. The weight of DBLCI MR in DBLCI MR + is based on the momentum of the index. It aims to offer upside exposure to commodities while limiting potential drawdowns. A sample set of returns for each period ranging between one and twelve months are calculated. The weight assigned to DBLCI MR is based on the number of periods with positive returns. By taking a return sample over various time periods both short and longer term trends are observed. The overall index weight is rebalanced on a monthly basis.
Details
Guide guide
Historical Inception Date 11-Jan-1990          
Index Live Date 20-Jun-2007          
Bloomberg Id DBLCMPUE          
Reuters Id .DBLCMPUE          
Return Data
Current Level 400.59    
High 467.74 Low 359.17
Annualized Return (%) 0.90 Volatility 12.15
Sharpe Ratio 0.07 Sortino Ratio 0.09
Max Drawdown (%) -16.17    
Daily Return (%) -1.53 Month-to-Date Return (%) 1.69
3 Month Return (%) -0.48 6 Month Return (%) -1.30
YTD Return (%) -0.26 12 Month Return (%) -8.13
Risk Free Rate (%) 0.00    
Monthly Return Statistics
Average Return (%) 0.11 Average Positive Return (%) 1.96
Number of +ve Months 20 % +ve Months (%) 54.05
Average Negative Return (%) -2.07 Best Month (Apr 2018) (%) 4.91
Maximum Monthly Drawdown (%) -6.89    
Excel + DBLCI MR+ Index Levels
Monthly Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2016 4.27% -2.35% -0.20% 2.84%
2017 -2.66% 0.85% -4.51% -2.38% -1.78% 0.00% 1.14% -0.67% 2.28% 1.52% 1.05% 4.82%
2018 4.31% -3.75% 2.79% 4.91% 0.20% 1.67% -0.64% 0.44% 1.85% -4.83% -6.89% -0.06%
2019 0.64% 0.26% 0.21% -0.12% -1.04% 1.43% -1.14% -2.12% 1.68%
Announcements
No announcements for this index.