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 DBLCOWTT          
Reuters Id N/A          
Return Data
Current Level 27.02    
High 38.76 Low 24.68
Annualized Return (%) -6.74 Volatility 22.01
Sharpe Ratio -0.38 Sortino Ratio -0.65
Max Drawdown (%) -36.33    
Daily Return (%) -0.83 Month-to-Date Return (%) 4.12
3 Month Return (%) -11.14 6 Month Return (%) -0.30
YTD Return (%) -9.52 12 Month Return (%) -13.42
Risk Free Rate (%) 1.55    
Monthly Return Statistics
Average Return (%) -0.37 Average Positive Return (%) 5.44
Number of +ve Months 15 % +ve Months (%) 40.54
Average Negative Return (%) -4.34 Best Month (May 2019) (%) 17.55
Maximum Monthly Drawdown (%) -11.31    
Excel + DBLCI Optimum Yield Wheat Total Return Index Levels
Monthly Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2016 -0.10% 3.16% -6.52% 0.74%
2017 3.04% 2.56% -4.19% -1.48% -0.61% 13.94% -5.13% -10.47% 1.58% -5.41% -1.09% -0.99%
2018 5.82% 6.03% -7.51% 9.13% 3.25% -8.43% 8.16% -3.55% -5.02% -1.05% -1.07% -1.46%
2019 1.85% -11.31% -0.45% -7.30% 17.55% 0.76% -5.76% -6.61% 4.11%
Announcements
No announcements for this index.