Currency / Return Type: Report Frequency: Category:    
History: Report Start Date: Date Picker Report End Date: Date Picker    
Description
Reflects the performance of Wheat Futures. It is equally weighted in the three indices: DBLCI-OY W, DBLCI-OY KW and DBLCI-OY MW. 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 08-Nov-1990          
Index Live Date 16-Jan-2012          
Bloomberg Id DBLCOWUE          
Reuters Id N/A          
Return Data
Current Level 36.46    
High 59.89 Low 34.75
Annualized Return (%) -8.80 Volatility 19.32
Sharpe Ratio -0.46 Sortino Ratio -0.77
Max Drawdown (%) -41.97    
Daily Return (%) -0.80 Month-to-Date Return (%) 2.50
3 Month Return (%) -13.91 6 Month Return (%) -9.86
YTD Return (%) -16.56 12 Month Return (%) -21.77
Risk Free Rate (%) 0.00    
Monthly Return Statistics
Average Return (%) -0.55 Average Positive Return (%) 4.54
Number of +ve Months 17 % +ve Months (%) 45.95
Average Negative Return (%) -4.88 Best Month (Jun 2017) (%) 17.72
Maximum Monthly Drawdown (%) -10.85    
Excel + DBLCI - OY Wheat Basket Index USD ER Index Levels
Monthly Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2016 0.95% 1.98% -4.25% 0.67%
2017 2.78% 2.61% -5.12% 0.56% 0.47% 17.72% -3.47% -10.85% 0.95% -3.53% -1.05% -0.82%
2018 4.82% 5.08% -8.22% 8.29% 1.23% -10.20% 9.24% -3.87% -4.75% -1.40% -1.93% -2.71%
2019 2.12% -9.10% -1.62% -8.80% 15.13% -1.99% -6.63% -7.23% 2.51%
Announcements
No announcements for this index.