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Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Bloomberg Commodity Index, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.
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Returns By Period
Bloomberg Commodity Index (^BCOM) has returned 23.30% so far this year and 27.11% over the past 12 months. Over the last ten years, ^BCOM has returned 5.67% per year, falling short of the S&P 500 Index benchmark, which averaged 12.16% annually.
Bloomberg Commodity Index
- 1D
- 0.18%
- 1M
- 11.15%
- YTD
- 23.30%
- 6M
- 29.26%
- 1Y
- 27.11%
- 3Y*
- 8.63%
- 5Y*
- 10.04%
- 10Y*
- 5.67%
Benchmark (S&P 500 Index)
- 1D
- 2.91%
- 1M
- -5.09%
- YTD
- -4.63%
- 6M
- -2.39%
- 1Y
- 16.33%
- 3Y*
- 16.69%
- 5Y*
- 10.18%
- 10Y*
- 12.16%
Monthly Returns
Based on dividend-adjusted daily data since Jan 2, 1991, ^BCOM's average daily return is +0.01%, while the average monthly return is +0.16%. At this rate, your investment would double in approximately 36.1 years.
Historically, 52% of months were positive and 48% were negative. The best month was May 2009 with a return of +13.0%, while the worst month was Oct 2008 at -21.3%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 11 months.
On a daily basis, ^BCOM closed higher 51% of trading days. The best single day was Sep 6, 2011 with a return of +14.8%, while the worst single day was Sep 5, 2011 at -13.6%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 10.04% | 0.81% | 11.15% | 23.30% | |||||||||
| 2025 | 3.58% | 0.45% | 3.55% | -5.14% | -0.93% | 2.03% | -0.82% | 1.58% | 1.79% | 2.56% | 2.90% | -0.65% | 11.07% |
| 2024 | -0.09% | -1.89% | 2.89% | 2.20% | 1.30% | -1.94% | -4.50% | -0.38% | 4.43% | -2.24% | 0.05% | 0.63% | 0.12% |
| 2023 | -0.89% | -5.05% | -0.61% | -1.13% | -6.08% | 3.59% | 5.78% | -1.22% | -1.12% | -0.21% | -2.69% | -3.10% | -12.55% |
| 2022 | 8.77% | 6.20% | 8.61% | 4.08% | 1.44% | -10.88% | 4.08% | -0.15% | -8.35% | 1.67% | 2.38% | -2.80% | 13.75% |
| 2021 | 2.62% | 6.47% | -2.15% | 8.29% | 2.73% | 1.85% | 1.83% | -0.30% | 4.97% | 2.58% | -7.31% | 3.52% | 27.05% |
Benchmark Metrics
Bloomberg Commodity Index has an annualized alpha of 0.49%, beta of 0.17, and R² of 0.04 versus S&P 500 Index. Calculated based on daily prices since January 03, 1991.
- This index participated in 37.16% of S&P 500 Index downside but only 22.01% of its upside — more exposed to losses than it benefited from rallies.
- Beta of 0.17 may look defensive, but with R² of 0.04 this index is largely uncorrelated with S&P 500 Index — low beta reflects independence, not downside protection. See the Volatility section for a true picture of this index's risk.
- R² of 0.04 means this index moves largely independently of S&P 500 Index — capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.
- Alpha
- 0.49%
- Beta
- 0.17
- R²
- 0.04
- Upside Capture
- 22.01%
- Downside Capture
- 37.16%
Return for Risk
Risk / Return Rank
^BCOM ranks 91 for risk / return — in the top 91% of indices on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for Bloomberg Commodity Index (^BCOM) and compare them to a chosen benchmark (S&P 500 Index).
| ^BCOM | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.58 | 0.90 | +0.68 |
Sortino ratioReturn per unit of downside risk | 2.07 | 1.39 | +0.69 |
Omega ratioGain probability vs. loss probability | 1.29 | 1.21 | +0.08 |
Calmar ratioReturn relative to maximum drawdown | 4.97 | 1.40 | +3.57 |
Martin ratioReturn relative to average drawdown | 12.42 | 6.61 | +5.81 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Explore ^BCOM risk-adjusted metrics in detail
Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the Bloomberg Commodity Index. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the Bloomberg Commodity Index was 75.00%, occurring on Mar 18, 2020. The portfolio has not yet recovered.
The current Bloomberg Commodity Index drawdown is 43.16%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -75% | Jul 3, 2008 | 2952 | Mar 18, 2020 | — | — | — |
| -42.22% | May 19, 1997 | 448 | Feb 26, 1999 | 1213 | Nov 13, 2003 | 1661 |
| -18.59% | Jan 17, 1991 | 746 | Dec 6, 1993 | 524 | Dec 19, 1995 | 1270 |
| -16.88% | May 12, 2006 | 167 | Jan 9, 2007 | 247 | Jan 2, 2008 | 414 |
| -11.91% | Dec 14, 2005 | 61 | Mar 8, 2006 | 43 | May 9, 2006 | 104 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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