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Performance
^BCOM Performance Chart
Bloomberg Commodity Index (^BCOM) is up 15.7% since the beginning of the year. ^BCOM is currently trading at $127 per share. Investors who bought $1,000 worth of ^BCOM shares 5 years ago would now be looking at an investment worth $1,396.
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Returns By Period
Bloomberg Commodity Index (^BCOM) has returned 15.71% so far this year and 20.80% over the past 12 months. Over the last ten years, ^BCOM has returned 3.56% per year, falling short of the S&P 500 Index benchmark, which averaged 13.71% annually.
Bloomberg Commodity Index
- 1D
- -1.00%
- 1M
- -8.47%
- YTD
- 15.71%
- 6M
- 14.14%
- 1Y
- 20.80%
- 3Y*
- 6.48%
- 5Y*
- 6.90%
- 10Y*
- 3.56%
Benchmark (S&P 500 Index)
- 1D
- -1.44%
- 1M
- -1.45%
- YTD
- 7.60%
- 6M
- 6.59%
- 1Y
- 22.24%
- 3Y*
- 19.20%
- 5Y*
- 11.54%
- 10Y*
- 13.71%
^BCOM Monthly Returns History
Based on dividend-adjusted daily data since Jan 2, 1991, ^BCOM's average daily return is +0.01%, while the average monthly return is +0.14%. At this rate, an investment would double in approximately 41.3 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 Oct 29, 2008 with a return of +5.8%, while the worst single day was Jan 17, 1991 at -8.8%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 10.04% | 0.81% | 11.15% | 3.89% | -3.84% | -6.06% | 15.71% | ||||||
| 2025 | 3.57% | 0.45% | 3.55% | -5.14% | -0.93% | 2.03% | -0.82% | 1.59% | 1.79% | 2.55% | 2.90% | -0.65% | 11.07% |
| 2024 | -0.09% | -1.89% | 2.89% | 2.19% | 1.30% | -1.94% | -4.50% | -0.37% | 4.42% | -2.23% | 0.04% | 0.63% | 0.11% |
| 2023 | -0.90% | -5.04% | -0.61% | -1.14% | -6.09% | 3.59% | 5.77% | -1.22% | -1.12% | -0.21% | -2.69% | -3.10% | -12.55% |
| 2022 | 8.76% | 6.20% | 8.61% | 4.08% | 1.44% | -10.88% | 4.08% | -0.16% | -8.34% | 1.67% | 2.38% | -2.79% | 13.75% |
| 2021 | 2.63% | 6.47% | -2.16% | 8.29% | 2.73% | 1.84% | 1.84% | -0.30% | 4.97% | 2.58% | -7.31% | 3.52% | 27.06% |
Benchmark Metrics
Bloomberg Commodity Index has an annualized alpha of 0.04%, beta of 0.17, and R2 of 0.04 versus S&P 500 Index. Calculated based on daily prices since January 02, 1991.
- This index participated in 41.33% of S&P 500 Index downside but only 22.56% 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
- 0.04%
- Beta
- 0.17
- R²
- 0.04
- Upside Capture
- 22.56%
- Downside Capture
- 41.33%
Return for Risk
Risk / Return Rank
^BCOM ranks 37 for risk / return — below 37% of indices on our site. The returns aren't fully compensating for the risk involved. This isn't necessarily a dealbreaker, but factor it into your decision — especially if you're risk-averse.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for Bloomberg Commodity Index (^BCOM) and compare them to S&P 500 Index.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| ^BCOM | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.74 | ||
| Sortino ratioReturn per unit of downside risk | -1.01 | ||
| Omega ratioGain probability vs. loss probability | 1.19 | 1.32 | -0.13 |
| Calmar ratioReturn relative to maximum drawdown | 1.61 | 2.46 | -0.84 |
| Martin ratioReturn relative to average drawdown | 5.16 | 10.92 | -5.76 |
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 46.66%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
COVID crash2020 | -75.00%Mar 2020 | 11y 8mo | — | 17y 12moJul 2008 - now |
1999 bear market1999 | -42.22%Feb 1999 | 1y 9mo | 4y 8mo | 6y 5moMay 1997 - Nov 2003 |
1993 correction1993 | -18.59%Dec 1993 | 2y 10mo | 2y 13d | 4y 11moJan 1991 - Dec 1995 |
2007 correction2007 | -16.88%Jan 2007 | 8mo 2d | 11mo 28d | 1y 7moMay 2006 - Jan 2008 |
2006 correction2006 | -11.91%Mar 2006 | 2mo 24d | 2mo 2d | 4mo 26dDec 2005 - May 2006 |
Drawdown Indicators
| ^BCOM | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -75.00% | -56.78% | -18.22% |
Max Drawdown (1Y)Largest decline over 1 year | -11.33% | -9.10% | -2.23% |
Max Drawdown (3Y)Largest decline over 3 years | -13.77% | -18.90% | +5.13% |
Max Drawdown (5Y)Largest decline over 5 years | -31.68% | -25.43% | -6.25% |
Max Drawdown (10Y)Largest decline over 10 years | -35.04% | -33.92% | -1.12% |
Current DrawdownCurrent decline from peak | -46.66% | -3.21% | -43.45% |
Average DrawdownAverage peak-to-trough decline | -33.35% | -10.71% | -22.64% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.72% | 2.04% | +1.68% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Build a portfolio with ^BCOM
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