Below, please find highlights for the Dow Jones-UBS Agriculture Subindex as of April 30, 2011:
- The trailing 3-year performance of the Dow Jones-UBS Agriculture Subindex (commodity futures) and Dow Jones U.S. Food Producers Total Stock Market Index (equities) are both approximately +3.5% per annum. However, the corresponding year-to-date and 1-year performance show the true volatility between these asset classes: year-to-date, equities are up 11.01% while commodity futures are up only 2.96%, yet commodity futures are up 59.82% and equities are up 21.41% based upon 1-year performance. (See Page 1 of Attachment)
The current rolling 3-year annualized risk for the Dow Jones-UBS Agriculture Subindex (27.90%) is 11.09 percentage points higher than its historical mean of 16.81%. The current rolling 3-year annualized risk for the Dow Jones U.S. Food Producers Total Stock Market Index (which includes component companies focused on farming, fishing, and food production) is 16.63%, only 4.18 percentage points higher than its historical mean of 12.45%. (Page 2)
- Relative to the Dow Jones-UBS Agriculture Subindex, the mean rolling 36-month correlations of the Dow Jones U.S. Food Producers, Farming & Fishing, and Food Products Total Stock Market Indexes are relatively uncorrelated to the commodity futures asset class with correlations ranging from 0.067 to 0.122. However, the current rolling correlations of these same indexes stand at the highest end of their historical distributions (0.351 to 0.466). (Page 5)
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