UBS CMCI Composite SF Eur Hedged (BCFE.DE): Historical Returns

Data Source: from January 1950 to April 2024 (~74 years)
Consolidated Returns as of 30 April 2024
Category: Commodities
UBS CMCI Composite SF Eur Hedged (BCFE.DE) ETF
Currency: EUR

In the last 30 Years, the UBS CMCI Composite SF Eur Hedged (BCFE.DE) ETF obtained a 3.07% compound annual return, with a 17.92% standard deviation.

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The ETF is related to the following investment themes:

  • Asset Class: Commodity
  • Commodity: Broad Diversified

The UBS CMCI Composite SF Eur Hedged (BCFE.DE) ETF is part of the following Lazy Portfolios:

Portfolio Name Author BCFE.DE Weight Currency
All Weather Portfolio To EUR Hedged Ray Dalio 7.50% EUR Hedged

Investment Returns as of Apr 30, 2024

The UBS CMCI Composite SF Eur Hedged (BCFE.DE) ETF guaranteed the following returns.

Returns are calculated in EUR, assuming:
  • no fees or capital gain taxes.
  • the adjustment for actual currency exchange rates (simulation derived from original US returns)
  • the actual Euro Inflation rates.
UBS CMCI COMPOSITE SF EUR HEDGED (BCFE.DE) ETF
Consolidated returns as of 30 April 2024
Swipe left to see all data
  Chg (%) Return (%) Return (%) as of Apr 30, 2024
  1 Day Time ET(*) May 2024 1M 6M 1Y 5Y 10Y 30Y MAX
(~74Y)
UBS CMCI Composite SF Eur Hedged (BCFE.DE) ETF n.a. n.a. 2.93 1.02 1.73 7.13 -2.89 3.07 5.31
Euro Inflation Adjusted return 2.33 -0.19 -0.64 3.30 -5.07 0.98 2.58
Returns over 1 year are annualized | Available data source: since Jan 1950
(*) Eastern Time (ET - America/New York)
Euro Inflation is updated to Apr 2024. Current inflation (annualized) is 1Y: 2.38% , 5Y: 3.70% , 10Y: 2.30% , 30Y: 2.07%

Capital Growth as of Apr 30, 2024

An investment of 1€, since May 1994, now would be worth 2.48€, with a total return of 147.86% (3.07% annualized).

The Inflation Adjusted Capital now would be 1.34€, with a net total return of 34.12% (0.98% annualized).
An investment of 1€, since January 1950, now would be worth 46.69€, with a total return of 4568.95% (5.31% annualized).

The Inflation Adjusted Capital now would be 6.65€, with a net total return of 564.66% (2.58% annualized).

Investment Metrics as of Apr 30, 2024

Metrics of UBS CMCI Composite SF Eur Hedged (BCFE.DE) ETF, updated as of 30 April 2024.

Metrics are calculated based on monthly returns, assuming:
  • no fees or capital gain taxes.
  • the adjustment for actual currency exchange rates (simulation derived from original US returns)
  • the actual Euro Inflation rates.
UBS CMCI COMPOSITE SF EUR HEDGED (BCFE.DE) ETF
Advanced Metrics
Data Source: 1 January 1950 - 30 April 2024 (~74 years)
Swipe left to see all data
Metrics as of Apr 30, 2024
1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
(~74Y)
Investment Return (%) 2.93 5.21 1.02 1.73 7.72 7.13 -2.89 0.12 3.07 5.31
Infl. Adjusted Return (%) details 2.33 3.16 -0.19 -0.64 2.04 3.30 -5.07 -1.95 0.98 2.58
Euro Inflation (%) 0.58 1.98 1.21 2.38 5.57 3.70 2.30 2.11 2.07 2.66
Returns / Inflation rates over 1 year are annualized.
DRAWDOWN
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Deepest Drawdown Depth (%) -7.04 -21.41 -21.41 -58.36 -74.06 -74.06 -74.06
Start to Recovery (# months) details 9* 23* 23* 118* 190* 190* 190*
Start (yyyy mm) 2023 08 2022 06 2022 06 2014 07 2008 07 2008 07 2008 07
Start to Bottom (# months) 7 12 12 70 142 142 142
Bottom (yyyy mm) 2024 02 2023 05 2023 05 2020 04 2020 04 2020 04 2020 04
Bottom to End (# months) 2 11 11 48 48 48 48
End (yyyy mm) - - - - - - -
Longest Drawdown Depth (%)
same as
deepest

same as
deepest

same as
deepest

same as
deepest

same as
deepest

same as
deepest

same as
deepest
Start to Recovery (# months) details
Start (yyyy mm) 2023 08 2022 06 2022 06 2014 07 2008 07 2008 07 2008 07
Start to Bottom (# months) 7 12 12 70 142 142 142
Bottom (yyyy mm) 2024 02 2023 05 2023 05 2020 04 2020 04 2020 04 2020 04
Bottom to End (# months) 2 11 11 48 48 48 48
End (yyyy mm) - - - - - - -
Longest negative period (# months) details 11 26* 26* 120* 239 287 287
Period Start (yyyy mm) 2023 05 2022 03 2022 03 2014 05 2004 05 1996 07 1996 07
Period End (yyyy mm) 2024 03 2024 04 2024 04 2024 04 2024 03 2020 05 2020 05
Annualized Return (%) -1.27 -1.10 -1.10 -2.89 -0.03 -0.03 -0.03
Drawdowns / Negative periods marked with * are in progress
Deepest Drawdown Depth (%) -7.80 -26.27 -26.27 -60.35 -77.30 -77.30 -77.30
Start to Recovery (# months) details 9* 23* 23* 118* 190* 190* 190*
Start (yyyy mm) 2023 08 2022 06 2022 06 2014 07 2008 07 2008 07 2008 07
Start to Bottom (# months) 7 21 21 70 142 142 142
Bottom (yyyy mm) 2024 02 2024 02 2024 02 2020 04 2020 04 2020 04 2020 04
Bottom to End (# months) 2 2 2 48 48 48 48
End (yyyy mm) - - - - - - -
Longest Drawdown Depth (%)
same as
deepest

same as
deepest

same as
deepest

same as
deepest

same as
deepest

same as
deepest

same as
deepest
Start to Recovery (# months) details
Start (yyyy mm) 2023 08 2022 06 2022 06 2014 07 2008 07 2008 07 2008 07
Start to Bottom (# months) 7 21 21 70 142 142 142
Bottom (yyyy mm) 2024 02 2024 02 2024 02 2020 04 2020 04 2020 04 2020 04
Bottom to End (# months) 2 2 2 48 48 48 48
End (yyyy mm) - - - - - - -
Longest negative period (# months) details 12* 34 34 120* 240* 335 366
Period Start (yyyy mm) 2023 05 2021 06 2021 06 2014 05 2004 05 1996 05 1990 10
Period End (yyyy mm) 2024 04 2024 03 2024 03 2024 04 2024 04 2024 03 2021 03
Annualized Return (%) -0.64 -0.07 -0.07 -5.07 -1.95 -0.01 -0.17
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
1Y 3Y 5Y 10Y 20Y 30Y MAX
Standard Deviation (%) 9.83 13.43 14.11 14.40 17.28 17.92 15.52
Sharpe Ratio -0.36 0.38 0.37 -0.29 -0.07 0.04 0.08
Sortino Ratio -0.55 0.52 0.49 -0.39 -0.10 0.06 0.12
Ulcer Index 3.65 12.56 11.41 39.81 48.76 41.35 28.24
Ratio: Return / Standard Deviation 0.18 0.57 0.51 -0.20 0.01 0.17 0.34
Ratio: Return / Deepest Drawdown 0.25 0.36 0.33 -0.05 0.00 0.04 0.07
% Positive Months details 33% 52% 55% 47% 49% 52% 61%
Positive Months 4 19 33 57 119 188 549
Negative Months 8 17 27 63 121 172 343
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Best 10 Years Return (%) - Annualized -2.89 3.39 17.32 19.85
Worst 10 Years Return (%) - Annualized -10.01 -10.01 -10.01
Best 10 Years Return (%) - Annualized -5.07 1.48 14.75 14.75
Worst 10 Years Return (%) - Annualized -11.08 -11.08 -11.08
ROLLING PERIODS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Over the latest 30Y
Best Rolling Return (%) - Annualized 78.89 32.76 24.88 17.32 6.19 3.07
Worst Rolling Return (%) - Annualized -47.91 -23.65 -15.55 -10.01 -0.34
% Positive Periods 54% 56% 64% 52% 95% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 57.23 18.84 11.39 4.50 3.91 4.86
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - - 1.24
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 72.08 30.13 22.34 14.75 4.15 0.98
Worst Rolling Return (%) - Annualized -47.83 -23.78 -16.36 -11.08 -2.40
% Positive Periods 49% 53% 56% 51% 52% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 57.23 18.84 11.39 4.50 3.91 4.86
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - - 1.24
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Over all the available data source (Jan 1950 - Apr 2024)
Best Rolling Return (%) - Annualized 106.49 56.89 38.26 19.85 14.54 11.24
Worst Rolling Return (%) - Annualized -47.91 -23.65 -15.55 -10.01 -0.34 1.23
% Positive Periods 58% 71% 79% 82% 99% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 57.23 18.84 11.39 4.50 3.91 3.54
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - - -
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 92.42 47.20 30.44 14.75 10.22 7.64
Worst Rolling Return (%) - Annualized -47.83 -23.78 -16.36 -11.08 -2.40 -0.63
% Positive Periods 51% 53% 58% 64% 87% 99%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 57.23 18.84 11.39 4.50 3.91 3.54
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - - -
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Terms and Definitions
  • Annualized Portfolio Return: it's the annualized geometric mean return of the portfolio.
  • Deepest/Longest Drawdown: a drawdown refers to the decline in value from a relative peak value to a relative trough. The deepest (or maximum) drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. The longest drawdown is the period observed from a peak to the subsequent peak with the greatest duration.
  • Longest negative period: it's the maximum period for which an overall negative return has been observed.
  • Standard Deviation: it's a measure of the dispersion of returns around the mean.
  • Sharpe Ratio: it's a measure of risk-adjusted performance of the portfolio. It's calculated by dividing the excess return of the portfolio over the risk-free rate by the portfolio standard deviation. The risk-free rate here considered is the 1-3 Mth T-Bill return.
  • Sortino Ratio: another measure of risk-adjusted performance of the portfolio. It's a modification of the Sharpe Ratio (same formula but the denominator is the portfolio downside standard deviation).
  • Ulcer Index: it's a measure of downside risk that quantifies the depth and duration of drawdowns in an investment portfolio.
  • Best/Worst 10Y returns: the best and the worst 10-year return over a time frame.
  • Rolling Returns: N-year returns over a time frame, calculated over all the available data source (best, worst, % of positive returns). Each rolling period, longer than the longest negative period, yielded a non-negative minimum return.
  • Safe Withdrawal Rate (SWR): it's the percentage of the initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, without the portfolio running out of money in any case (money amount withdrawal).
    For instance: Your initial invested capital is 100.000$; withdrawal rate (annualized) is 4%. This means that, in the first month, you will withdraw 100.000 * 4% * 1/12 = 333.33$. The second month, you’ll withdraw 333.33$ plus the inflation monthly rate. You’ll continue adjusting your withdraw monthly for inflation.
  • Perpetual Withdrawal Rate (PWR): it's the percentage of the initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, preserving the original invested capital, adjusted for inflation too.

Correlations as of Apr 30, 2024

Correlation measures to what degree the returns of the two assets move in relation to each other.

Correlation coefficient is a numerical value between -1 and +1. If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much.
Asset correlations are calculated based on monthly returns.

Monthly correlations of UBS CMCI Composite SF Eur Hedged (BCFE.DE) ETF vs the main Asset Classes, over different timeframes. Columns are sortable (click on table header to sort).

UBS CMCI COMPOSITE SF EUR HEDGED (BCFE.DE) ETF
Monthly correlations as of 30 April 2024
Swipe left to see all data
Correlation vs BCFE.DE
Asset Class 1 Year 5 Years 10 Years 30 Years Since
Jan 1992
VTI
US Total Stock Market
0.02
0.41
0.34
0.30
0.30
SPY
US Large Cap
0.02
0.40
0.34
0.29
0.29
IJR
US Small Cap
0.16
0.47
0.37
0.33
0.32
VNQ
US REITs
0.03
0.44
0.19
0.24
0.25
QQQ
US Technology
-0.29
0.24
0.20
0.22
0.21
PFF
Preferred Stocks
-0.03
0.32
0.21
0.22
0.22
EFA
EAFE Stocks
0.22
0.47
0.41
0.41
0.41
VT
World All Countries
0.12
0.46
0.41
0.38
0.38
EEM
Emerging Markets
0.36
0.50
0.46
0.40
0.38
VGK
Europe
0.26
0.47
0.41
0.36
0.37
VPL
Pacific
0.11
0.45
0.39
0.41
0.39
FLLA
Latin America
0.10
0.52
0.49
0.40
0.39
BND
US Total Bond Market
-0.08
0.01
-0.07
0.05
0.06
TLT
Long Term Treasuries
-0.13
-0.23
-0.31
-0.14
-0.14
BIL
US Cash
-0.07
-0.29
-0.07
0.03
0.03
TIP
TIPS
0.04
0.20
0.14
0.27
0.27
LQD
Invest. Grade Bonds
-0.04
0.15
0.08
0.13
0.13
HYG
High Yield Bonds
0.06
0.41
0.42
0.31
0.31
CWB
US Convertible Bonds
0.04
0.41
0.37
0.36
0.35
BNDX
International Bonds
-0.17
-0.01
-0.12
0.10
0.09
EMB
Emerg. Market Bonds
0.10
0.40
0.32
0.26
0.26
GLD
Gold
0.42
0.22
0.23
0.34
0.32
DBC
Commodities
0.91
0.88
0.91
0.97
0.97

If you want to learn more about historical correlations, you can find out here how the main asset class are correlated to each other.

Drawdowns

A drawdown refers to the decline in value from a relative peak value to a relative trough. A maximum drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained.

UBS CMCI COMPOSITE SF EUR HEDGED (BCFE.DE) ETF
Drawdown periods
Drawdown periods - Inflation Adjusted
Data Source: 1 May 1994 - 30 April 2024 (30 Years)
Data Source: 1 January 1950 - 30 April 2024 (~74 years)
Inflation Adjusted:
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Rolling Returns

( more details)

A rolling return is a measure of investment performance that calculates the return of an investment over a set period of time, with the starting date rolling forward. This approach can provide a more accurate representation of the investment's historical performance and helps investors to evaluate the investment's consistency over time.

UBS CMCI COMPOSITE SF EUR HEDGED (BCFE.DE) ETF
Annualized Rolling Returns
Annualized Rolling Returns - Inflation Adjusted
Data Source: 1 May 1994 - 30 April 2024 (30 Years)
Data Source: 1 January 1950 - 30 April 2024 (~74 years)
Inflation Adjusted:

If you need a deeper detail about rolling returns, please refer to the UBS CMCI Composite SF Eur Hedged (BCFE.DE) ETF: Rolling Returns page.

Seasonality

In which months is it better to invest in UBS CMCI Composite SF Eur Hedged (BCFE.DE) ETF?

Both the Average Return and the Gain Frequency (Win %) are useful to get an idea of what happened in the past.
For further information about the seasonality, check the Asset Class Seasonality page.
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Monthly Returns

This section provides a visual/tabular representation of the performance variability in the UBS CMCI Composite SF Eur Hedged (BCFE.DE) ETF over time. It illustrates the distribution of monthly returns, showcasing the range and frequency of positive and negative returns.

UBS CMCI COMPOSITE SF EUR HEDGED (BCFE.DE) ETF
Monthly Returns Distribution
Data Source: 1 May 1994 - 30 April 2024 (30 Years)
Data Source: 1 January 1950 - 30 April 2024 (~74 years)
188 Positive Months (52%) - 172 Negative Months (48%)
549 Positive Months (62%) - 343 Negative Months (38%)
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(Scroll down to see all data)
Investment Returns, up to May 2017, have been derived using the historical series of equivalent ETFs / Assets.
You can find additional information on extended Data Sources here.

Returns are calculated based on the performance of the original US asset, adjusted for actual currency exchange rates.

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