Dear DJP, The Distance Between Us is Growing - Your Friend, The Bloomberg Commodity Index
Investors in commodities have few choices available when it comes to exchange listed securities that track the broad market benchmarks. The primary option is the iPath® Bloomberg Commodity Index Total ReturnSM ETN (typically referred to by its ticker: DJP). This exchange traded note (ETN) is issued by Barclays Bank PLC, and is designed to track the Bloomberg Commodity Index Total Return (BCOMTR) before fees. Upon its issuance in June 2006, DJP tracked its benchmark quite well, underperforming by roughly its management fee up until late 2008, when it all started to unravel. Fast forward ten years, and what was once a small amount of deviation has turned into something much more volatile. Annualized weekly tracking error is now as high as 2.15%. This begs the question, why is there such a large amount of deviation in this supposedly passive product?