Currency / Return Type: Report Frequency: Category:    
History: Report Start Date: Date Picker Report End Date: Date Picker    
Description
Reflects the performance of WTI Sweet Light Crude Futures. These indices are designed to maximize potential roll returns by selecting, for each commodity, the futures contract with the highest implied roll yield
Details
Guide guide
Historical Inception Date 02-Dec-2015          
Index Live Date 02-Dec-2015          
Bloomberg Id DBCMOCLE          
Reuters Id N/A          
Return Data
Current Level 570.64    
High 1100.77 Low 401.00
Annualized Return (%) -4.07 Volatility 34.55
Sharpe Ratio -0.12 Sortino Ratio -0.13
Max Drawdown (%) -63.57    
Daily Return (%) 0.00 Month-to-Date Return (%) 3.43
3 Month Return (%) 18.72 6 Month Return (%) -34.70
YTD Return (%) -32.49 12 Month Return (%) -27.61
Risk Free Rate (%) 0.00    
Monthly Return Statistics
Average Return (%) 0.13 Average Positive Return (%) 5.76
Number of +ve Months 24 % +ve Months (%) 64.86
Average Negative Return (%) -10.27 Best Month (May 2020) (%) 18.98
Maximum Monthly Drawdown (%) -23.98    
Excel + Deutsche Bank DBIQ Optimum Yield Crude Oil Index Excess Return Index Levels
Monthly Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2017 4.01% -2.14% 5.54% 4.75% 4.90% 5.30%
2018 7.10% -3.88% 6.14% 6.12% 0.48% 4.76% -2.38% 3.35% 6.38% -9.35% -22.06% -10.76%
2019 17.65% 4.62% 1.43% 4.05% -14.36% 7.63% 1.16% -7.53% -0.99% 1.93% 1.97% 10.53%
2020 -15.16% -11.14% -23.98% -9.80% 18.98% 6.11% 3.43%
Announcements
No announcements for this index.