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Description
The Deutsche Bank Liquid Commodities Indices Optimum Yield (DBLCI-OY) employs a rule based approach when it rolls from one futures contract to another for each commodity in the index. Rather than select the new future based on a predefined schedule (e.g. monthly) the index rolls to that future (from the list of tradable futures which expire in the next thirteen months) which generates the maximum implied roll yield. The index aims to maximize the potential roll benefits in backwardated markets and minimize the loss from rolling down the curve in contago markets. The selected DBLCI-OY index future contract is rolled to a new contract, when the existing contract is close to expiry. DBLCI Diversified Index represents 14 commodities drawn from the Energy, Precious Metals, Industrial Metals and Agriculture sectors.
Details
| Guide |
 guide
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|---|---|---|---|---|---|---|
| Historical Inception Date | 02-Dec-1988 | |||||
| Index Live Date | 15-Sep-2009 | |||||
| Bloomberg Id | DBLCDBCT | |||||
| Reuters Id | .DBLCIX2 | |||||
Return Data
| Current Level | 1279.50 | ||
|---|---|---|---|
| High | 1627.09 | Low | 549.05 |
| Annualized Return (%) | 18.85 | Volatility | 22.62 |
| Sharpe Ratio | 0.80 | Sortino Ratio | 0.93 |
| Max Drawdown (%) | -29.48 | ||
| Daily Return (%) | 0.04 | Month-to-Date Return (%) | -4.59 |
| 3 Month Return (%) | -10.01 | 6 Month Return (%) | -4.01 |
| YTD Return (%) | -3.87 | 12 Month Return (%) | 5.73 |
| Risk Free Rate (%) | 0.81 |
Monthly Return Statistics
| Average Return (%) | 1.60 | Average Positive Return (%) | 5.55 |
|---|---|---|---|
| Number of +ve Months | 23 | % +ve Months (%) | 62.16 |
| Average Negative Return (%) | -4.90 | Best Month (Feb 2021) (%) | 10.38 |
| Maximum Monthly Drawdown (%) | -17.00 |
Monthly Returns
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2020 | -6.84% | -17.00% | -3.31% | 8.51% | 4.11% | 5.23% | 4.37% | -2.94% | -3.10% | 10.10% | 5.22% | |
| 2021 | 3.61% | 10.38% | -1.04% | 8.23% | 3.72% | 3.71% | 1.65% | -1.59% | 5.06% | 5.95% | -8.92% | 6.71% |
| 2022 | 7.94% | 6.57% | 9.63% | 6.28% | 3.56% | -6.90% | -1.59% | -1.07% | -7.30% | 5.38% | 1.01% | -2.35% |
| 2023 | 0.76% | -4.59% |