Currency / Return Type: Report Frequency: Category:    
History: Report Start Date: Date Picker Report End Date: Date Picker    
Description
Reflects the performance of Brent Crude Futures. DBLCI-OY 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 03-Jan-1990          
Index Live Date 31-May-2006          
Bloomberg Id DBLCYECO          
Reuters Id .DBLCYECO          
Return Data
Current Level 475.88    
High 781.63 Low 399.08
Annualized Return (%) -1.23 Volatility 26.41
Sharpe Ratio -0.05 Sortino Ratio -0.06
Max Drawdown (%) -39.12    
Daily Return (%) -3.72 Month-to-Date Return (%) -11.81
3 Month Return (%) -15.35 6 Month Return (%) -12.43
YTD Return (%) -23.49 12 Month Return (%) -19.62
Risk Free Rate (%) 0.00    
Monthly Return Statistics
Average Return (%) 0.18 Average Positive Return (%) 5.16
Number of +ve Months 22 % +ve Months (%) 59.46
Average Negative Return (%) -7.13 Best Month (Feb 2019) (%) 10.64
Maximum Monthly Drawdown (%) -19.69    
Excel + DBLCI-OY LCO Index Levels
Monthly Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2017 0.00% -4.71% -2.18% -2.47% -4.06% 6.92% -0.34% 7.48% 7.78% 3.19% 5.10%
2018 3.36% -5.26% 6.90% 7.92% 5.93% 2.53% -4.27% 3.70% 6.63% -8.75% -19.69% -7.72%
2019 9.72% 8.22% 0.55% 5.02% -13.43% 5.99% 0.20% -9.06% 0.97% 1.95% 2.86% 10.64%
2020 -13.25% -11.81%
Announcements
No announcements for this index.