Currency / Return Type: Report Frequency: Category:    
History: Report Start Date: Date Picker Report End Date: Date Picker    
Description
The Deutsche Bank Liquid Commodities Indices Optimum Yield (DBLCI-OY) employs a rulebased approach when it rolls from one Brent Crude Oil futures contract to another 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.
Details
Guide publication
Historical Inception Date 03-Jan-1990          
Index Live Date 01-Dec-2009          
Bloomberg Id DBLCCETN          
Reuters Id .DBLCCETN          
Return Data
Current Level 807.34    
High 1130.59 Low 588.61
Annualized Return (%) 6.34 Volatility 26.89
Sharpe Ratio 0.25 Sortino Ratio 0.32
Max Drawdown (%) -38.96    
Daily Return (%) -1.43 Month-to-Date Return (%) 4.58
3 Month Return (%) 8.22 6 Month Return (%) -10.10
YTD Return (%) 10.98 12 Month Return (%) -8.32
Risk Free Rate (%) -0.37    
Monthly Return Statistics
Average Return (%) 0.73 Average Positive Return (%) 4.79
Number of +ve Months 24 % +ve Months (%) 64.86
Average Negative Return (%) -6.76 Best Month (Jan 2019) (%) 9.56
Maximum Monthly Drawdown (%) -19.83    
Excel + Deutsche Bank Brent Crude Oil Booster EUR Index Index Levels
Monthly Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2016 5.44% 7.11%
2017 -3.89% 0.51% -4.84% -2.27% -2.55% -4.16% 6.54% -0.49% 7.38% 7.75% 2.98% 4.90%
2018 3.09% -5.49% 6.69% 7.93% 6.01% 2.39% -4.40% 3.59% 6.54% -9.10% -19.83% -7.84%
2019 9.56% 8.18% 0.45% 4.91% -13.65% 5.72% 0.06% -9.31% 0.83% 1.73% 4.58%
Announcements
No announcements for this index.