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 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 Agriculture index represents the Agriculture Sector. It is based on 5 commodities (Corn, Soybeans, Sugar, Wheat and Kansas Wheat) employing the DBLCI-OY technology to select future contracts and 6 commodities (Feeder Cattle, Live Cattle, Lean Hogs, Cocoa, Coffee and Cotton) employing a predefined rolling schedule to select future contracts.
Details
Guide
Historical Inception Date 18-Jan-1989          
Index Live Date 15-Sep-2009          
Bloomberg Id DBLCDTAG          
Reuters Id N/A          
Return Data
Current Level 128.63    
High 167.61 Low 123.62
Annualized Return (%) -7.73 Volatility 10.28
Sharpe Ratio -0.90 Sortino Ratio -1.42
Max Drawdown (%) -26.25    
Daily Return (%) -1.00 Month-to-Date Return (%) 3.16
3 Month Return (%) -8.40 6 Month Return (%) -6.82
YTD Return (%) -8.30 12 Month Return (%) -6.89
Risk Free Rate (%) 1.55    
Monthly Return Statistics
Average Return (%) -0.62 Average Positive Return (%) 1.63
Number of +ve Months 16 % +ve Months (%) 43.24
Average Negative Return (%) -2.33 Best Month (May 2019) (%) 3.59
Maximum Monthly Drawdown (%) -6.33    
Excel + DBLCI Diversified Agriculture Index TR Index Levels
Monthly Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2016 -2.09% 2.59% -2.64% 0.11%
2017 2.29% -0.93% -2.15% 0.14% 1.03% -0.55% 0.41% -6.25% 1.67% 2.74% -1.80% -1.57%
2018 0.51% 1.98% -1.95% 2.43% -0.12% -6.04% -2.38% -2.92% -0.86% 3.28% -0.54% -0.98%
2019 0.06% -2.71% 0.16% -2.53% 3.59% -0.42% -3.20% -6.33% 3.16%
Announcements
No announcements for this index.