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. 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 02-Dec-1988          
Index Live Date 31-May-2006          
Bloomberg Id DBLCOCLE          
Reuters Id .DBLCXCL          
Return Data
Current Level 787.57    
High 1100.77 Low 587.93
Annualized Return (%) 6.71 Volatility 28.02
Sharpe Ratio 0.24 Sortino Ratio 0.30
Max Drawdown (%) -43.54    
Daily Return (%) -4.54 Month-to-Date Return (%) 5.97
3 Month Return (%) 8.70 6 Month Return (%) -4.65
YTD Return (%) 18.68 12 Month Return (%) -20.38
Risk Free Rate (%) 0.00    
Monthly Return Statistics
Average Return (%) 0.80 Average Positive Return (%) 5.63
Number of +ve Months 22 % +ve Months (%) 59.46
Average Negative Return (%) -6.27 Best Month (Jan 2019) (%) 17.65
Maximum Monthly Drawdown (%) -22.06    
Excel + DBLCI-OY CL Index Levels
Monthly Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2016 8.36% -3.55% 5.33% 6.74%
2017 -3.38% -0.36% -5.58% -2.57% -2.94% -3.17% 6.04% -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% 5.97%
Announcements
No announcements for this index.