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 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-OY is based on six commodity futures; Sweet Light Crude Oil (WTI), Heating Oil, Aluminium, Gold, Wheat and Corn. The weights are fixed and have been designed to be broadly representative of the commodity markets.
Details
Guide guide publication
Historical Inception Date 02-Dec-1988          
Index Live Date 31-May-2006          
Bloomberg Id DBLCOYER          
Reuters Id .DBLCOYER          
Return Data
Current Level 281.55    
High 347.31 Low 249.73
Annualized Return (%) 3.35 Volatility 15.50
Sharpe Ratio 0.22 Sortino Ratio 0.29
Max Drawdown (%) -25.67    
Daily Return (%) -2.47 Month-to-Date Return (%) 3.57
3 Month Return (%) 1.34 6 Month Return (%) -2.69
YTD Return (%) 7.24 12 Month Return (%) -12.36
Risk Free Rate (%) 0.00    
Monthly Return Statistics
Average Return (%) 0.34 Average Positive Return (%) 2.84
Number of +ve Months 21 % +ve Months (%) 56.76
Average Negative Return (%) -2.94 Best Month (Jan 2019) (%) 8.73
Maximum Monthly Drawdown (%) -12.13    
Excel + DBLCI-OY Index Levels
Monthly Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2016 5.01% -0.76% 1.09% 3.93%
2017 -0.68% 1.38% -3.55% -2.15% -0.94% 0.06% 2.77% -0.80% 2.57% 2.69% 1.13% 4.43%
2018 3.74% -2.54% 2.03% 5.77% 1.16% -1.44% -0.90% 1.26% 2.67% -5.29% -12.13% -5.65%
2019 8.73% 1.57% -0.67% 0.46% -3.94% 3.57% -0.95% -4.65% 3.57%
Announcements
No announcements for this index.