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 574.79    
High 781.63 Low 399.08
Annualized Return (%) 9.97 Volatility 26.68
Sharpe Ratio 0.37 Sortino Ratio 0.48
Max Drawdown (%) -38.57    
Daily Return (%) -5.78 Month-to-Date Return (%) 8.25
3 Month Return (%) 6.43 6 Month Return (%) -5.06
YTD Return (%) 13.48 12 Month Return (%) -18.27
Risk Free Rate (%) 0.00    
Monthly Return Statistics
Average Return (%) 1.01 Average Positive Return (%) 5.43
Number of +ve Months 23 % +ve Months (%) 62.16
Average Negative Return (%) -6.25 Best Month (Jan 2019) (%) 9.72
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
2016 8.12% -1.80% 3.58% 7.27%
2017 -3.78% 0.62% -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% 8.25%
Announcements
No announcements for this index.