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-OY Broad represents 14 commodities drawn from the Energy, Precious Metals, Industrial Metals and Agriculture sectors.
Details
Guide publication guide
Historical Inception Date 03-Sep-1997          
Index Live Date 11-Jan-2007          
Bloomberg Id DBLCBRER          
Reuters Id .DBLCBRER          
Return Data
Current Level 214.52    
High 258.11 Low 192.69
Annualized Return (%) 2.15 Volatility 14.17
Sharpe Ratio 0.15 Sortino Ratio 0.20
Max Drawdown (%) -22.71    
Daily Return (%) -2.53 Month-to-Date Return (%) 4.31
3 Month Return (%) 1.61 6 Month Return (%) -3.91
YTD Return (%) 5.98 12 Month Return (%) -10.29
Risk Free Rate (%) 0.00    
Monthly Return Statistics
Average Return (%) 0.24 Average Positive Return (%) 2.77
Number of +ve Months 21 % +ve Months (%) 56.76
Average Negative Return (%) -3.09 Best Month (Jan 2019) (%) 7.23
Maximum Monthly Drawdown (%) -10.01    
Excel + DBLCI-OY Broad Index Levels
Monthly Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2016 4.11% -0.58% 2.27% 3.70%
2017 -0.59% 0.12% -3.31% -2.35% -1.62% -0.73% 3.91% 0.50% 1.93% 3.99% 0.94% 2.98%
2018 2.76% -3.09% 2.05% 3.65% 2.32% -2.02% -2.41% 0.48% 3.27% -5.41% -10.01% -4.72%
2019 7.23% 3.03% -0.55% 0.96% -5.93% 3.58% -0.88% -5.17% 4.31%
Announcements
No announcements for this index.