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
Historical Inception Date 03-Jan-1990          
Index Live Date 22-Mar-2009          
Bloomberg Id DBLCBCTE          
Reuters Id N/A          
Return Data
Current Level 965.52    
High 1260.47 Low 654.54
Annualized Return (%) 10.54 Volatility 27.07
Sharpe Ratio 0.40 Sortino Ratio 0.53
Max Drawdown (%) -38.93    
Daily Return (%) 13.58 Month-to-Date Return (%) 14.86
3 Month Return (%) 10.80 6 Month Return (%) -0.26
YTD Return (%) 18.99 12 Month Return (%) -14.86
Risk Free Rate (%) -0.36    
Monthly Return Statistics
Average Return (%) 1.08 Average Positive Return (%) 5.63
Number of +ve Months 23 % +ve Months (%) 62.16
Average Negative Return (%) -6.40 Best Month (Sep 2019) (%) 14.86
Maximum Monthly Drawdown (%) -19.82    
Excel + DBLCI-OY Brent Crude Euro Index Levels
Monthly Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2016 8.41% -2.01% 3.56% 7.12%
2017 -3.87% 0.52% -4.82% -2.25% -2.54% -4.14% 6.56% -0.48% 7.40% 7.77% 3.00% 4.91%
2018 3.11% -5.47% 6.70% 7.95% 6.03% 2.40% -4.38% 3.61% 6.56% -9.09% -19.82% -7.82%
2019 9.58% 8.20% 0.46% 4.93% -13.64% 5.74% 0.08% -9.30% 14.86%
Announcements
No announcements for this index.