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 DBLCOCLT          
Reuters Id .DBLCOCLT          
Return Data
Current Level 1957.64    
High 2676.70 Low 1401.60
Annualized Return (%) 8.38 Volatility 28.01
Sharpe Ratio 0.24 Sortino Ratio 0.30
Max Drawdown (%) -43.24    
Daily Return (%) -4.53 Month-to-Date Return (%) 6.07
3 Month Return (%) 9.26 6 Month Return (%) -3.56
YTD Return (%) 20.62 12 Month Return (%) -18.53
Risk Free Rate (%) 1.55    
Monthly Return Statistics
Average Return (%) 0.93 Average Positive Return (%) 5.76
Number of +ve Months 22 % +ve Months (%) 59.46
Average Negative Return (%) -6.16 Best Month (Jan 2019) (%) 17.89
Maximum Monthly Drawdown (%) -21.91    
Excel + DBLCI Optimum Yield Crude Oil Total Return Index Levels
Monthly Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2016 8.37% -3.52% 5.37% 6.78%
2017 -3.34% -0.32% -5.52% -2.51% -2.86% -3.09% 6.13% -2.05% 5.62% 4.85% 5.00% 5.41%
2018 7.24% -3.76% 6.29% 6.28% 0.64% 4.92% -2.21% 3.53% 6.56% -9.16% -21.91% -10.57%
2019 17.89% 4.81% 1.63% 4.27% -14.19% 7.81% 1.35% -7.38% 6.07%
Announcements
No announcements for this index.