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 DBLCYTCO          
Reuters Id N/A          
Return Data
Current Level 1305.83    
High 1737.17 Low 869.56
Annualized Return (%) 11.68 Volatility 26.68
Sharpe Ratio 0.38 Sortino Ratio 0.49
Max Drawdown (%) -38.24    
Daily Return (%) -5.78 Month-to-Date Return (%) 8.36
3 Month Return (%) 6.98 6 Month Return (%) -3.98
YTD Return (%) 15.34 12 Month Return (%) -16.38
Risk Free Rate (%) 1.55    
Monthly Return Statistics
Average Return (%) 1.14 Average Positive Return (%) 5.57
Number of +ve Months 23 % +ve Months (%) 62.16
Average Negative Return (%) -6.14 Best Month (Jan 2019) (%) 9.94
Maximum Monthly Drawdown (%) -19.53    
Excel + DBLCI Optimum Yield Brent Crude Total Return Index Levels
Monthly Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2016 8.13% -1.77% 3.61% 7.31%
2017 -3.74% 0.66% -4.65% -2.12% -2.39% -3.98% 7.01% -0.25% 7.56% 7.88% 3.29% 5.21%
2018 3.50% -5.14% 7.05% 8.08% 6.10% 2.69% -4.11% 3.88% 6.80% -8.57% -19.53% -7.53%
2019 9.94% 8.42% 0.74% 5.24% -13.25% 6.17% 0.40% -8.91% 8.36%
Announcements
No announcements for this index.