Currency / Return Type: Report Frequency: Category:    
History: Report Start Date: Date Picker Report End Date: Date Picker    
Description
Reflects the performance of Gasoil 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 05-Jul-1989          
Index Live Date 31-May-2006          
Bloomberg Id DBLCYTGO          
Reuters Id N/A          
Return Data
Current Level 1071.50    
High 1322.59 Low 696.24
Annualized Return (%) 12.27 Volatility 22.74
Sharpe Ratio 0.47 Sortino Ratio 0.68
Max Drawdown (%) -32.26    
Daily Return (%) -2.08 Month-to-Date Return (%) 8.05
3 Month Return (%) 5.78 6 Month Return (%) -3.33
YTD Return (%) 15.95 12 Month Return (%) -11.67
Risk Free Rate (%) 1.55    
Monthly Return Statistics
Average Return (%) 1.15 Average Positive Return (%) 5.81
Number of +ve Months 20 % +ve Months (%) 54.05
Average Negative Return (%) -4.33 Best Month (Jan 2019) (%) 13.82
Maximum Monthly Drawdown (%) -20.32    
Excel + DBLCI Optimum Yield Gas Oil Total Return Index Levels
Monthly Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2016 4.97% -0.82% 1.43% 9.61%
2017 -1.89% -1.63% -4.74% -3.15% -2.64% -2.60% 11.81% 1.95% 9.02% 2.72% 2.08% 6.09%
2018 3.17% -4.36% 6.75% 6.10% 5.21% -0.43% -2.33% 3.89% 5.52% -3.41% -20.32% -6.43%
2019 13.82% 7.04% -1.49% 3.77% -9.44% 3.30% -0.69% -7.25% 8.05%
Announcements
No announcements for this index.