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 DBLCBDTR          
Reuters Id N/A          
Return Data
Current Level 1087.09    
High 1498.50 Low 772.16
Annualized Return (%) 8.88 Volatility 26.78
Sharpe Ratio 0.35 Sortino Ratio 0.45
Max Drawdown (%) -38.85    
Daily Return (%) -5.83 Month-to-Date Return (%) 8.19
3 Month Return (%) 5.90 6 Month Return (%) -5.79
YTD Return (%) 12.53 12 Month Return (%) -19.35
Risk Free Rate (%) -0.36    
Monthly Return Statistics
Average Return (%) 0.93 Average Positive Return (%) 5.37
Number of +ve Months 23 % +ve Months (%) 62.16
Average Negative Return (%) -6.35 Best Month (Jan 2019) (%) 9.64
Maximum Monthly Drawdown (%) -19.78    
Excel + DBLCI OY Brent Crude Euro TR Index Levels
Monthly Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2016 8.02% -1.96% 3.61% 7.18%
2017 -3.82% 0.57% -4.77% -2.21% -2.48% -4.10% 6.62% -0.43% 7.45% 7.83% 3.05% 4.97%
2018 3.16% -5.43% 6.75% 8.00% 6.08% 2.45% -4.33% 3.66% 6.60% -9.04% -19.78% -7.78%
2019 9.64% 8.25% 0.51% 4.98% -13.59% 5.79% 0.13% -9.25% 8.19%
Announcements
No announcements for this index.