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 N/A          
Reuters Id N/A          
Return Data
Current Level 1402.70    
High 1787.13 Low 926.27
Annualized Return (%) 12.13 Volatility 27.31
Sharpe Ratio 0.46 Sortino Ratio 0.61
Max Drawdown (%) -37.57    
Daily Return (%) -6.22 Month-to-Date Return (%) 7.99
3 Month Return (%) 8.69 6 Month Return (%) -1.56
YTD Return (%) 19.32 12 Month Return (%) -11.54
Risk Free Rate (%) -0.36    
Monthly Return Statistics
Average Return (%) 1.18 Average Positive Return (%) 5.80
Number of +ve Months 23 % +ve Months (%) 62.16
Average Negative Return (%) -6.40 Best Month (Apr 2018) (%) 10.02
Maximum Monthly Drawdown (%) -19.47    
Excel + DBLCI-OY LCO TR UNHEDGED EUR Index Levels
Monthly Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2016 7.60% 0.70% 7.07% 7.92%
2017 -6.04% 2.37% -5.28% -3.86% -5.47% -5.34% 3.53% -1.08% 8.17% 9.47% 0.92% 4.48%
2018 -0.24% -3.11% 6.16% 10.02% 9.81% 2.66% -4.31% 4.47% 6.98% -6.28% -19.47% -8.41%
2019 9.53% 9.25% 2.16% 5.45% -12.76% 3.89% 2.69% -7.91% 7.99%
Announcements
No announcements for this index.