Currency / Return Type: Report Frequency: Category:    
History: Report Start Date: Date Picker Report End Date: Date Picker    
Description
The DB Liquid Commodity Optimum Yield Enhanced Indices (DBLCI-OYE) are designed to maximize roll returns for each commodity by providing diversified risk optimised exposure across the forward curve. The DBLCI OYE offers additional advantages of diversification across the forward curve and greater flexibility to adapt to curve changes.
Details
Guide publication guide
Historical Inception Date 03-Jan-1997          
Index Live Date 08-Aug-2011          
Bloomberg Id DBRCOYXB          
Reuters Id N/A          
Return Data
Current Level 406.57    
High 531.80 Low 307.03
Annualized Return (%) 7.83 Volatility 26.49
Sharpe Ratio 0.30 Sortino Ratio 0.40
Max Drawdown (%) -41.34    
Daily Return (%) -4.81 Month-to-Date Return (%) 9.21
3 Month Return (%) 11.55 6 Month Return (%) 2.66
YTD Return (%) 24.64 12 Month Return (%) -16.49
Risk Free Rate (%) 0.00    
Monthly Return Statistics
Average Return (%) 0.88 Average Positive Return (%) 5.50
Number of +ve Months 23 % +ve Months (%) 62.16
Average Negative Return (%) -6.70 Best Month (Jul 2017) (%) 10.14
Maximum Monthly Drawdown (%) -19.55    
Excel + DBLCI OY Enhanced - RBOB Gasoline Index Levels
Monthly Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2016 8.39% -1.18% 5.12% 8.44%
2017 -5.14% -0.40% -4.08% -5.84% 1.02% -3.44% 10.14% 6.25% -0.93% 7.88% 2.21% 2.50%
2018 3.44% -5.47% 6.46% 5.18% 3.60% 0.22% -2.43% 2.21% 5.62% -13.82% -19.55% -9.05%
2019 7.95% 9.98% 3.53% 8.40% -13.17% 7.94% 0.73% -9.27% 9.21%
Announcements
No announcements for this index.