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 guide publication
Historical Inception Date 02-Apr-1998          
Index Live Date 08-Aug-2011          
Bloomberg Id DBRCOYLL          
Reuters Id N/A          
Return Data
Current Level 330.38    
High 434.60 Low 288.17
Annualized Return (%) 0.67 Volatility 24.44
Sharpe Ratio 0.03 Sortino Ratio 0.04
Max Drawdown (%) -33.69    
Daily Return (%) -1.97 Month-to-Date Return (%) 1.86
3 Month Return (%) 8.60 6 Month Return (%) -1.05
YTD Return (%) 0.82 12 Month Return (%) -1.85
Risk Free Rate (%) 0.00    
Monthly Return Statistics
Average Return (%) 0.24 Average Positive Return (%) 4.79
Number of +ve Months 20 % +ve Months (%) 54.05
Average Negative Return (%) -5.11 Best Month (Jan 2017) (%) 17.55
Maximum Monthly Drawdown (%) -14.22    
Excel + DBLCI OY Enhanced - Lead Index Levels
Monthly Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2016 8.86% -2.62% 13.29% -14.22%
2017 17.55% -5.05% 3.64% -4.11% -5.70% 7.66% 2.16% 2.19% 3.43% -2.86% 1.63% 0.99%
2018 4.62% -4.01% -4.25% -3.15% 6.01% -2.05% -10.29% -3.60% -2.15% -5.59% 2.22% 2.58%
2019 4.44% 1.82% -6.33% -4.75% -6.20% 6.80% 3.90% 0.23% 1.86%
Announcements
No announcements for this index.