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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
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publication
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| Historical Inception Date | 03-Jan-1997 | |||||
| Index Live Date | 08-Aug-2011 | |||||
| Bloomberg Id | DBRCOYBO | |||||
| Reuters Id | N/A | |||||
Return Data
| Current Level | 109.79 | ||
|---|---|---|---|
| High | 109.79 | Low | 58.63 |
| Annualized Return (%) | 10.46 | Volatility | 16.87 |
| Sharpe Ratio | 0.62 | Sortino Ratio | 1.00 |
| Max Drawdown (%) | -28.95 | ||
| Daily Return (%) | 2.36 | Month-to-Date Return (%) | 4.30 |
| 3 Month Return (%) | 34.27 | 6 Month Return (%) | 51.09 |
| YTD Return (%) | 22.63 | 12 Month Return (%) | 61.32 |
| Risk Free Rate (%) | 0.00 |
Monthly Return Statistics
| Average Return (%) | 0.95 | Average Positive Return (%) | 5.18 |
|---|---|---|---|
| Number of +ve Months | 18 | % +ve Months (%) | 48.65 |
| Average Negative Return (%) | -3.05 | Best Month (Feb 2021) (%) | 12.28 |
| Maximum Monthly Drawdown (%) | -11.87 |
Monthly Returns
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2018 | -0.18% | -3.79% | 1.35% | -6.38% | -1.49% | -2.19% | 0.49% | -3.21% | -0.64% | -1.23% | ||
| 2019 | 8.00% | -0.29% | -5.60% | -2.54% | -1.37% | 1.63% | -1.67% | 1.80% | 0.79% | 4.97% | -1.06% | 11.89% |
| 2020 | -11.87% | -4.63% | -5.79% | -2.99% | 2.73% | 2.11% | 6.04% | 6.50% | 0.49% | -0.98% | 11.05% | 12.05% |
| 2021 | 4.71% | 12.28% | 4.31% |