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Seeks to track, before fees and expenses, Deutsche Bank Liquid Commodity Index Optimum Yield Diversified Excess Return Index. The Index is a rules-based index composed of futures contracts on 14 of the most heavily-traded and important physical commodities in the world. The Index is rebalanced yearly on the 5th business day of November. When rebalanced, each of the 14 commodities is given a pre-determined fixed weight in the Index. The largest commodities are brent crude oil, heating oil, light crude oil, and RBOB gasoline, each with a fixed weight of 12.375%. The other commodities have various fixed weights in the Index. The Index employs a rule based approach when it rolls from one futures contract to another for each commodity in the Index. Rather than select the new future based on a predefined schedule (e.g. monthly) the Index rolls to that future (from the list of tradable futures which expire in the next thirteen months) which generates the maximum implied roll yield. The index aims to maximize the potential roll benefits in backwardated markets and minimize the loss from rolling down the curve in contago markets.
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