DBLCIX 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.

315.63
As of 09/11/2017


Index Information
Provider:     dbIQ (Deutsche Bank)
Category1:  Commodities
Category2:  Broad market
Category3:  Varied term futures
Country:      USA
Currency:    USD
Inception date:  12/02/1998
Backtesting data exists:   No
Weighting methodology:   Other
Factsheet:  Read PDF
Rebalanced:  Annually
Reconstituted:  Annually

As explained in what is an index, there is no universal system of giving an index a symbol. You can search for indexes using our index symbol lookup.

2021 © Stock Market MBA, Inc. Terms of use | Privacy policy