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Okumaya devam et...
← Previous revision | Revision as of 11:54, 30 April 2024 |
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| {{Unreferenced|date=June 2019|bot=noref (GreenC bot)}} | {{Unreferenced|date=June 2019|bot=noref (GreenC bot)}} |
| In May 2006, Deutsche Bank launched a new set of commodity index products called the ''Deutsche Bank Liquid Commodities Indices Optimum Yield'', or ''DBLCI-OY'''. The DBLCI-OY indices are available for 24 commodities drawn from the energy, precious metals, industrial metals, agricultural and livestock sectors. A DBLCI-OY index based on the DBLCI benchmark weights is also available and the optimum yield technology has also been applied to the energy, precious metals, industrial metals and agricultural sector indices. Like the DBLCI, the DBLCI-OY is available in USD, EUR, GBP and JPY on a hedged and un-hedge basis. The DBLCI-OY is rebalanced on the fifth index business day of November when each commodity is adjusted to its base weight. The DBLCI-OY is also listed as an [[exchange-traded fund]] (ETF) on the [[American Stock Exchange]]. | '''DBLCI Optimum Yield Index''' ('''DBLCI-OY''') is a [[commodity price index]] operated by German [[Deutsche Bank]]. It is similar to the [[Deutsche Bank Liquid Commodity Index]] but has more commodities from more sectors. The DBLCI-OY indices are available for 24 commodities drawn from the energy, precious metals, industrial metals, agricultural and livestock sectors. A DBLCI-OY index based on the DBLCI benchmark weights is also available and the optimum yield technology has also been applied to the energy, precious metals, industrial metals and agricultural sector indices. |
| Like the DBLCI, the DBLCI-OY is available in USD, EUR, GBP and JPY on a hedged and un-hedge basis. The DBLCI-OY is rebalanced on the fifth index business day of November when each commodity is adjusted to its base weight. The DBLCI-OY is also listed as an [[exchange-traded fund]] (ETF) on the [[American Stock Exchange]]. | |
 | == Methodology == |
| ==History== | |
| In May 2006, Deutsche Bank launched a new set of commodity index products called the ''Deutsche Bank Liquid Commodities Indices Optimum Yield'', or ''DBLCI-OY''. | |
| == Methodology == |
| The rationale of the Optimum Yield technology was to address the dynamic nature of commodity forward curves. Unstable forward curves has meant the traditional approach employed by commodity indices, namely rolling futures contracts on a predefined scheduled (e.g. monthly) has, in our view, become an inferior strategy for passive commodity index investing. The DBLCI-OY indices are designed to select the futures contacts that either maximises the positive [[roll yield]] in [[Backwardation|backwardated]] term structures or minimises the negative roll yield in [[contango]]ed markets from the list of tradeable futures that expire in the next 13 months. | The rationale of the Optimum Yield technology was to address the dynamic nature of commodity forward curves. Unstable forward curves has meant the traditional approach employed by commodity indices, namely rolling futures contracts on a predefined scheduled (e.g. monthly) has, in our view, become an inferior strategy for passive commodity index investing. The DBLCI-OY indices are designed to select the futures contacts that either maximises the positive [[roll yield]] in [[Backwardation|backwardated]] term structures or minimises the negative roll yield in [[contango]]ed markets from the list of tradeable futures that expire in the next 13 months. |
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| == Characteristics == | == Characteristics == |
| * Six commodities: WTI crude oil, heating oil, aluminium, gold, corn and wheat. | * Six commodities: WTI crude oil, heating oil, aluminium, gold, corn and wheat. |
| * Index rolls to the futures contract that generates the maximum implied roll return from the list of tradable futures that expire in the next 14 months. | * Index rolls to the futures contract that generates the maximum implied roll return from the list of tradable futures that expire in the next 14 months. |
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| *[[Rogers International Commodity Index]] | *[[Rogers International Commodity Index]] |
| *[[Standard & Poor's Commodity Index]] | *[[Standard & Poor's Commodity Index]] |
| == References == | |
| {{reflist}} | |
| [[Category:Commodity price indices]] | [[Category:Commodity price indices]] |
Okumaya devam et...