DBLCI Optimum Yield (OY) Index

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 backwardated term structures or minimises the negative roll yield in contangoed markets from the list of tradeable futures that expire in the next 13 months.

The changing pattern in commodity term structures has important implications for commodity index investing. Historically the engine room of performance within a commodity index has derived from the positive roll return generated in the energy sector due to the tendency for forward curves in this part of the commodity complex to be downward sloping or backwardated. However, the appearance of contango in the crude oil term structure over the past three years has meant the benefits of a positive roll return have disappeared and have been replaced by a negative roll return.

• 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.
• Commodity weights are re-balanced annually.
• The DBLCI-OY is listed as an Exchange Traded Fund on the American Stock Exchange
• Total and excess returns data are available from December 2, 1988.

• Deutsche Bank Liquid Commodity Index (DBLCI)
• DBLCI Mean Reversion (MR) Index
• DBLCI Optimum Yield (OY) Broad Index
• DBLCI Optimum Yield (OY) Balanced Index

• Dow Jones–AIG Commodity Index
• Reuters-CRB Index
• Rogers International Commodity Index
• Standard & Poor's Commodity Index