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DBLCI Optimum Yield Index
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. Methodology The rationale of the Optimum Yield technology was to address the dynamic nature of commodity forward curves. Unstable forward curves has meant the t ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Exchange-traded Fund
An exchange-traded fund (ETF) is a type of investment fund and exchange-traded product, i.e. they are traded on stock exchanges. ETFs are similar in many ways to mutual funds, except that ETFs are bought and sold from other owners throughout the day on stock exchanges whereas mutual funds are bought and sold from the issuer based on their price at day's end. An ETF holds assets such as stocks, bonds, currencies, futures contracts, and/or commodities such as gold bars, and generally operates with an arbitrage mechanism designed to keep it trading close to its net asset value, although deviations can occasionally occur. Most ETFs are index funds: that is, they hold the same securities in the same proportions as a certain stock market index or bond market index. The most popular ETFs in the U.S. replicate the S&P 500, the total market index, the NASDAQ-100 index, the price of gold, the "growth" stocks in the Russell 1000 Index, or the index of the largest technology companies. ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
American Stock Exchange
NYSE American, formerly known as the American Stock Exchange (AMEX), and more recently as NYSE MKT, is an American stock exchange situated in New York City. AMEX was previously a mutual organization, owned by its members. Until 1953, it was known as the New York Curb Exchange. NYSE Euronext acquired AMEX on October 1, 2008, with AMEX integrated with the Alternext European small-cap exchange and renamed the NYSE Alternext U.S. In March 2009, NYSE Alternext U.S. was changed to NYSE Amex Equities. On May 10, 2012, NYSE Amex Equities changed its name to NYSE MKT LLC. Following the SEC approval of competing stock exchange IEX in 2016, NYSE MKT rebranded as NYSE American and introduced a 350-microsecond delay in trading, referred to as a "speed bump", which is also present on the IEX. History The Curb market The exchange grew out of the loosely organized curb market of curbstone brokers on Broad Street in Manhattan. Efforts to organize and standardize the market started early in ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Roll Yield
The roll yield is the difference between the profit or loss of a futures contract and the change in the spot price of the underlying asset of that futures contract. Unlike fixed income or dividend yields, a roll yield does not provide a cash payment, and may not be counted as a profit in certain cases if it accounts for the underlying asset's cost-of-carry. Nonetheless, the roll yield is often characterized as a return that a futures investor capture in addition to the price change of the underlying asset of a futures contract. Source of roll yield The Theory of storage explains roll yield as a combination of storage costs, convenience yield, and asset yield, or a cost-of-carry in aggregate. In a theoretical efficient market equilibrium with no barriers to arbitrage, an investment strategy of investing in a futures contract should be no more or less profitable than an investment strategy of holding the underlying asset and paying its cost-of-carry. If one of these strategies is rel ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Backwardation
Normal backwardation, also sometimes called backwardation, is the market condition where the price of a commodity's forward or futures contract is trading below the ''expected'' spot price at contract maturity. The resulting futures or forward curve would ''typically'' be downward sloping (i.e. "inverted"), since contracts for further dates would typically trade at even lower prices. In practice, the expected future spot price is unknown, and the term "backwardation" may refer to "positive basis", which occurs when the current spot price exceeds the price of the future. The opposite market condition to normal backwardation is known as contango. Contango refers to "negative basis" where the future price is trading above the expected spot price. Note: In industry parlance backwardation may refer to the situation that futures prices are below the ''current'' spot price. Backwardation occurs when the difference between the forward price and the spot price is less than the cost of ca ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Contango
Contango is a situation where the futures price (or forward price) of a commodity is higher than the ''expected'' spot price of the contract at maturity. In a contango situation, arbitrageurs or speculators are "willing to pay more owfor a commodity o be receivedat some point in the future than the actual expected price of the commodity t that future point This may be due to people's desire to pay a premium to have the commodity in the future rather than paying the costs of storage and carry costs of buying the commodity today." On the other side of the trade, hedgers (commodity producers and commodity holders) are happy to sell futures contracts and accept the higher-than-expected returns. A contango market is also known as a normal market, or carrying-cost market. The opposite market condition to contango is known as backwardation. "A market is 'in backwardation' when the futures price is below the ''expected'' spot price for a particular commodity. This is favorable for inv ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Deutsche Bank Liquid Commodity Index
The Deutsche Bank Liquid Commodity Index (DBLCI) was launched in February 2003. It tracks the performance of six commodities in the energy, precious metals, industrial metals and grain sectors. The DBLCI has constant weightings for each of the six commodities and the index is rebalanced annually in the first week of November. Consequently, the weights fluctuate during the year according to the price movement of the underlying commodity futures. Rolling methodology Energy contracts are rolled monthly, all other commodity futures contracts are rolled annually. This rolling procedure was adopted given the historical tendency for energy curves to be in backwardation and metal and agricultural forward curves to be in contango. Futures contracts rolling takes place between the second and sixth business day of the month. The DBLCI is quoted in both total returns and excess returns terms in US dollars as well as a variety of major currencies. Characteristics * Six commodities: WTI cr ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
DBLCI Mean Reversion Index
{{unreferenced, date=June 2008 The DBLCI Mean Reversion Index is a commodity index published by the Deutsche Bank. Launched at the same time as the Deutsche Bank Liquid Commodity Index (DBLCI) in February 2003, the DBLCI-Mean Reversion has the same underlying assets. The listed instruments are also rolled using the same mechanism as the DBLCI, namely energy contracts are rolled monthly and the metal and grain contracts are rolled annually. This occurs between the second and sixth business day of the month. The DBLCI-MR is also quoted in both total returns and excess returns terms in US dollars as well as EUR, JPY and GBP. Rolling methodology In contrast to the DBLCI, the DBLCI-MR undertakes no annual re-balancing. Instead, the individual commodity weights are reset every time any one of the commodities undergoes a 'trigger event'. This happens when the one-year moving average of the commodity price is a whole multiple of 5% away from the five-year moving average. When this happen ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
DBLCI Optimum Yield Balanced Index
{{Context, date=November 2022 The DBLCI-OY Balanced has the same underlying 14 commodities as the DBLCI-OY Broad, but, the energy sector weight is reduced from 55% of the broad index to 35%. The DBLCI-OY Balanced is designed to be UCITS III compliant, that is the weight of no single commodity or strongly correlated securities exceed 35%. The DBLCI-OY Balanced is listed as an ETF on the Deutsche Börse. In terms of sector weights, the DBLCI-OY Balanced is broadly similar to the S&P GSCI Light Energy Index and the Dow Jones-AIG commodity index although the DBLCI-OY Broad has no exposure to the livestock sector, but, instead has a higher allocation to precious metals. Characteristics * Consists of 14 commodities drawn from the energy, precious metals, industrial metals and agriculture sectors. * Index rolling mechanism is based on DB’s Optimum Yield technology. * UCITS III compliant. * Maximum sector allocation is limited to 35%. See also * Deutsche Bank Liquid Commodity Inde ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Dow Jones–AIG Commodity Index
The Bloomberg Commodity Index (BCOM) is a broadly diversified commodity price index distributed by Bloomberg Index Services Limited. The index was originally launched in 1998 as the Dow Jones-AIG Commodity Index (DJ-AIGCI) and renamed to Dow Jones-UBS Commodity Index (DJ-UBSCI) in 2009, when UBS acquired the index from AIG. On July 1, 2014, the index was rebranded under its current name. The BCOM tracks prices of futures contracts on physical commodities on the commodity markets. The index is designed to minimize concentration in any one commodity or sector. It currently has 23 commodity futures in six sectors. No one commodity can compose more than 15% of the index, no one commodity and its derived commodities can compose more than 25% of the index, and no sector can represent more than 33% of the index (as of the annual weightings of the components). The weightings for each commodity included in BCOM are calculated in accordance with rules account for liquidity and production ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Reuters-CRB Index
The Refinitiv/CoreCommodity CRB Index (RF/CC CRB) is a commodity futures price index. It was first calculated by Commodity Research Bureau, Inc. in 1957 and made its inaugural appearance in the 1958 CRB Commodity Year Book. The Index was originally composed of 28 commodities, 26 of which were traded on exchanges in the U.S. and Canada, and two cash markets. It included barley and flaxseed from the Winnipeg exchange; cocoa, coffee "B", copper, cotton, cottonseed oil, grease wool, hides, lead, potatoes, rubber, sugar #4, sugar #6, wool tops and zinc from New York exchanges; and corn, eggs, lard, oats, onions, rye, soybeans, soybean meal, soybean oil and wheat from Chicago exchanges. In addition to those 26 markets, the Index also included the spot New Orleans cotton and Minneapolis wheat markets which were added to balance some commodities repeated in the Index as by-products of other commodities. The original base period was 1947-49, the same as the Bureau of Labor Statistics S ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Rogers International Commodity Index
The Rogers International Commodity Index (RICI) is a broad index of commodity futures designed by Jim Rogers in 1996/1997. The first fund tracking the index began on July 31, 1998. Overview The index was designed to meet the need for consistent investing in commodities through a broad-based international vehicle. The index tracks 38 commodity In economics, a commodity is an economic good, usually a resource, that has full or substantial fungibility: that is, the market treats instances of the good as equivalent or nearly so with no regard to who produced them. The price of a comm ... futures contracts from 13 international exchanges. The list of commodities is subject to change by the RICI Committee. In general, a commodity will be considered fit to be included in the index if it plays a significant role in worldwide (developed and developing countries) consumption. If one particular commodity is being traded on more than one international exchange, the most liquid contra ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Standard & Poor's Commodity Index
The Standard & Poor's Commodity Index (SPCI) is a commodity price index that measures the price changes in a cross section of agricultural and industrial commodities with actively traded U.S. futures contracts, stretching across five sectors - Energy, Metals, Grains, Livestock, and Fibers & Softs. Only commodities that are consumed for industrial use are included in the index. Weights in the index are determined by the dollar value of Commercial Open Interest (COI) for each component commodity, and rebalanced annually each February. Effective January 31, 2008 Standard & Poor's discontinued calculation and publication of the S&P Commodity Index Series. Components and weightings (as of 2006) *Natural Gas (17.66%) *Unleaded Gas (12.16%) *Heating Oil (12.13%) *Crude Oil (11.41%) *Wheat (5.15%) *Live Cattle (4.87%) *Corn (4.48%) *Coffee (3.88%) *Soybeans (3.84%) *Sugar (3.80%) *Silver (3.67%) *Copper (3.39%) *Cotton (3.22%) *Soybean Oil (2.98%) *Cocoa (2.79%) *Soybean Meal (2.57%) *Lea ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
