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DBIQ Optimum Yield Diversified Commodity Indices

Deutsche Bank Index Quant Group’s (DBIQ) (a function within Research, in turn, within the Chairman’s Office), which is responsible for launching, daily calculation, rebalancing and retiring of proprietary Deutsche Bank benchmarks. As at Q2 2016, DBIQ maintains approximately 3,500 benchmarks. These tradable proprietary benchmarks are referenced in benchmark-linked products such as total return swaps, certificates and index linked funds.

DBLCI index aims to represent the performance of the commodity market, it invests in six commodities; Sweet Light Crude Oil (WTI), Heating Oil, Aluminium, Gold, Wheat and Corn. The weights are fixed and have been designed to be broadly representative of the commodity markets.

The Deutsche Bank Liquid Commodities Indices Optimum Yield (DBLCI-OY) 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.

Key Features and Coverage on RIMES

For this data source, RIMES hosts approximately 130 commodities, 6 currencies (FX Forwards) and 60 indices, including DBLCI, DBIQ, and the Deutsche Bank Currency Portfolio Index.

Some of the data items available include:

  • Date of Portfolio
  • Description
  • Database Domain Code
  • Database Symbol (Source)
  • Portfolio Headline Index Symbol
  • Price Index
  • Database Symbol
  • Ticker
  • Units

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