Analyse: db x-trackers DBLCI - OY Balanced UCITS ETF

Dieser roll-optmierte Rohstoff-ETF setzt auf einen breit diversifizierten Rohstoff-Korb. Trotz steigender Korrelation zu Aktien habe Rohstoffe ihren Diversifikationsvorteil nicht eingebüßt.

Lee Davidson 01.03.2013

Rolle im Portfolio

The db x-trackers DBLCI OY Balanced ETF provides investors with broad-basket commodity exposure across the most economically significant commodity sectors. In an attempt to address the dynamic nature of commodity futures curves, this fund’s reference index employs an “optimum yield” methodology that seeks to maximise the implied roll yield when moving from one futures contract to another. The optimum yield methodology, on a historical basis, has generated superior performance when compared against other broad-basket commodity indices.

Historically, broad-basket commodity futures exposure has been an excellent source of portfolio diversification, demonstrating low correlations with traditional asset classes, like equities and fixed income. These low correlations have traditionally reduced portfolio volatility and increased risk-adjusted returns. In recent years, however, investors have seen these correlations begin to rise with respect to equities. Despite this rise in correlation, commodity futures can still be utilised as a hedge against unexpected inflation and furthermore, unexpected inflation has historically driven positive returns for the broad commodity space. To capitalise on this asset class properly, an investor may, therefore, consider a broad-basket commodity futures allocation to hedge against inflation.

Fundamentale Analyse

Broad-basket commodity exposure has traditionally been sought out by investors for its diversification and inflation-hedging benefits. Historically, commodities have exhibited low to negative correlations with equities and fixed income securities. In recent years, however, commodities’ correlations with equities have been rising. Increased correlation implies that the asset class’s touted diversification benefits may not be applicable anymore, and that a portfolio’s risk-adjusted returns may not be enhanced by a commodity allocation.

Since 2005, the trailing 5 year average correlation between the S&P GSCI index and the MSCI World and STOXX Europe 600 has been trending higher, from -10% (2002-2007) to 70% (2007-2012) across both indices. Over this timeframe, rising correlations to equities have pervaded the majority of broad commodity indices. Over this timeframe, rising correlations to equities have pervaded the majority of broad commodity indices. While this increase in correlation may seem surprising, this phenomenon has actually been demonstrated in other previously hard-to-reach asset classes, like REITS, and has been labeled trading commonality by James Xiong of Ibbotson Associates. Increased investor interest and capital inflows into historically inaccessible or illiquid markets--such as REITs or commodities--have in part led to these instruments’ progressively higher correlation with equity markets.

But commodities have not lost all of their investment appeal. The case remains that commodities have maintained low to negative correlations with fixed income securities and have continued to demonstrate their value as an inflation hedge. In fact, unexpected inflation has reliably accompanied positive broad basket commodity index returns since 1970. Regressing the returns of the S&P GSCI index against unexpected inflation (defined as year over year changes in inflation rates and measured by the US CPI) yields a statistically significant result, indicating that unexpected inflation explains a portion of the performance of broad commodity indices. This property makes commodities a valuable tool for those seeking to hedge against inflation.

Due to the high carrying costs associated with holding many physical commodities, most broad-basket commodity ETFs track futures-based indices to gain commodity exposure. Since this ETF tracks a futures-based index, it has three unique sources of return: spot price return, collateral yield, and roll yield. Collateral yield is generated via interest payments from U.S. Treasury bills, which are typically held as collateral backing the commodity futures’ positions. Roll yield is generated when selling expiring futures contracts and purchasing the next contract. Depending on the price of the next futures contract, the index could either experience positive roll yield when the relevant futures curve is in backwardation or could experience negative roll yield in contango markets.


The db x-trackers DBLCI OY Balanced ETF tracks the Deutsche Bank Liquid Commodity Index Optimum Yield Balanced (DBLCI OY Balanced), which offers broad commodity futures exposure to the energy, precious metal, industrial metal, and agriculture sectors. The index will rebalance annually in November to target sector weights: energy (37%), precious metals (16%), industrial metals (19%), and agriculture (28%). In contrast to other broad commodity index trackers, the db x-trackers DBLCI OY Balanced ETF tracks an index that attempts to address the dynamic nature of commodity futures curves by employing an “optimum yield” methodology that seeks to maximise the implied roll yield when moving from one futures contract to another. The optimum yield methodology has generated superior performance historically when compared against other broad-basket commodity indices. Over the past ten years, the annualised return for the DBLCI OY Balanced Index has been 5.2%. This compares favourably to the Reuters/Jeffries CRB (~1.9%), S&P GSCI (~3.6%), and DJ UBS Commodity indices (~0.5%). Typically greater returns come at the expense of higher volatility, but the DBLCI OY Balanced Index has a standard deviation of 20.2% over the past ten years, which is lower or comparable to the Reuters/Jeffries CRB (~18.7%), S&P GSCI (~25.0%), and DJ UBS Commodity indices (~18.3%). Therefore, on a historical basis, the DBLCI OY not only generated superior absolute returns but also superior risk-adjusted returns.


The db x-trackers DBLCI OY Balanced ETF employs synthetic replication to deliver the index’s return to investors. The fund engages in a funded swap with parent company, Deutsche Bank (Aa3, A+, AA). The fund transfers cash from investors to Deutsche Bank which in turn posts collateral in a segregated account in Deutsche Bank’s name and pledged in favor of the fund. For commodity ETFs, db x-trackers accepts a mix of sovereign and investment grade bonds and highly liquid blue-chip stocks from OECD countries as collateral. Haircuts are applied to the securities posted as collateral and as such collateral levels are maintained between 107.5% and 120% of the fund’s NAV at the end of each business day. As of this writing, collateral levels hover around 108.5% of NAV. The collateral basket is held in a ring-fenced account at State Street Bank Luxembourg and reviewed daily by State Street Global Advisors. While the funded swap structure does not imply direct fund ownership of the collateral basket, db x-trackers’ ETFs are entitled by Luxembourg law to enforce the pledge and sell collateral assets without prior notice to Deutsche Bank.


db x-trackers charges a total expense ratio (TER) of 0.55% for this ETF, which is on the high end of the range for broad-basket commodity ETPs.


Investors have an abundance of choices when it comes to broad-basket commodity futures ETPs. The key differentiating factor amongst them will be index construction. Due to differences in index construction, the variety of broad-basket ETPs will not necessarily perform similarly. In considering differences of index construction, an investor will want to focus on these indices sector exposure and rolling methodology. Historically, more evenly weighted (as measured by sector concentration) indices and those utilizing “intelligent” rolling practices have generated superior performance and lower volatility relative to more concentrated indices that use more standard rolling practices.

ComStage ETF Commerzbank Commodity ex-Agriculture EW tracks an equally weighted broad-basket commodity index and charges a TER of 0.30%. Due to the equal-weight methodology, the ComStage ETF has experienced significantly lower volatility compared to its peer group and has had higher correlation across a breadth of commodity sectors. In contrast to its energy-centric cohorts, this ETF will be less susceptible to the movements in the energy sector and more sensitive to the precious metals, industrial metals, and softs sectors.


Über den Autor

Lee Davidson  is an ETF analyst with Morningstar Europe.