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

Keiner will sie haben: Rohstoffe - in all ihren Facetten. Doch als Crash-Hedge erfüllt Gold nach wie vor eine wichtige Funktion. Dieser Deutsche-Bank ETF ist einer der wenigen rolloptimierten Produkte am Markt.

Kenneth Lamont 02.10.2014
Facebook Twitter LinkedIn

Rolle im Portfolio

The db x-trackers DBLCI OY Balanced UCITS ETF provides investors with broad-basket commodity exposure across the Energy, Precious Metals, Industrial Metals and Agriculture sectors.

Due to the volatile nature of commodities as an asset class, this ETF is probably best deployed as a satellite or small core-holding within a diversified portfolio.

Given its broad-basket exposure, this ETF offers the advantage of diversification within the commodity asset class. Utilising a capping mechanism which limits sector and commodity specific weights, the reference index will underweight certain commodity sectors such as energy, and overweight those like agriculture compared with an uncapped production based commodity index.

Broad-basket exposure to commodities has traditionally been considered an excellent source of portfolio diversification, exhibiting low correlations with bonds and stocks. In line with modern portfolio theory, adding this exposure to a stock and bond portfolio has historically produced lower volatility and increased risk-adjusted returns. That said, recent years have seen a notable increase in correlations with the major equity and bond markets, which peaked in the face of the market turmoil in 2008. Though their portfolio diversification benefits are increasingly questionable, commodity broad baskets may be utilised as a portfolio hedge against rises in unexpected inflation within Europe.

In an attempt to protect investors from unfavourable movements in the commodity futures curves, the 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 risk adjusted performance when compared against other broad-basket commodity indices.

Go to top

Fundamentale Analyse

In recent years, the diversification and inflation hedging benefits historically attributed to commodities have been called into question. Beginning in 2005, commodities’ correlations with traditional assets began to rise before peaking in the market turmoil of 2008. It remains to be seen whether correlations will drop back towards their long term averages, or whether we have entered a ‘new economic normal’ under which old relationships no longer hold. Conventional investment wisdom also dictates that commodities provide a protection against unexpected inflation. While this benefit has been substantiated academically in the United States, a recent study has shown that energy commodities provide the most effective hedge against unexpected inflation in Europe.

Energy commodities comprise over a third of the reference index. The price of Brent crude oil is considered to be the primary indicator of supply and demand in the global crude oil market and tends to be driven by global economic activity, OPEC actions, and geopolitical events. Demand for Brent is likely to remain strong, as it is a finite resource, has no immediate substitutes and is fundamental to the functioning of the global economy.

Long-term demand for agricultural commodities is driven by fundamental factors such as population growth and the production of bio-fuels. The World Bank estimates the global population will increase by approximately 2 billion from current levels to 8.9 billion by 2050, which ceteris paribus (all else held equal) would drive an increase in global demand for agricultural commodities. In addition to food and livestock feed, corn and soybeans are used in the production of biofuels.

Gold is the largest single holding in the reference index with 10 to 15% of the weighting and is therefore is a key performance driver. Demand for gold stems primarily from its use as a precious metal (e.g. jewellery) and as an investment. Gold has historically been relied upon as a store of value in times of uncertainty and maintains an almost mythic attraction for investors to this day. In the 10 years between 2001 and 2011, the price of gold rose more than six-fold, fuelled by a weak dollar, rising inflation and widespread economic uncertainty following the 2008 global financial crisis. Since 2011, prices have tumbled in the face of globally low inflation, rallying stock markets and a relatively strong dollar. If, as anticipated, these macroeconomic conditions persist, the short-term outlook for gold looks bleak.

Go to top


The Deutsche Bank Liquid Commodity Index Optimum Yield Balanced (DBLCI OY Balanced) is comprised of futures contracts traded on 14 commodities in the energy, precious metal, industrial metal, and agriculture sectors. 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. Given that it is a futures-based index, it has three unique sources of return: spot price return, roll yield, and collateral yield. 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. Collateral yield is generated via interest payments from U.S. Treasury bills, which are held as collateral backing the commodity futures positions. The index will rebalance annually in November to target sector weights. The index is rest annually to reflect the benchmark weights of; energy (35%) agriculture (30%), base metals (18%), precious metals (17%). Gold and WTI Crude are the largest single components of the index maintaining ~14% and ~9% respectively.

Go to top


The ETF employs synthetic replication to deliver the index’s return to investors. The fund engages in an unfunded swap with parent company, Deutsche Bank. Under an unfunded swap framework, the ETF uses investors’ cash to buy a basket of securities (ie. substitute basket) from Deutsche Bank while simultaneously entering into an OTC total return swap agreement to receive the performance of the benchmark index of reference (net of fees) in exchange for that of the substitute basket. The substitute basket is currently comprised of highly liquid US equities. In order to minimise counterparty risk, the swap is reset whenever its marked-to-market value reaches 5% of the fund’s net asset value. . If the swap counterparty exposure exceeds this level or a creation or redemption occurs then the swap is reset to zero. The swap exposure may also be negative, which is equivalent to an overcollateralization of the fund. A negative swap value means that the fund owes the counterparty money. Deutsche Bank does not engage in securities lending with those securities in the substitute basket.

Go to top


This fund charges a total expense ratio (TER) of 0.55% for this ETF, which is comparatively high for broad-basket commodity ETPs. It should be remembered that there are additional, investor-specific costs associated with trading the ETF, such as bid/offer spreads and brokerage commissions. As this fund uses synthetic replication there may be additional swap-costs which must be borne by the investor.

Go to top


In Europe, investors have no shortage of choice when it comes to broad-basket commodity futures ETPs. The key differentiating factor amongst them will be index construction, meaning different broad-basket ETPs will not necessarily perform similarly. In considering differences of index construction, an investor will want to focus on an indices sector exposure and rolling methodology.

In Asia, this ETF is one of the few exchange-traded products (ETPs) that tracks a commodity index. Other ETPs that offer broad commodity exposure include db x-trackers db Commodity Booster DJ-UBSCI UCITS ETF (L5F, listed in Singapore and also in various markets in Europe, TER of 0.95%) and Lyxor ETF Commodities Thomson Reuters/Jefferies CRB TR (A0W, listed in Singapore; also in various European markets, TER of 0.35%), which are synthetic ETFs. There is also an unsecured exchange-traded note, the iPath DJ-UBS Commodity Index TR ETN (J1QZ, listed in Singapore; DJP, listed in the US, TER of 0.75%) which tracks the performance of the futures contracts of 20 commodities.

Go to top

Die in diesem Artikel enthaltenen Informationen dienen ausschließlich zu Bildungs- und Informationszwecken. Sie sind weder als Aufforderung noch als Anreiz zum Kauf oder Verkauf eines Wertpapiers oder Finanzinstruments zu verstehen. Die in diesem Artikel enthaltenen Informationen sollten nicht als alleinige Quelle für Anlageentscheidungen verwendet werden.

Facebook Twitter LinkedIn

Über den Autor

Kenneth Lamont  ist Fondsanalyst bei Morningstar.