Data Notification
Data Additions to Core Offerings

Notification - May 2004 - LIM will begin distributing Deutsche Bank Liquid Commodity Indices and NYBOT Ethanol futures. These two new datasets will be included in the MIM Core Database and distributed to all clients as of May 15, 2004.

Deutsche Bank Liquid Commodity Indices Addition to Core Offerings

Data Description:
Deutsche Bank provides the Deutsche Bank Liquid Commodity Index (DBLCI) and the Deutsche Bank Liquid Commodity Index - Mean Reversion (DBLCI-MR) - two new indices which will track the performance of investments in a small set of liquid commodities.

Commodities tend to trade within wide but defined ranges due to the simple economic principles of supply and demand. As prices rise, supply is increased through new production capacity, the use of alternative sources and circumventing quota systems. At the same time there is a reduction in demand. The opposite forces come into play when prices fall below their long term averages. The net effect is to keep commodity prices bound around their long run average price. The DBLCI-MR capitalises on this recurring characteristic of commodities and applies these in a rule-based methodology.

The DBLCI is the base index and is composed of six commodities: Sweet Light Crude, Heating Oil, Aluminium, Gold, Wheat and Corn. Each commodity has a constant weighting, which reflects world production and inventory so that the index provides a diverse and balanced commodity exposure.

The DBLCI-MR explicitly uses variable weights for its constituent assets to capture the mean-reverting properties of commodities. The weights depend on price deviations from long term averages. The result is extra returns from holding a diverse portfolio of assets while lowering volatility of returns.

Both indices show good return performances and a low correlation to traditional assets which makes them good diversification assets. Back-tested returns outstrip those of rival indices - the average annualised return from 1988 to 2002 from the DBLCI has been 10.7%, while the DBLCI-MR generated returns of 11.9%.

Both indices are quoted in total return terms representing returns both on commodities and the cash sum invested. The indices are calculated in USD and hedged returns are also calculated in a variety of major currencies.

Deutsche Bank Website: www.deutsche-bank.com


Data Location and Structure in the MIM Database:
The Deutsche Bank Commodity Indices will be located at the following path in your MIM:
  TopRelation:Indices:DeutscheBank

The symbols are listed in the MIM as follows:

  • DBL.CIC - Deutsche Bank Liquid Commodity Index - Corn Index Excess Return
  • DBL.CIC.TR - Deutsche Bank Liquid Commodity Index - Corn Index Total Return
  • DBL.CICL - Deutsche Bank Liquid Commodity Index - Crude Oil Index Excess Return
  • DBL.CICL.TR - Deutsche Bank Liquid Commodity Index - Crude Oil Index Total Return
  • DBL.CIGC - Deutsche Bank Liquid Commodity Index - Gold Index Excess Return
  • DBL.CIGC.TR - Deutsche Bank Liquid Commodity Index - Gold Index Total Return
  • DBL.CIHO - Deutsche Bank Liquid Commodity Index - Heating Oil Index Excess Return
  • DBL.CIHO.TR - Deutsche Bank Liquid Commodity Index - Heating Oil Index Total Return
  • DBL.CIMAL - Deutsche Bank Liquid Commodity Index - Aluminum Index Excess Return
  • DBL.CIMAL.TR - Deutsche Bank Liquid Commodity Index - Aluminum Index Total Return
  • DBL.CIMR - Deutsche Bank Liquid Commodity Index - Mean Reversion Excess Return
  • DBL.CIMR.TR - Deutsche Bank Liquid Commodity Index - Mean Reversion Total Return
  • DBL.CIW - Deutsche Bank Liquid Commodity Index - Wheat Index Excess Return
  • DBL.CIW.TR - Deutsche Bank Liquid Commodity Index - Wheat Index Total Return
  • DBL.CL - Deutsche Bank Liquid Commodity Index Excess Return
  • DBL.CL.TR - Deutsche Bank Liquid Commodity Index Total Return

 

NYBOT Ethanol Data Addition to Core Offerings

Data Description:
May 7, 2004 - the opening market day for NYBOT Ethanol. This dataset is supplied to LIM by MJK and Associates.

Ethanol (ethyl alcohol) is produced by fermenting and distilling starch crops that have been converted into simple sugars. Regulatory mandates, environmental pressures and the globalization of trade have all combined to produce a remarkable set of circumstances and opportunities in the ethanol sector of the agricultural and energy industries. Ethanol is now poised for a major expansion of production and consumption. This has created the traditional pricing uncertainty in a global commodity sector that makes a futures market necessary. The New York Board of Trade has responded with the creation of a world ethanol futures and options market that opened May 7, 2004.

Historically, Ethanol (ethyl alcohol) has taken three major forms: beverage, industrial product and fuel. Today, the focus is on ethanol as an alternative renewable fuel source most commonly used to improve the emissions quality of gasoline. World ethanol production comes primarily from sugar cane and grains. Domestically, most ethanol is made from corn/grains while globally over 60% of the supply of ethanol is derived from sugar. Brazil, as the world's largest sugar producer, and other sugar-producing nations are encouraging ethanol production as an alternative use for their food products.

For more information on this new market, call NYBOT at 1-800-HEDGEIT, 212-748-4098 or 212-748-4092 or email: phemsworth@nybot.com. If you would like information on the New York Board of Trade, visit: www.nybot.com. In addition, see the contract specifications for the NYBOT Ethanol data at: www.nybot.com/ethanol/contractspecifications.htm.


Data Location and Structure in the MIM Database:
LIM coverage initially consists of Ethanol futures for all trading contracts under the MIM symbol ETHANOL.NYBOT in the path:
  TopRelation:Energy:Futures





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