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 capitalizes 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, Aluminum, 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 annualized 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.

For more information on this dataset contact:

Website: www.deutsche-bank.com.

For other information please contact the LIM support desk: support@lim.com.