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Invesco DB Commodity Index Tracking Fund — Regulatory Filings 2010
Sep 30, 2010
31504_prs_2010-10-01_0be7d5dc-1dd7-41b9-99a3-375a64b179db.zip
Regulatory Filings
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424B3 1 d424b3.htm PROSPECTUS SUPPLEMENT Prospectus Supplement
Filed Pursuant to Rule 424(b)(3)
Registration No. 333-158733
333-158733-01
POWERSHARES DB COMMODITY INDEX TRACKING FUND
SUPPLEMENT DATED OCTOBER 1, 2010 TO
PROSPECTUS DATED JANUARY 4, 2010
This Supplement updates certain information contained in the Prospectus dated January 4, 2010, as supplemented from time-to-time (the Prospectus), of PowerShares DB Commodity Index Tracking Fund (the Fund) and DB Commodity Index Tracking Master Fund. All capitalized terms used in this Supplement have the same meaning as in the Prospectus.
Prospective investors in the Fund should review carefully the contents of both this Supplement and the Prospectus.
All information in the Prospectus is restated pursuant to this Supplement, except as updated hereby.
Neither the Securities and Exchange Commission nor any state securities commission
has approved or disapproved of these securities or determined if this Prospectus is
truthful or complete. Any representation to the contrary is a criminal offense.
THE COMMODITY FUTURES TRADING COMMISSION HAS NOT PASSED UPON THE MERITS
OF PARTICIPATING IN THIS POOL NOR HAS THE COMMISSION PASSED UPON THE
ADEQUACY OR ACCURACY OF THIS DISCLOSURE DOCUMENT.
DB COMMODITY SERVICES LLC
Managing Owner
I. Risk Factor (12) on page 21 of the Prospectus is hereby deleted and replaced, in its entirety, with the following:
(12) Price Volatility May Possibly Cause the Total Loss of Your Investment.
Futures contracts have a high degree of price variability and are subject to occasional rapid and substantial changes. Consequently, you could lose all or substantially all of your investment in the Fund.
The following table reflects various measures of volatility* of the Index as calculated on an excess return basis:
| Volatility Type | Volatility |
|---|---|
| Daily volatility over full history | 16.30% |
| Average rolling 3 month daily volatility | 15.39% |
| Monthly return volatility | 19.13% |
| Average annual volatility | 15.34% |
The following table reflects the daily volatility on an annual basis of the Index:
| Year | Daily Volatility |
|---|---|
| 1997** | 8.07% |
| 1998 | 11.88% |
| 1999 | 12.78% |
| 2000 | 14.74% |
| 2001 | 13.40% |
| 2002 | 12.37% |
| 2003 | 13.74% |
| 2004 | 15.93% |
| 2005 | 14.71% |
| 2006 | 16.30% |
| 2007 | 13.96% |
| 2008 | 28.39% |
| 2009 | 22.08% |
| 2010*** | 16.42% |
*Volatility, for these purposes, means the following:
Daily Volatility : The relative rate at which the price of the Index moves up and down, found by calculating the annualized standard deviation of the daily change in price.
Monthly Return Volatility : The relative rate at which the price of the Index moves up and down, found by calculating the annualized standard deviation of the monthly change in price.
Average Annual Volatility : The average of yearly volatilities for a given sample period. The yearly volatility is the relative rate at which the price of the Index moves up and down, found by calculating the annualized standard deviation of the daily change in price for each business day in the given year.
** As of September 3, 1997.
*** As of June 30, 2010.
Past Index results are not necessarily indicative of future changes, positive or negative, in the Index levels.
-2-
II. Page 29 of the Prospectus is hereby deleted and replaced, in its entirety, with the following:
PERFORMANCE OF POWERSHARES DB COMMODITY INDEX TRACKING FUND (TICKER : DBC)
Name of Pool: PowerShares DB Commodity Index Tracking Fund
Type of Pool: Public, Exchange-Listed Commodity Pool
Inception of Trading: February 2006
Aggregate Gross Capital Subscriptions as of June 30, 2010 1 : $6,259,318,286
Net Asset Value as of June 30, 2010 2 : $4,310,326,827
Net Asset Value per Share as of June 30, 2010 3 : $21.68
Worst Monthly Drawdown 4 : (23.77)% October 2008
Worst Peak-to-Valley Drawdown: (57.34)% June 2008 February 2009 5
| Monthly Rate of Return | 2010(%) | 2009(%) | 2008(%) | 2007(%) | 2006(%) |
|---|---|---|---|---|---|
| January | (7.64) | (5.18) | 3.24 | (2.36) | |
| February | 3.61 | (5.61) | 11.21 | 5.30 | (4.66) |
| March | 0.03 | 5.32 | (0.61) | 0.67 | 3.63 |
| April | 3.61 | (1.54) | 4.46 | 0.55 | 6.51 |
| May | (10.35) | 16.50 | 8.32 | (0.51) | (0.42) |
| June | (1.09) | (3.02) | 10.64 | 1.22 | (0.29) |
| July | 2.58 | (10.61) | 1.94 | 1.65 | |
| August | (3.39) | (5.97) | (2.21) | (2.71) | |
| September | (0.31) | (11.01) | 8.58 | (4.54) | |
| October | 6.17 | (23.77) | 8.58 | 1.21 | |
| November | 4.65 | (10.38) | 0.26 | 6.40 | |
| December | (0.03) | (6.71) 6 | 3.76 7 | (4.70) 8 | |
| Compound Rate | |||||
| of Return 9 | (12.05)% (6 months) | 15.08% | (31.91)% | 28.15% | 1.23% (11 months) |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Footnotes to Performance Information
-
Aggregate Gross Capital Subscriptions is the aggregate of all amounts ever contributed to the pool, including investors who subsequently redeemed their investments.
-
Net Asset Value is the net asset value of the pool as of June 30, 2010.
-
Net Asset Value per Share is the Net Asset Value of the pool divided by the total number of Shares outstanding as of June 30, 2010.
-
Worst Monthly Drawdown is the largest single month loss sustained since inception of trading. Drawdown as used in this section of the Prospectus means losses experienced by the relevant pool over the specified period and is calculated on a rate of return basis, i.e., dividing net performance by beginning equity. Drawdown is measured on the basis of monthly returns only, and does not reflect intra-month figures. Month is the month of the Worst Monthly Drawdown.
-
The Worst Peak-to-Valley Drawdown from June 2008 February 2009 includes the effect of the $0.34 per Share distribution made to Shareholders of record as of December 17, 2008. Worst Peak-to-Valley Drawdown is the largest percentage decline in the Net Asset Value per Share over the history of the pool. This need not be a continuous decline, but can be a series of positive and negative returns where the negative returns are larger than the positive returns. Worst Peak-to-Valley Drawdown represents the greatest percentage decline from any month-end Net Asset Value per Share that occurs without such month-end Net Asset Value per Share being equaled or exceeded as of a subsequent month-end. For example, if the Net Asset Value per Share of a particular pool declined by $1 in each of January and February, increased by $1 in March and declined again by $2 in April, a peak-to-valley drawdown analysis conducted as of the end of April would consider that drawdown to be still continuing and to be $3 in amount, whereas if the Net Asset Value per Share had increased by $2 in March, the January-February drawdown would have ended as of the end of February at the $2 level.
-
The December 2008 return of (6.71)% includes the $0.34 per Share distribution made to Shareholders of record as of December 17, 2008. Prior to the December 30, 2008 distribution, the pools return for December 2008 was (5.23)%.
-
The December 2007 return of 3.76% includes the $0.76 per Share distribution made to Shareholders of record as of December 19, 2007. Prior to the December 28, 2007 distribution, the pools return for December 2007 was 6.23%.
-
The December 2006 return of (4.70)% includes the $0.61 per Share distribution made to Shareholders of record as of December 20, 2006. Prior to the December 29, 2006 distribution, the pools return for December 2006 was (2.33)%.
-
Compound Rate of Return is based on an initial net asset value per share of $24.25 and is calculated by multiplying on a compound basis each of the monthly rates of return set forth in the chart above and not by adding or averaging such monthly rates of return. For periods of less than one year, the results are year-to-date.
- As of October 19, 2009, the Fund commenced tracking the Deutsche Bank Liquid Commodity IndexOptimum Yield Diversified Excess Return. Prior to October 19, 2009, the Fund tracked the Deutsche Bank Liquid Commodity IndexOptimum Yield Excess Return.
-3-
III. Pages 35-46 of the Prospectus are hereby deleted and replaced, in their entirety, with the following:
CLOSING LEVELS TABLE
DEUTSCHE BANK LIQUID COMMODITY INDEX OPTIMUM YIELD DIVERSIFIED EXCESS RETURN
| | CLOSING LEVEL — High 1 | Low 2 | CHANGES — Annual Index Changes 3 | Index Changes Since Inception 4 | | --- | --- | --- | --- | --- | | 1997 5 | 103.35 | 92.60 | -7.40 % | -7.40 % | | 1998 | 93.07 | 63.74 | -30.22 % | -35.38 % | | 1999 | 88.04 | 60.62 | 34.94 % | -12.80 % | | 2000 | 123.09 | 85.21 | 24.43 % | 8.50 % | | 2001 | 114.11 | 88.26 | -16.62 % | -9.54 % | | 2002 | 115.96 | 88.19 | 25.81 % | 13.81 % | | 2003 | 145.82 | 112.87 | 27.03 % | 44.58 % | | 2004 | 217.09 | 144.58 | 36.68 % | 97.60 % | | 2005 | 279.17 | 194.39 | 39.69 % | 176.03 % | | 2006 | 343.18 | 273.89 | 9.73 % | 202.88 % | | 2007 | 380.11 | 276.40 | 24.79 % | 277.95 % | | 2008 | 538.39 | 228.67 | -32.86 % | 153.77 % | | 2009 | 326.84 | 222.81 | 27.68 % | 224.02 % | | 2010 6 | 337.69 | 278.59 | -11.92 % | 185.41 % |
THE FUND WILL TRADE WITH A VIEW TO TRACKING THE
DEUTSCHE BANK LIQUID COMMODITY INDEXOPTIMUM YIELD DIVERSIFIED EXCESS RETURN OVER TIME.
NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE OR
NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUNDS FUTURE PERFORMANCE.
DEUTSCHE BANK LIQUID COMMODITY INDEXOPTIMUM YIELD DIVERSIFIED TOTAL RETURN
| | CLOSING LEVEL — High 1 | Low 2 | CHANGES — Annual Index Changes 3 | Index Changes Since Inception 4 | | --- | --- | --- | --- | --- | | 1997 5 | 103.91 | 94.17 | -5.83 % | -5.83 % | | 1998 | 95.03 | 67.96 | -26.74 % | -31.01 % | | 1999 | 98.49 | 65.09 | 41.46 % | -2.41 % | | 2000 | 144.25 | 95.46 | 32.04 % | 28.86 % | | 2001 | 136.34 | 108.28 | -13.67 % | 11.24 % | | 2002 | 144.95 | 108.59 | 27.90 % | 42.27 % | | 2003 | 184.10 | 141.63 | 28.34 % | 82.58 % | | 2004 | 276.91 | 182.59 | 38.58 % | 153.03 % | | 2005 | 365.39 | 248.99 | 44.21 % | 264.89 % | | 2006 | 461.10 | 364.06 | 15.10 % | 320.00 % | | 2007 | 550.99 | 384.35 | 30.49 % | 448.05 % | | 2008 | 788.19 | 336.20 | -31.92 % | 273.11 % | | 2009 | 481.22 | 327.67 | 27.87 % | 377.08 % | | 2010 6 | 497.22 | 410.40 | -11.86 % | 320.49 % |
THE FUND WILL NOT TRADE WITH A VIEW TO TRACKING THE
DEUTSCHE BANK LIQUID COMMODITY INDEXOPTIMUM YIELD DIVERSIFIED TOTAL RETURN OVER TIME.
NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE OR
NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUNDS FUTURE PERFORMANCE.
Please refer to notes and legends that follow on page 43.
-4-
INDEX COMMODITY WEIGHTS TABLE
DEUTSCHE BANK LIQUID COMMODITY INDEXOPTIMUM YIELD DIVERSIFIED EXCESS RETURN
| CL 7 — High | Low | HO 7 — High | Low | XB 7 — High | Low | NG 7 — High | Low | CO 7 — High | Low | GC 7 — High | Low | SI 7 — High | Low | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1997 5 | 12.5 % | 12.2 % | 12.5 % | 12.2 % | 13.0 % | 12.5 % | 5.8 % | 5.5 % | 12.7 % | 11.7 % | 7.8 % | 8.0 % | 2.2 % | 2.6 % |
| 1998 | 12.1 % | 11.7 % | 12.4 % | 12.1 % | 12.7 % | 11.6 % | 5.3 % | 5.3 % | 11.5 % | 10.9 % | 8.3 % | 8.9 % | 2.6 % | 2.2 % |
| 1999 | 13.3 % | 11.9 % | 12.9 % | 11.4 % | 13.5 % | 11.5 % | 5.0 % | 5.3 % | 13.2 % | 11.5 % | 7.5 % | 9.2 % | 2.0 % | 2.5 % |
| 2000 | 15.1 % | 12.9 % | 15.6 % | 12.5 % | 16.1 % | 13.0 % | 7.9 % | 5.0 % | 14.7 % | 12.8 % | 5.0 % | 7.6 % | 1.3 % | 2.0 % |
| 2001 | 12.5 % | 11.8 % | 12.3 % | 11.5 % | 12.3 % | 11.7 % | 6.7 % | 5.4 % | 12.3 % | 11.2 % | 7.7 % | 8.4 % | 1.9 % | 2.1 % |
| 2002 | 12.5 % | 12.3 % | 13.1 % | 11.8 % | 12.8 % | 12.2 % | 6.0 % | 4.2 % | 14.2 % | 12.0 % | 7.9 % | 8.6 % | 1.9 % | 2.2 % |
| 2003 | 12.8 % | 12.2 % | 12.7 % | 12.3 % | 12.5 % | 12.5 % | 5.7 % | 7.1 % | 12.5 % | 13.3 % | 7.9 % | 7.7 % | 2.1 % | 1.9 % |
| 2004 | 16.5 % | 12.6 % | 15.9 % | 12.4 % | 14.5 % | 12.4 % | 6.0 % | 5.7 % | 16.0 % | 12.4 % | 5.4 % | 8.0 % | 1.8 % | 2.2 % |
| 2005 | 12.6 % | 11.8 % | 14.6 % | 12.0 % | 16.1 % | 12.1 % | 6.7 % | 5.0 % | 13.4 % | 11.4 % | 6.2 % | 8.3 % | 1.4 % | 1.8 % |
| 2006 | 11.1 % | 11.4 % | 10.9 % | 11.1 % | 12.0 % | 11.5 % | 3.0 % | 3.9 % | 11.0 % | 11.4 % | 9.1 % | 8.7 % | 2.9 % | 2.3 % |
| 2007 | 12.4 % | 11.3 % | 12.5 % | 11.7 % | 12.6 % | 11.6 % | 5.0 % | 5.2 % | 12.3 % | 11.3 % | 7.6 % | 9.0 % | 1.8 % | 2.2 % |
| 2008 | 13.7 % | 11.3 % | 14.9 % | 11.4 % | 13.1 % | 11.3 % | 6.2 % | 5.5 % | 13.8 % | 11.5 % | 5.9 % | 10.0 % | 1.6 % | 2.3 % |
| 2009 | 12.1 % | 9.8 % | 11.9 % | 8.9 % | 12.1 % | 10.5 % | 5.1 % | 4.1 % | 12.2 % | 9.8 % | 8.4 % | 13.3 % | 2.1 % | 3.6 % |
| 2010 6 | 12.0 % | 11.6 % | 11.9 % | 12.1 % | 11.9 % | 12.1 % | 5.7 % | 4.8 % | 11.9 % | 12.0 % | 7.7 % | 9.9 % | 1.9 % | 2.3 % |
THE FUND WILL TRADE WITH A VIEW TO TRACKING THE
DEUTSCHE BANK LIQUID COMMODITY INDEXOPTIMUM YIELD DIVERSIFIED EXCESS RETURN OVER TIME.
NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE OR NEGATIVE, SHOULD BE TAKEN AS AN
INDICATION OF THE FUNDS FUTURE PERFORMANCE.
LEGEND :
| Symbol | Index Commodity | Symbol | Index Commodity |
|---|---|---|---|
| CL | Light Sweet Crude Oil (WTI) | AL | Aluminum |
| HO | Heating Oil | LX | Zinc |
| XB | RBOB Gasoline | LP | Copper Grade A |
| NG | Natural Gas | C | Corn |
| CO | Brent Crude | W | Wheat |
| GC | Gold | S | Soybeans |
| SI | Silver | SB | Sugar |
Please refer to notes and legends that follow on page 43.
-5-
INDEX COMMODITY WEIGHTS TABLE
DEUTSCHE BANK LIQUID COMMODITY INDEXOPTIMUM YIELD DIVERSIFIED EXCESS RETURN
| AL 7 — High | Low | LX 7 — High | Low | LP 7 — High | Low | C 7 — High | Low | W 7 — High | Low | S 7 — High | Low | SB 7 — High | Low | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1997 5 | 3.9 % | 4.3 % | 3.6 % | 4.2 % | 3.7 % | 3.9 % | 5.8 % | 5.9 % | 5.4 % | 5.4 % | 5.7 % | 5.8 % | 5.4 % | 5.9 % |
| 1998 | 4.2 % | 4.4 % | 4.2 % | 4.7 % | 3.9 % | 4.1 % | 5.9 % | 6.2 % | 5.6 % | 5.7 % | 5.8 % | 6.0 % | 5.5 % | 6.1 % |
| 1999 | 4.2 % | 4.4 % | 4.2 % | 5.1 % | 4.2 % | 4.1 % | 5.2 % | 6.3 % | 4.9 % | 5.5 % | 5.2 % | 5.7 % | 4.9 % | 5.5 % |
| 2000 | 2.8 % | 4.5 % | 2.8 % | 4.4 % | 3.0 % | 4.3 % | 3.3 % | 5.4 % | 3.3 % | 5.2 % | 3.6 % | 5.5 % | 5.5 % | 5.0 % |
| 2001 | 4.5 % | 4.7 % | 3.8 % | 4.7 % | 4.1 % | 4.7 % | 5.3 % | 6.0 % | 5.5 % | 5.9 % | 5.0 % | 6.0 % | 6.1 % | 5.9 % |
| 2002 | 3.8 % | 4.7 % | 3.9 % | 4.6 % | 3.8 % | 4.9 % | 5.1 % | 5.7 % | 4.8 % | 5.8 % | 5.2 % | 5.8 % | 5.0 % | 5.2 % |
| 2003 | 4.1 % | 3.8 % | 4.2 % | 3.9 % | 4.2 % | 3.9 % | 5.3 % | 5.1 % | 5.4 % | 4.6 % | 5.5 % | 5.7 % | 5.2 % | 6.0 % |
| 2004 | 3.1 % | 4.2 % | 3.0 % | 4.3 % | 3.7 % | 4.4 % | 3.0 % | 5.4 % | 3.1 % | 5.4 % | 3.2 % | 5.8 % | 4.8 % | 4.9 % |
| 2005 | 3.3 % | 4.5 % | 3.9 % | 4.9 % | 4.7 % | 4.6 % | 3.5 % | 5.7 % | 4.0 % | 5.6 % | 4.3 % | 6.0 % | 5.3 % | 6.4 % |
| 2006 | 5.1 % | 4.7 % | 7.4 % | 5.2 % | 7.0 % | 4.9 % | 4.7 % | 5.6 % | 4.8 % | 5.7 % | 4.3 % | 5.3 % | 6.8 % | 8.4 % |
| 2007 | 3.7 % | 4.7 % | 3.6 % | 3.9 % | 3.9 % | 3.6 % | 5.9 % | 6.8 % | 6.3 % | 6.4 % | 6.3 % | 6.8 % | 6.0 % | 5.6 % |
| 2008 | 3.4 % | 3.9 % | 1.9 % | 5.0 % | 3.4 % | 4.1 % | 6.9 % | 5.5 % | 4.8 % | 6.2 % | 6.4 % | 5.8 % | 4.0 % | 6.4 % |
| 2009 | 4.3 % | 3.5 % | 4.4 % | 5.3 % | 4.4 % | 4.4 % | 5.5 % | 6.2 % | 5.8 % | 6.7 % | 5.8 % | 6.2 % | 5.7 % | 7.6 % |
| 2010 6 | 4.7 % | 4.8 % | 4.9 % | 4.0 % | 4.6 % | 4.9 % | 5.4 % | 5.6 % | 5.5 % | 5.2 % | 5.5 % | 5.9 % | 6.4 % | 4.9 % |
THE FUND WILL TRADE WITH A VIEW TO TRACKING THE
DEUTSCHE BANK LIQUID COMMODITY INDEXOPTIMUM YIELD DIVERSIFIED EXCESS RETURN OVER TIME.
NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE OR NEGATIVE, SHOULD BE TAKEN AS AN
INDICATION OF THE FUNDS FUTURE PERFORMANCE.
LEGEND :
| Symbol | Index Commodity | Symbol | Index Commodity |
|---|---|---|---|
| CL | Light Sweet Crude Oil (WTI) | AL | Aluminum |
| HO | Heating Oil | LX | Zinc |
| XB | RBOB Gasoline | LP | Copper Grade A |
| NG | Natural Gas | C | Corn |
| CO | Brent Crude | W | Wheat |
| GC | Gold | S | Soybeans |
| SI | Silver | SB | Sugar |
Please refer to notes and legends that follow on page 43.
-6-
INDEX COMMODITY WEIGHTS TABLE
DEUTSCHE BANK LIQUID COMMODITY INDEXOPTIMUM YIELD DIVERSIFIED TOTAL RETURN
| CL 7 — High | Low | HO 7 — High | Low | XB 7 — High | Low | NG 7 — High | Low | CO 7 — High | Low | GC 7 — High | Low | SI 7 — High | Low | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1997 5 | 12.5 % | 12.2 % | 12.5 % | 12.2 % | 13.0 % | 12.5 % | 5.8 % | 5.5 % | 12.7 % | 11.7 % | 7.8 % | 8.0 % | 2.2 % | 2.6 % |
| 1998 | 12.1 % | 11.7 % | 12.4 % | 12.1 % | 12.7 % | 11.6 % | 5.3 % | 5.3 % | 11.5 % | 10.9 % | 8.3 % | 8.9 % | 2.6 % | 2.2 % |
| 1999 | 13.1 % | 11.9 % | 12.8 % | 11.4 % | 13.3 % | 11.5 % | 5.0 % | 5.3 % | 13.3 % | 11.5 % | 7.6 % | 9.2 % | 2.0 % | 2.5 % |
| 2000 | 15.1 % | 12.9 % | 15.6 % | 12.5 % | 16.1 % | 13.0 % | 7.9 % | 5.0 % | 14.7 % | 12.8 % | 5.0 % | 7.6 % | 1.3 % | 2.0 % |
| 2001 | 13.4 % | 11.8 % | 12.5 % | 11.5 % | 12.8 % | 11.7 % | 6.0 % | 5.4 % | 12.2 % | 11.2 % | 8.4 % | 8.4 % | 1.9 % | 2.1 % |
| 2002 | 12.5 % | 12.3 % | 13.1 % | 11.8 % | 12.8 % | 12.2 % | 6.0 % | 4.2 % | 14.2 % | 12.0 % | 7.9 % | 8.6 % | 1.9 % | 2.2 % |
| 2003 | 12.8 % | 12.2 % | 12.7 % | 12.3 % | 12.5 % | 12.5 % | 5.7 % | 7.1 % | 12.5 % | 13.3 % | 7.9 % | 7.7 % | 2.1 % | 1.9 % |
| 2004 | 16.5 % | 12.6 % | 15.9 % | 12.4 % | 14.5 % | 12.4 % | 6.0 % | 5.7 % | 16.0 % | 12.4 % | 5.4 % | 8.0 % | 1.8 % | 2.2 % |
| 2005 | 12.6 % | 11.8 % | 14.6 % | 12.0 % | 16.1 % | 12.1 % | 6.7 % | 5.0 % | 13.4 % | 11.4 % | 6.2 % | 8.3 % | 1.4 % | 1.8 % |
| 2006 | 11.1 % | 11.4 % | 10.9 % | 11.1 % | 12.0 % | 11.5 % | 3.0 % | 3.9 % | 11.0 % | 11.4 % | 9.1 % | 8.7 % | 2.9 % | 2.3 % |
| 2007 | 12.4 % | 11.3 % | 12.5 % | 11.7 % | 12.6 % | 11.6 % | 5.0 % | 5.2 % | 12.3 % | 11.3 % | 7.6 % | 9.0 % | 1.8 % | 2.2 % |
| 2008 | 13.7 % | 11.3 % | 14.9 % | 11.4 % | 13.1 % | 11.3 % | 6.2 % | 5.5 % | 13.8 % | 11.5 % | 5.9 % | 10.0 % | 1.6 % | 2.3 % |
| 2009 | 12.1 % | 9.8 % | 11.9 % | 8.9 % | 12.1 % | 10.5 % | 5.1 % | 4.1 % | 12.2 % | 9.8 % | 8.4 % | 13.3 % | 2.1 % | 3.6 % |
| 2010 6 | 12.0 % | 11.6 % | 11.9 % | 12.1 % | 11.9 % | 12.1 % | 5.7 % | 4.8 % | 11.9 % | 12.0 % | 7.7 % | 9.9 % | 1.9 % | 2.3 % |
THE FUND WILL NOT TRADE WITH A VIEW TO TRACKING THE
DEUTSCHE BANK LIQUID COMMODITY INDEXOPTIMUM YIELD DIVERSIFIED TOTAL RETURN OVER TIME.
NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE OR NEGATIVE, SHOULD BE TAKEN AS AN
INDICATION OF THE FUNDS FUTURE PERFORMANCE.
LEGEND :
| Symbol | Index Commodity | Symbol | Index Commodity |
|---|---|---|---|
| CL | Light Sweet Crude Oil (WTI) | AL | Aluminum |
| HO | Heating Oil | LX | Zinc |
| XB | RBOB Gasoline | LP | Copper Grade A |
| NG | Natural Gas | C | Corn |
| CO | Brent Crude | W | Wheat |
| GC | Gold | S | Soybeans |
| SI | Silver | SB | Sugar |
Please refer to notes and legends that follow on page 43.
-7-
INDEX COMMODITY WEIGHTS TABLE
DEUTSCHE BANK LIQUID COMMODITY INDEXOPTIMUM YIELD DIVERSIFIED TOTAL RETURN
| AL 7 — High | Low | LX 7 — High | Low | LP 7 — High | Low | C 7 — High | Low | W 7 — High | Low | S 7 — High | Low | SB 7 — High | Low | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1997 5 | 3.9 % | 4.3 % | 3.6 % | 4.2 % | 3.7 % | 3.9 % | 5.8 % | 5.9 % | 5.4 % | 5.4 % | 5.7 % | 5.8 % | 5.4 % | 5.9 % |
| 1998 | 4.2 % | 4.4 % | 4.2 % | 4.7 % | 3.9 % | 4.1 % | 5.9 % | 6.2 % | 5.6 % | 5.7 % | 5.8 % | 6.0 % | 5.5 % | 6.1 % |
| 1999 | 4.3 % | 4.4 % | 4.2 % | 5.1 % | 4.2 % | 4.1 % | 5.2 % | 6.3 % | 4.9 % | 5.5 % | 5.1 % | 5.7 % | 5.0 % | 5.5 % |
| 2000 | 2.8 % | 4.5 % | 2.8 % | 4.4 % | 3.0 % | 4.3 % | 3.3 % | 5.4 % | 3.3 % | 5.2 % | 3.6 % | 5.5 % | 5.5 % | 5.0 % |
| 2001 | 4.3 % | 4.7 % | 3.6 % | 4.7 % | 4.0 % | 4.7 % | 4.8 % | 6.0 % | 5.2 % | 5.9 % | 4.8 % | 6.0 % | 6.1 % | 5.9 % |
| 2002 | 3.8 % | 4.7 % | 3.9 % | 4.6 % | 3.8 % | 4.9 % | 5.1 % | 5.7 % | 4.8 % | 5.8 % | 5.2 % | 5.8 % | 5.0 % | 5.2 % |
| 2003 | 4.1 % | 3.8 % | 4.2 % | 3.9 % | 4.2 % | 3.9 % | 5.3 % | 5.1 % | 5.4 % | 4.6 % | 5.5 % | 5.7 % | 5.2 % | 6.0 % |
| 2004 | 3.1 % | 4.2 % | 3.0 % | 4.3 % | 3.7 % | 4.4 % | 3.0 % | 5.4 % | 3.1 % | 5.4 % | 3.2 % | 5.8 % | 4.8 % | 4.9 % |
| 2005 | 3.3 % | 4.5 % | 3.9 % | 4.9 % | 4.7 % | 4.6 % | 3.5 % | 5.7 % | 4.0 % | 5.6 % | 4.3 % | 6.0 % | 5.3 % | 6.4 % |
| 2006 | 5.1 % | 4.7 % | 7.4 % | 5.2 % | 7.0 % | 4.9 % | 4.7 % | 5.6 % | 4.8 % | 5.7 % | 4.3 % | 5.3 % | 6.8 % | 8.4 % |
| 2007 | 3.7 % | 4.7 % | 3.6 % | 3.9 % | 3.9 % | 3.6 % | 5.9 % | 6.8 % | 6.3 % | 6.4 % | 6.3 % | 6.8 % | 6.0 % | 5.6 % |
| 2008 | 3.4 % | 3.9 % | 1.9 % | 5.0 % | 3.4 % | 4.1 % | 6.9 % | 5.5 % | 4.8 % | 6.2 % | 6.4 % | 5.8 % | 4.0 % | 6.4 % |
| 2009 | 4.3 % | 3.5 % | 4.4 % | 5.3 % | 4.4 % | 4.4 % | 5.5 % | 6.2 % | 5.8 % | 6.7 % | 5.8 % | 6.2 % | 5.7 % | 7.6 % |
| 2010 6 | 4.7 % | 4.8 % | 4.9 % | 4.0 % | 4.6 % | 4.9 % | 5.4 % | 5.6 % | 5.5 % | 5.2 % | 5.5 % | 5.9 % | 6.4 % | 4.9 % |
THE FUND WILL NOT TRADE WITH A VIEW TO TRACKING THE
DEUTSCHE BANK LIQUID COMMODITY INDEXOPTIMUM YIELD DIVERSIFIED TOTAL RETURN OVER TIME.
NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE OR NEGATIVE, SHOULD BE TAKEN AS AN
INDICATION OF THE FUNDS FUTURE PERFORMANCE.
LEGEND :
| Symbol | Index Commodity | Symbol | Index Commodity |
|---|---|---|---|
| CL | Light Sweet Crude Oil (WTI) | AL | Aluminum |
| HO | Heating Oil | LX | Zinc |
| XB | RBOB Gasoline | LP | Copper Grade A |
| NG | Natural Gas | C | Corn |
| CO | Brent Crude | W | Wheat |
| GC | Gold | S | Soybeans |
| SI | Silver | SB | Sugar |
Please refer to notes and legends that follow on page 43.
-8-
| All Statistics from July 31, 1998* to June 30, 2010. — VARIOUS STATISTICAL MEASURES | DBLCI-OY Diversified ER 8,9 | | DBLCI-OY Diversified TR 8,9 | | GSCI-TR 10 | | RICI-TR 11 | | DJ UBS-TR 12 | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | Annualized Changes to Index Level 13 | 13.5 | % | 16.9 | % | 6.1 | % | 10.9 | % | 7.0 | % | | Average rolling 3 month daily volatility 14 | 19.0 | % | 19.0 | % | 24.0 | % | 18.9 | % | 16.7 | % | | Sharpe Ratio 15 | 0.5 | 6 | 0.7 | 4 | 0.1 | 4 | 0.4 | 3 | 0.2 | 5 | | % of months with positive change 16 | 57% | | 62% | | 57 | % | 62 | % | 59 | % | | Average monthly positive change 17 | 4.8 | % | 4.7 | % | 5.5 | % | 4.4 | % | 3.9 | % | | Average monthly negative change 18 | -3.9 | % | -4.1 | % | -5.9 | % | -4.6 | % | -4.1 | % | | ANNUALIZED INDEX LEVELS 19 | DBLCI-OY Diversified ER | | DBLCI-OY Diversified TR | | GSCI-TR | | RICI-TR | | DJ UBS-TR | | | 1 year | 0.6% | | 0.7% | | -5.4 | % | 1.4 | % | 2.7 | % | | 3 year | -3.5% | | -2.3% | | -12.4 | % | -6.8 | % | -8.3 | % | | 5 year | 3.6% | | 6.2% | | -8.1 | % | -0.5 | % | -1.3 | % | | 7 year | 12.6% | | 15.2% | | 0.0 | % | 6.3 | % | 3.5 | % |
- July 31, 1998 represents the first date on which statistical data was available for each of DBLCI-OY Diversified ER, DBLCI-OY Diversified TR, GSCI-TR, RICI-TR and DJUBS-TR.
NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUNDS FUTURE PERFORMANCE.
WHILE THE FUNDS OBJECTIVE IS NOT TO GENERATE PROFIT THROUGH ACTIVE PORTFOLIO MANAGEMENT, BUT IS TO TRACK THE INDEX, BECAUSE THE INDEX WAS ESTABLISHED IN JANUARY 2007 CERTAIN INFORMATION RELATING TO THE INDEX CLOSING LEVELS MAY BE CONSIDERED TO BE HYPOTHETICAL. HYPOTHETICAL INFORMATION MAY HAVE CERTAIN INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW.
NO REPRESENTATION IS BEING MADE THAT THE INDEX WILL OR IS LIKELY TO ACHIEVE ANNUAL OR CUMULATIVE CLOSING LEVELS CONSISTENT WITH OR SIMILAR TO THOSE SET FORTH HEREIN. SIMILARLY, NO REPRESENTATION IS BEING MADE THAT THE FUND WILL GENERATE PROFITS OR LOSSES SIMILAR TO THE FUNDS PAST PERFORMANCE OR THE HISTORICAL ANNUAL OR CUMULATIVE CHANGES IN INDEX CLOSING LEVELS. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY INVESTMENT METHODOLOGIES, WHETHER ACTIVE OR PASSIVE.
ONE OF THE LIMITATIONS OF HYPOTHETICAL INFORMATION IS THAT IT IS GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. TO THE EXTENT THAT INFORMATION PRESENTED HEREIN RELATES TO THE PERIOD SEPTEMBER 1997 (BASE DATE OF THE INDEX) THROUGH DECEMBER 2006 (INCEPTION DATE OF THE INDEX), THE INDEX CLOSING LEVELS REFLECT THE APPLICATION OF THE INDEX METHODOLOGY, AND SELECTION OF INDEX COMMODITIES, IN HINDSIGHT.
NO HYPOTHETICAL RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THERE ARE NUMEROUS FACTORS, INCLUDING THOSE DESCRIBED UNDER THE RISKS YOU FACE HEREIN, RELATED TO THE COMMODITIES MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF THE FUNDS EFFORTS TO TRACK THE INDEX OVER TIME WHICH CANNOT BE, AND HAVE NOT BEEN, ACCOUNTED FOR IN THE PREPARATION OF THE INDEX INFORMATION SET FORTH ON THE FOLLOWING PAGES, ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL PERFORMANCE RESULTS FOR THE FUND. FURTHERMORE, THE INDEX INFORMATION DOES NOT INVOLVE FINANCIAL RISK OR ACCOUNT FOR THE IMPACT OF FEES AND COSTS ASSOCIATED WITH THE FUND.
THE MANAGING OWNER COMMENCED OPERATIONS IN JANUARY 2006. AS MANAGING OWNER, THE MANAGING OWNER AND ITS TRADING PRINCIPALS HAVE BEEN MANAGING THE DAY-TO-DAY OPERATIONS FOR THE FUND AND MANAGING FUTURES TRADING ACCOUNTS. BECAUSE THERE ARE LIMITED ACTUAL TRADING RESULTS TO COMPARE TO THE INDEX CLOSING LEVELS SET FORTH HEREIN, PROSPECTIVE INVESTORS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THE ANNUAL OR CUMULATIVE INDEX RESULTS.
Please refer to notes and legends that follow on page 43.
-9-
COMPARISON OF THE VARIOUS COMMODITIES INDICES
(July 31, 1998 June 30, 2010)*
- July 31, 1998 represents the first date on which statistical data was available for each of DBLCI Diversified TR, DBLCI Diversified ER, DBLCI-OY TR, DBLCI TR, RICI-TR, DJUBS-TR and DBLCI-OY ER.
NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUNDS FUTURE PERFORMANCE.
Each of DBLCI Diversified TR, DBLCI Diversified ER, DBLCI OY TR, DBLCI TR, GSCI TR, RICI TR, DJUBS TR and DBLCI OY ER are indices and do not reflect actual trading.
Each of the indices are calculated on an excess return basis and does not reflect any fees or expenses.
WHILE THE FUNDS OBJECTIVE IS NOT TO GENERATE PROFIT THROUGH ACTIVE PORTFOLIO MANAGEMENT, BUT IS TO TRACK THE INDEX, BECAUSE THE INDEX WAS ESTABLISHED IN JANUARY 2007, CERTAIN INFORMATION RELATING TO THE INDEX CLOSING LEVELS MAY BE CONSIDERED TO BE HYPOTHETICAL. HYPOTHETICAL INFORMATION MAY HAVE CERTAIN INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW.
NO REPRESENTATION IS BEING MADE THAT THE INDEX WILL OR IS LIKELY TO ACHIEVE ANNUAL OR CUMULATIVE CLOSING LEVELS CONSISTENT WITH OR SIMILAR TO THOSE SET FORTH HEREIN. SIMILARLY, NO REPRESENTATION IS BEING MADE THAT THE FUND WILL GENERATE PROFITS OR LOSSES SIMILAR TO THE FUNDS PAST PERFORMANCE OR THE HISTORICAL ANNUAL OR CUMULATIVE CHANGES IN INDEX CLOSING LEVELS. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY INVESTMENT METHODOLOGIES, WHETHER ACTIVE OR PASSIVE.
ONE OF THE LIMITATIONS OF HYPOTHETICAL INFORMATION IS THAT IT IS GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. TO THE EXTENT THAT INFORMATION PRESENTED HEREIN RELATES TO THE PERIOD SEPTEMBER 1997 (BASE DATE OF THE INDEX) THROUGH DECEMBER 2006 (INCEPTION OF THE INDEX), THE INDEX CLOSING LEVELS REFLECT THE APPLICATION OF THE INDEX METHODOLOGY, AND SELECTION OF INDEX COMMODITIES, IN HINDSIGHT.
NO HYPOTHETICAL RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THERE ARE NUMEROUS FACTORS, INCLUDING THOSE DESCRIBED UNDER THE RISKS YOU FACE HEREIN, RELATED TO THE COMMODITIES MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF THE FUNDS EFFORTS TO TRACK THE INDEX OVER TIME WHICH CANNOT BE, AND HAVE NOT BEEN, ACCOUNTED FOR IN THE PREPARATION OF THE INDEX INFORMATION SET FORTH ON THE FOLLOWING PAGES, ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL PERFORMANCE RESULTS FOR THE FUND. FURTHERMORE, THE INDEX INFORMATION DOES NOT INVOLVE FINANCIAL RISK OR ACCOUNT FOR THE IMPACT OF FEES AND COSTS ASSOCIATED WITH THE FUND.
THE MANAGING OWNER COMMENCED OPERATIONS IN JANUARY 2006. AS MANAGING OWNER, THE MANAGING OWNER AND ITS TRADING PRINCIPALS HAVE BEEN MANAGING THE DAY-TO-DAY OPERATIONS FOR THE FUND AND MANAGING FUTURES TRADING ACCOUNTS. BECAUSE THERE ARE LIMITED ACTUAL TRADING RESULTS TO COMPARE TO THE INDEX CLOSING LEVELS SET FORTH HEREIN, PROSPECTIVE INVESTORS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THE ANNUAL OR CUMULATIVE INDEX RESULTS.
Please refer to notes and legends that follow on page 43.
-10-
COMPARISON OF ANNUAL RETURNS OF THE VARIOUS COMMODITIES INDICES
(July 31, 1998 June 30, 2010)*
- July 31, 1998 represents the first date on which statistical data was available for each of DBLCI Diversified TR, DBLCI Diversified ER, DBLCI-OY TR, DBLCI TR, RICI-TR, DJUBS-TR and DBLCI-OY ER.
NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE AND NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUNDS FUTURE PERFORMANCE.
Each of DBLCI Diversified TR, DBLCI Diversified ER, DBLCI OY TR, DBLCI TR, GSCI TR, RICI TR, DJUBS TR and DBLCI OY ER are indices and do not reflect actual trading.
Each of the indices are calculated on an excess return basis and does not reflect any fees or expenses.
WHILE THE FUNDS OBJECTIVE IS NOT TO GENERATE PROFIT THROUGH ACTIVE PORTFOLIO MANAGEMENT, BUT IS TO TRACK THE INDEX, BECAUSE THE INDEX WAS ESTABLISHED IN JANUARY 2007 CERTAIN INFORMATION RELATING TO THE INDEX CLOSING LEVELS MAY BE CONSIDERED TO BE HYPOTHETICAL. HYPOTHETICAL INFORMATION MAY HAVE CERTAIN INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW.
NO REPRESENTATION IS BEING MADE THAT THE INDEX WILL OR IS LIKELY TO ACHIEVE ANNUAL OR CUMULATIVE CLOSING LEVELS CONSISTENT WITH OR SIMILAR TO THOSE SET FORTH HEREIN. SIMILARLY, NO REPRESENTATION IS BEING MADE THAT THE FUND WILL GENERATE PROFITS OR LOSSES SIMILAR TO THE FUNDS PAST PERFORMANCE OR THE HISTORICAL ANNUAL OR CUMULATIVE CHANGES IN INDEX CLOSING LEVELS. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY INVESTMENT METHODOLOGIES, WHETHER ACTIVE OR PASSIVE.
ONE OF THE LIMITATIONS OF HYPOTHETICAL INFORMATION IS THAT IT IS GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. TO THE EXTENT THAT INFORMATION PRESENTED HEREIN RELATES TO THE PERIOD SEPTEMBER 1997 (BASE DATE OF THE INDEX) THROUGH DECEMBER 2006 (INCEPTION OF THE INDEX). THE INDEX CLOSING LEVELS REFLECT THE APPLICATION OF THE INDEX METHODOLOGY, AND SELECTION OF INDEX COMMODITIES, IN HINDSIGHT.
NO HYPOTHETICAL RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THERE ARE NUMEROUS FACTORS, INCLUDING THOSE DESCRIBED UNDER THE RISKS YOU FACE HEREIN, RELATED TO THE COMMODITIES MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF THE FUNDS EFFORTS TO TRACK THE INDEX OVER TIME WHICH CANNOT BE, AND HAVE NOT BEEN, ACCOUNTED FOR IN THE PREPARATION OF THE INDEX INFORMATION SET FORTH ON THE FOLLOWING PAGES, ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL PERFORMANCE RESULTS FOR THE FUND. FURTHERMORE, THE INDEX INFORMATION DOES NOT INVOLVE FINANCIAL RISK OR ACCOUNT FOR THE IMPACT OF FEES AND COSTS ASSOCIATED WITH THE FUND.
THE MANAGING OWNER COMMENCED OPERATIONS IN JANUARY 2006. AS MANAGING OWNER, THE MANAGING OWNER AND ITS TRADING PRINCIPALS HAVE BEEN MANAGING THE DAY-TO-DAY OPERATIONS FOR THE FUND AND MANAGING FUTURES TRADING ACCOUNTS. BECAUSE THERE ARE LIMITED ACTUAL TRADING RESULTS TO COMPARE TO THE INDEX CLOSING LEVELS SET FORTH HEREIN, PROSPECTIVE INVESTORS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THE ANNUAL OR CUMULATIVE INDEX RESULTS.
Please refer to notes and legends that follow on page 43.
-11-
NOTES AND LEGENDS :
-
High reflects the highest closing level of the Index during the applicable year.
-
Low reflects the lowest closing level of the Index during the applicable year.
-
Annual Index Changes reflect the change to the Index level on an annual basis as of December 31 of each applicable year.
-
Index Changes Since Inception reflect the change of the Index closing levels since inception on a compounded annual basis as of December 31 of each applicable year.
-
Closing levels as of inception on September 3, 1997.
-
Closing levels as of June 30, 2010.
-
The Deutsche Bank Liquid Commodity IndexOptimum Yield Diversified Excess Return and Deutsche Bank Liquid Commodity IndexOptimum Yield Diversified Total Return reflect the change in market value of the following underlying index commodities: (1) CL (Light Sweet Crude Oil (WTI)), (2) HO (Heating Oil), (3) XB (RBOB Gasoline), (4) NG (Natural Gas), (5) CO (Brent Crude), (6) GC (Gold), (7) SI (Silver), (8) AL (Aluminum), (9) LX (Zinc), (10) LP (Copper Grade A), (11) C (Corn), (12) W (Wheat), (13) S (Soybeans) and (14) SB (Sugar), on an optimum yield basis.
-
DBLCIOY Diversified ER is the Deutsche Bank Liquid Commodity Index-Optimum Yield Diversified Excess Return and DBLCIOY Diversified TR is the Deutsche Bank Liquid Commodity Index-Optimum Yield Diversified Total Return. The DBLCIOY Diversified ER is calculated on an excess return basis, which is unfunded and reflects the change in market value of the underlying index commodities. The DBLCIOY Diversified TR is calculated on a total return basis, which is funded and reflects the change in market value of the underlying index commodities and interest income from a hypothetical basket of fixed income securities. Both DBLCIOY Diversified ER and DBLCIOY Diversified TR are calculated to reflect rolling on an optimum yield basis. Optimum yield enables each of DBLCIOY Diversified ER and DBLCIOY Diversified TR to rollover to the futures contract which generates the highest roll yield, rather than select a new future based on a fixed schedule (e.g. monthly). The result will tend to maximize the benefits of rolling in backwardated markets and minimize the loss from rolling in contangoed markets.
-
If the Funds interest income from its holdings of fixed income securities were to exceed the Funds fees and expenses, the total return on an investment in the Fund is expected to outperform the DBLCIOY Diversified ER and underperform the DBLCIOY Diversified TR. The only difference between the DBLCIOY Diversified ER and the DBLCIOY Diversified TR is that the DBLCIOY Diversified ER does not include interest income from a hypothetical basket of fixed income securities while the DBLCIOY Diversified TR does include such a component. The difference between the DBLCIOY Diversified ER and the DBLCIOY Diversified TR is attributable entirely to the hypothetical interest income from this hypothetical basket of fixed income securities. If the Funds interest income from its holdings of fixed-income securities exceeds the Funds fees and expenses, then the amount of such excess is expected to be distributed periodically. The market price of the Shares is expected to track closely the DBLCIOY Diversified ER. The total return on an investment in the Fund over any period is the sum of the capital appreciation or depreciation of the Shares over the period, plus the amount of any distributions during the period. Consequently, the Funds total return is expected to outperform the DBLCIOY Diversified ER by the amount of the excess, if any, of its interest income over its fees and expenses but, as a result of the Funds fees and expenses, the total return on the Fund is expected to underperform the DBLCIOY Diversified TR. If the Funds fees and expenses were to exceed the Funds interest income from its holdings of fixed income securities, the total return on an investment in the Fund is expected to underperform the DBLCIOY Diversified ER.
-
GSCI TR is the S&P GSCI Commodity Index ® calculated on a total return basis. The GSCI is designed to provide investors with a reliable and publicly available benchmark for investment in the commodity market. The GSCI is a composite index of commodity sector returns, representing an unleveraged, long-only investment in commodity futures that is broadly diversified across the spectrum of commodities. In turn, the GSCI provides investors with a representative and realistic picture of realizable returns attainable in the commodities markets.
-12-
-
RICI TR is the Rogers International Commodity Index calculated on a total return basis. RICI represents the value of a basket of commodities employed in the global economy, ranging from agricultural products (such as wheat, corn and cotton) and energy products (including crude oil, gasoline and natural gas) to metals and minerals (including gold, silver, aluminum and lead). As of its launch in 1998 there were thirty-five different contracts represented in the Index. As of 2009, the Index represents thirty-six different contracts. The value of each component is based on monthly closing prices of the corresponding futures and/or forward contracts, each of which is valued as part of a fixed-weight portfolio. The RICI-TR Index was developed to be an effective measure of the price action of raw materials on a worldwide basis. The broad based representation of commodities contracts is intended to provide two important characteristics: The large number of contracts and underlying raw materials represents diversification and the global coverage of those contracts reflects the current state of international trade and commerce.
-
DJ UBS TR is the Dow Jones - UBS Commodity Index SM calculated on a total return basis. The DJ UBS is designed to be a highly liquid and diversified benchmark for the commodity futures market. The DJ-UBS is composed of futures contracts on 19 physical commodities. The DJ-UBS is composed of commodities traded on U.S. exchanges, with the exception of aluminum, nickel and zinc, which trade on the London Metal Exchange (LME). An Oversight Committee meets annually to determine the composition of the index in accordance with the rules established in the DJ-UBSCI Handbook. Committee members are drawn from the academic, financial and legal communities. The most recent Oversight Committee meeting took place in August 2008, with changes in index composition effective January 2009.
-
Annualized Changes to Index Level reflect the change to the level of the applicable index level on an annual basis as of December 31 of each applicable year.
-
Average rolling 3 month daily volatility. The daily volatility reflects the relative rate at which the price of the applicable index moves up and down, which is found by calculating the annualized standard deviation of the daily change in price. In turn, an average of this value is calculated on a 3 month rolling basis.
-
Sharpe Ratio compares the annualized rate of return minus the annualized risk free rate of return to the annualized variability often referred to as the standard deviation of the monthly rates of return. A Sharpe Ratio of 1:1 or higher indicates that, according to the measures used in calculating the ratio, the rate of return achieved by a particular strategy has equaled or exceeded the risks assumed by such strategy. The risk-free rate of return that was used in all the Sharpe Ratio calculations was assumed to be 2.81%.
-
% of months with positive change during the period from inception to June 30, 2010.
-
Average monthly positive change during the period from inception to June 30, 2010.
-
Average monthly negative change during the period from inception to June 30, 2010.
-
Annualized Index Levels reflect the change to the level of the applicable index on an annual basis as of December 31 of each the applicable time period (e.g., 1 year, 3, 5 or 7 years).
-
The Deutsche Bank Liquid Commodity IndexOptimum Yield Excess Return and Deutsche Bank Liquid Commodity IndexOptimum Yield Total Return reflect the change in market value of the following underlying index commodities: CL (Light Sweet Crude Oil), HO (Heating Oil), GC (Gold), AL (Aluminum), C (Corn) and W (Wheat) on an optimum yield basis. DBLCITR is the Deutsche Bank Liquid Commodity IndexTotal Return. DBLCITR is composed of the same index commodities as both DBLCIOYER and DBLCIOYTR and is calculated on a total return basis. Unlike the DBLCIOYER and DBLCIOYTR, each of which are rolled on an optimum yield basis, DBLCITR rolls both CL and HO on a monthly basis and GC, AL, C and W on an annual basis.
-13-
- As of October 19, 2009, the Fund commenced tracking the Deutsche Bank Liquid Commodity IndexOptimum Yield Diversified Excess Return. Prior to October 19, 2009, the Fund tracked Deutsche Bank Liquid Commodity IndexOptimum Yield Excess Return.
WHILE THE FUNDS OBJECTIVE IS NOT TO GENERATE PROFIT THROUGH ACTIVE PORTFOLIO MANAGEMENT, BUT IS TO TRACK THE INDEX, BECAUSE THE INDEX WAS ESTABLISHED IN JANUARY 2007 CERTAIN INFORMATION RELATING TO THE INDEX CLOSING LEVELS MAY BE CONSIDERED TO BE HYPOTHETICAL. HYPOTHETICAL INFORMATION MAY HAVE CERTAIN INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW.
NO REPRESENTATION IS BEING MADE THAT THE INDEX WILL OR IS LIKELY TO ACHIEVE ANNUAL OR CUMULATIVE CLOSING LEVELS CONSISTENT WITH OR SIMILAR TO THOSE SET FORTH HEREIN. SIMILARLY, NO REPRESENTATION IS BEING MADE THAT THE FUND WILL GENERATE PROFITS OR LOSSES SIMILAR TO THE FUNDS PAST PERFORMANCE OR THE HISTORICAL ANNUAL OR CUMULATIVE CHANGES IN INDEX CLOSING LEVELS. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY INVESTMENT METHODOLOGIES, WHETHER ACTIVE OR PASSIVE.
ONE OF THE LIMITATIONS OF HYPOTHETICAL INFORMATION IS THAT IT IS GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. TO THE EXTENT THAT INFORMATION PRESENTED HEREIN RELATES TO THE PERIOD SEPTEMBER 1997 THROUGH DECEMBER 2006, THE INDEX CLOSING LEVELS REFLECT THE APPLICATION OF THE INDEX METHODOLOGY, AND SELECTION OF INDEX COMMODITIES, IN HINDSIGHT.
NO HYPOTHETICAL RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THERE ARE NUMEROUS FACTORS, INCLUDING THOSE DESCRIBED UNDER THE RISKS YOU FACE HEREIN, RELATED TO THE COMMODITIES MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF THE FUNDS EFFORTS TO TRACK THE INDEX OVER TIME WHICH CANNOT BE, AND HAVE NOT BEEN, ACCOUNTED FOR IN THE PREPARATION OF THE INDEX INFORMATION SET FORTH ON THE FOLLOWING PAGES, ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL PERFORMANCE RESULTS FOR THE FUND. FURTHERMORE, THE INDEX INFORMATION DOES NOT INVOLVE FINANCIAL RISK OR ACCOUNT FOR THE IMPACT OF FEES AND COSTS ASSOCIATED WITH THE FUND.
THE MANAGING OWNER COMMENCED OPERATIONS IN JANUARY 2006. AS MANAGING OWNER, THE MANAGING OWNER AND ITS TRADING PRINCIPALS HAVE BEEN MANAGING THE DAY-TO-DAY OPERATIONS FOR THE FUND AND MANAGING FUTURES TRADING ACCOUNTS. BECAUSE THERE ARE LIMITED ACTUAL TRADING RESULTS TO COMPARE TO THE INDEX CLOSING LEVELS SET FORTH HEREIN, PROSPECTIVE INVESTORS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THE ANNUAL OR CUMULATIVE INDEX RESULTS.
ALTHOUGH THE INDEX SPONSOR WILL OBTAIN INFORMATION FOR INCLUSION IN OR FOR USE IN THE CALCULATION OF THE INDEX FROM SOURCE(S) WHICH THE INDEX SPONSOR CONSIDERS RELIABLE, THE INDEX SPONSOR WILL NOT INDEPENDENTLY VERIFY SUCH INFORMATION AND DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE INDEX OR ANY DATA INCLUDED THEREIN. THE INDEX SPONSOR WILL NOT BE LIABLE (WHETHER IN NEGLIGENCE OR OTHERWISE) TO ANY PERSON FOR ANY ERROR IN THE INDEX AND THE INDEX SPONSOR IS UNDER NO OBLIGATION TO ADVISE ANY PERSON OF ANY ERROR THEREIN.
UNLESS OTHERWISE SPECIFIED, NO TRANSACTION RELATING TO THE INDEX IS SPONSORED, ENDORSED, SOLD OR PROMOTED BY THE INDEX SPONSOR AND THE INDEX SPONSOR MAKES NO EXPRESS OR IMPLIED REPRESENTATIONS OR WARRANTIES AS TO (A) THE ADVISABILITY OF PURCHASING OR ASSUMING ANY RISK IN CONNECTION WITH ANY SUCH TRANSACTION, (B) THE LEVELS AT WHICH THE INDEX STANDS AT ANY PARTICULAR TIME ON ANY PARTICULAR DATE, (C) THE RESULTS TO BE OBTAINED BY THE ISSUER OF ANY SECURITY OR ANY COUNTERPARTY OR ANY SUCH ISSUERS SECURITY HOLDERS OR CUSTOMERS OR ANY SUCH COUNTERPARTYS CUSTOMERS OR COUNTERPARTIES OR ANY
-14-
OTHER PERSON OR ENTITY FROM THE USE OF THE INDEX OR ANY DATA INCLUDED THEREIN IN CONNECTION WITH ANY LICENSED RIGHTS OR FOR ANY OTHER USE, OR (D) ANY OTHER MATTER. THE INDEX SPONSOR MAKES NO EXPRESS OR IMPLIED REPRESENTATIONS OR WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE WITH RESPECT TO THE INDEX OR ANY DATA INCLUDED THEREIN.
WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL THE INDEX SPONSOR HAVE ANY LIABILITY (WHETHER IN NEGLIGENCE OR OTHERWISE) TO ANY PERSON FOR ANY DIRECT, INDIRECT, SPECIAL, PUNITIVE, CONSEQUENTIAL OR ANY OTHER DAMAGES (INCLUDING LOST PROFITS) EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.
-15-