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The DBLCI Mean Reversion Index is a commodity index published by the Deutsche Bank. Launched at the same time as the Deutsche Bank Liquid Commodity Index (DBLCI) in February 2003, the DBLCI-Mean Reversion has the same underlying assets. The listed instruments are also rolled using the same mechanism as the DBLCI, namely energy contracts are rolled monthly and the metal and grain contracts are rolled annually. This occurs between the second and sixth business day of the month. The DBLCI-MR is also quoted in both total returns and excess returns terms in US dollars as well as EUR, JPY and GBP. == Rolling Methodology == In contrast to the DBLCI, the DBLCI-MR undertakes no annual re-balancing. Instead, the individual commodity weights are reset every time any one of the commodities undergoes a ‘trigger event’. This happens when the one-year moving average of the commodity price is a whole multiple of 5% away from the five-year moving average. When this happens, the weights of all the commodities are re-balanced such that ‘expensive’ commodities have their weights reduced while ‘cheap’ commodities have their weights increased according to a simple, pre-defined formula. The entire process is rule-based and mandatory. The fact that there exist clear pre-set ‘hurdle rates’ to trigger a re-weighting, minimises the number of re-weightings and thus reduces the transactions costs for replication. 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「DBLCI Mean Reversion (MR) Index」の詳細全文を読む スポンサード リンク
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