Examine the period from 6/2/2008 to 10/19/2012. Assume that DGL follows the roll schedule in Exhibit 12 for DBLCI-OU gold. The GC futures contract prices are listed in Exhibit 13. How much did the roll yield contribute to DGL returns?

The futures based gold ETF (DGL) on line 3 in Exhibit 13 is the fund that was being examined for the period of 6/2/2008 to 10/19/2012. The rolls that were performed are from line 4 down. The roll schedule is given in exhibit 12.

Exhibit 13 BETTING ON GOLD USING A FUTURES-BASED GOLD ETF GC Futures Contract Prices for Roll Dates of DBLCI-OY Gold, June 2, 2008 to October 19,2012 (in U.S. dollars) 2-Jul-08 3-Sep-08 4-Nov-08 2-Dec-084-May-092-Mar-102-Sep-104-Oct-102-Nov-10-Jul-11 1-Aug-113-Jan-12 19-Oct-12 884.51126.5 1248.5 1313.5 1351.0 1483.0 1623.0 1598.0 1737.0 166.9 Gold Spot Price Physical Gold ETF (GLD Futures-Based Gold ETF (DGL) GCV8 (October 2008) GCZ8 (December 2008) GCF9 (January 2009) GCM9 (June 2009) GCJO (April 2010) GCVO (October 2010) GCXO (November 2010) GCZO (December 2010) GCO1 (August 2011) GCUI (September 2011) GCG2 (February 2012) GCZ2 (December 2012) 935.3 803.5 741.3 780.0 77.0 5 2 75.5 28.5 93.2 35.2 951.4 78.9 29.7 804.3 808.2 88.60 22.3 128.5 32.7 132.5 144.9 755.9 48.0 52.1 40.5 44.4 46.6 56.7 55.8 757.3 758.6 782.1 786.0 0 902.2 910.2 1,137.4 6 1,140.6 ,252.1 0 1,254.0 1,315.9 1,316.8 1,356.9 2 1,364.1 1,482.6 1 1,483.1,619.7 0 1,623.0 1,600.5 1,612.21,724.0