Currency / Return Type: Report Frequency: Category:    
History: Report Start Date: Date Picker Report End Date: Date Picker    
Description
It replicates a strategy of selling straddles on futures, with daily monitoring and hedging of the delta position in each futures contract
Details
Guide
Historical Inception Date 11-Dec-2007          
Index Live Date 11-Dec-2007          
Bloomberg Id N/A          
Reuters Id N/A          
Return Data
Current Level 84.78    
High 134.84 Low 77.63
Annualized Return (%) -11.88 Volatility 18.84
Sharpe Ratio -0.63 Sortino Ratio -0.45
Max Drawdown (%) -42.43    
Daily Return (%) 0.39 Month-to-Date Return (%) 2.83
3 Month Return (%) 8.43 6 Month Return (%) 1.08
YTD Return (%) -18.08 12 Month Return (%) -14.66
Risk Free Rate (%) 0.00    
Monthly Return Statistics
Average Return (%) -0.89 Average Positive Return (%) 2.05
Number of +ve Months 18 % +ve Months (%) 48.65
Average Negative Return (%) -3.68 Best Month (Mar 2017) (%) 4.85
Maximum Monthly Drawdown (%) -19.80    
Excel + Deutsche Bank Commodity Natural Gas Short Volatility III Sub-index 1 Index Levels
Monthly Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2016 1.57% -3.94%
2017 -3.42% -1.28% 4.85% 2.73% -2.02% 1.27% -0.23% 2.19% -1.18% 2.67% -0.38% -4.45%
2018 2.75% 2.08% 2.57% 0.25% -1.16% 1.50% 1.19% 1.52% -4.96% -3.74% -15.14% -0.89%
2019 -19.80% 1.63% -0.06% -0.27% -4.85% -1.07% -1.05% 2.94% 1.30% 0.97% 2.84%
Announcements
No announcements for this index.