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History: Report Start Date: Date Picker Report End Date: Date Picker    
Description
The Deutsche Bank Momentum Asset Allocator 5.50% Volatility Control Index (Bloomberg: DBMUAU55 ) (the �Volatility Control Index�) is a proprietary index of Deutsche Bank AG, London Branch (together with any successor index sponsor, the �Volatility Control Index Sponsor�) that provides dynamically adjusted exposure to an unfunded notional position in the Deutsche Bank Momentum Asset Allocator Index (the �Momentum Index�). Because the exposure to the Momentum Index is unfunded, the Volatility Control Index reflects the performance of the Momentum Index, less a deemed borrowing cost equal to the performance of the Deutsche Bank Momentum Money Market Index (the �Cash Index�). We refer to the Momentum Index less the performance of the Cash Index as the �Cash Adjusted Momentum Index.� The Volatility Control Index is also subject to the deduction of a fee of 0.25% per annum deducted daily (the �Index Fee�). The Volatility Control Index aims to maintain an annualized volatility of 5.50% or less each day by adjusting the notional exposure to the Cash Adjusted Momentum Index by reference to the higher of the exponentially weighted realized twenty-day volatility and exponentially weighted realized sixty-day volatility of the Cash Adjusted Momentum Index. The notional exposure to the Cash Adjusted Momentum Index will generally decrease if the higher realized volatility increases and will, in turn, generally increase if the higher realized volatility decreases, subject to a maximum notional exposure to the Cash Adjusted Momentum Index of 100%. The actual realized volatility of the Volatility Control Index at any time may be higher than 5.50%. At any time that the notional exposure to the Cash Adjusted Momentum Index is lower than 100%, the return of the Volatility Control Index will reflect less than 100% of the return of the Cash Adjusted Momentum Index.
Details
Guide publication
Historical Inception Date 27-Jun-2003          
Index Live Date 01-May-2015          
Bloomberg Id DBMUAU55          
Reuters Id .DBMUAU55          
Return Data
Current Level 187.98    
High 191.08 Low 159.11
Annualized Return (%) 5.23 Volatility 4.88
Sharpe Ratio 1.07 Sortino Ratio 1.30
Max Drawdown (%) -6.20    
Daily Return (%) 0.48 Month-to-Date Return (%) -0.25
3 Month Return (%) -0.75 6 Month Return (%) 1.23
YTD Return (%) 2.10 12 Month Return (%) 2.78
Risk Free Rate (%) 0.00    
Monthly Return Statistics
Average Return (%) 0.42 Average Positive Return (%) 1.33
Number of +ve Months 22 % +ve Months (%) 59.46
Average Negative Return (%) -0.90 Best Month (Aug 2019) (%) 3.89
Maximum Monthly Drawdown (%) -2.23    
Excel + Deutsche Bank Momentum Asset Allocator 5.5% Volatility Control Index Index Levels
Monthly Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2018 -0.77%
2019 1.56% 0.58% 0.62% 0.38% 0.29% 2.07% 0.32% 3.89% -1.38% 0.39% -0.94% 1.34%
2020 2.66% -1.21% -0.84% 1.40% 0.41% 0.59% 2.81% 0.37% -0.93% -0.29% -1.46% 1.62%
2021 -0.51% -1.70% -0.23% 1.79% 1.57% -0.73% 1.39% 1.23% -2.23% 1.87% -0.02% -0.25%
Announcements
No announcements for this index.