Currency / Return Type: Report Frequency: Category:    
History: Report Start Date: Date Picker Report End Date: Date Picker    
Description
The Index is based on a systematic short volatility strategy selling straddles on futures and hedging the delta using the underlying future.
Details
Guide
Historical Inception Date 11-Dec-2007          
Index Live Date 11-Dec-2007          
Bloomberg Id DBCMBS33          
Reuters Id N/A          
Return Data
Current Level 354.11    
High 419.42 Low 283.76
Annualized Return (%) 2.54 Volatility 26.31
Sharpe Ratio 0.10 Sortino Ratio 0.08
Max Drawdown (%) -32.34    
Daily Return (%) -0.10 Month-to-Date Return (%) 9.43
3 Month Return (%) -9.39 6 Month Return (%) -8.97
YTD Return (%) -11.36 12 Month Return (%) -7.23
Risk Free Rate (%) 0.00    
Monthly Return Statistics
Average Return (%) 0.32 Average Positive Return (%) 3.26
Number of +ve Months 21 % +ve Months (%) 56.76
Average Negative Return (%) -3.54 Best Month (Jan 2019) (%) 14.14
Maximum Monthly Drawdown (%) -11.01    
Excel + db Brent Short Volatility III Sub Index 3 Index Index Levels
Monthly Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2017 -0.21% 1.81% -1.40% 2.53% 1.40% 2.14% 0.49% 0.54%
2018 0.63% -0.07% -1.23% -1.53% 0.50% -1.86% -5.22% 2.74% 0.41% -1.28% -2.89% -4.21%
2019 14.14% 1.42% 5.59% 0.85% -0.01% 3.96% 6.60% -8.99% -7.40% 8.77% 1.59% 2.70%
2020 -2.39% 0.22% -11.01% -6.95% 9.43%
Announcements
No announcements for this index.