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 396.94    
High 419.42 Low 267.14
Annualized Return (%) 13.52 Volatility 16.95
Sharpe Ratio 0.80 Sortino Ratio 0.66
Max Drawdown (%) -23.87    
Daily Return (%) 0.93 Month-to-Date Return (%) 3.66
3 Month Return (%) 9.74 6 Month Return (%) 2.69
YTD Return (%) 29.81 12 Month Return (%) 23.42
Risk Free Rate (%) 0.00    
Monthly Return Statistics
Average Return (%) 1.12 Average Positive Return (%) 3.31
Number of +ve Months 24 % +ve Months (%) 64.86
Average Negative Return (%) -2.92 Best Month (Jan 2019) (%) 14.14
Maximum Monthly Drawdown (%) -8.99    
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
2016 0.38% 5.06%
2017 2.78% 5.70% 2.45% 4.86% -1.84% 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% 3.66%
Announcements
No announcements for this index.