Currency / Return Type: Report Frequency: Category:    
History: Report Start Date: Date Picker Report End Date: Date Picker    
Description
DB Commodity Harvest is designed to represent a commodity neutral alpha strategy. The index reflects the return of holding a long DBLCI-OY Booster - S&P GSCI TM Light Energy position and a short S&P GSCITM Light Energy position. The weights are reset monthly on the tenth business day. Both excess and total return indices are calculated.
Details
Guide guide publication
Historical Inception Date 04-Aug-1997          
Index Live Date 01-Feb-2008          
Bloomberg Id DBCMHLEU          
Reuters Id .DBCMHLEU          
Return Data
Current Level 208.43    
High 221.17 Low 201.16
Annualized Return (%) 1.08 Volatility 3.15
Sharpe Ratio 0.34 Sortino Ratio 0.45
Max Drawdown (%) -5.82    
Daily Return (%) -0.16 Month-to-Date Return (%) -0.28
3 Month Return (%) -1.96 6 Month Return (%) -2.48
YTD Return (%) 2.81 12 Month Return (%) 2.93
Risk Free Rate (%) 0.00    
Monthly Return Statistics
Average Return (%) 0.09 Average Positive Return (%) 0.71
Number of +ve Months 19 % +ve Months (%) 51.35
Average Negative Return (%) -0.56 Best Month (Mar 2020) (%) 5.43
Maximum Monthly Drawdown (%) -2.26    
Excel + DB Commodity Harvest ER Index Levels
Monthly Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2017 0.04% -0.28%
2018 0.15% -0.16% 0.53% -0.25% 0.87% -0.59% 0.42% 0.30% 0.62% -0.08% -1.08% 1.06%
2019 0.03% -0.10% -0.75% -0.69% 0.45% -0.38% 0.11% 0.32% -0.63% 0.25% 0.17% 0.12%
2020 -0.03% 0.23% 5.43% 1.96% -2.26% -0.41% 0.39% -0.65% -0.17% -1.24% -0.28%
Announcements
No announcements for this index.