Currency / Return Type: Report Frequency: Category:    
History: Report Start Date: Date Picker Report End Date: Date Picker    
Description
Long leg of the DBCMMAUE Index
Details
Guide guide
Historical Inception Date 03-Jan-2002          
Index Live Date 08-Feb-2016          
Bloomberg Id DBCMMALE          
Reuters Id N/A          
Return Data
Current Level 1137.05    
High 1638.37 Low 871.56
Annualized Return (%) -1.88 Volatility 20.03
Sharpe Ratio -0.09 Sortino Ratio -0.13
Max Drawdown (%) -46.80    
Daily Return (%) 1.23 Month-to-Date Return (%) 1.09
3 Month Return (%) 21.34 6 Month Return (%) -7.11
YTD Return (%) -6.69 12 Month Return (%) -1.70
Risk Free Rate (%) 0.00    
Monthly Return Statistics
Average Return (%) 0.02 Average Positive Return (%) 4.65
Number of +ve Months 20 % +ve Months (%) 54.05
Average Negative Return (%) -5.43 Best Month (Feb 2017) (%) 10.39
Maximum Monthly Drawdown (%) -10.13    
Excel + DB Commodity Momentum Alpha Long Index Index Levels
Monthly Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2017 4.67% 8.13% -1.60% 4.59% -2.36% 10.39%
2018 6.06% -7.06% -2.22% 2.07% 7.57% -4.57% -8.87% -4.10% 1.83% -9.15% 2.65% -3.27%
2019 5.96% 3.20% -1.53% -3.21% -10.13% 2.79% 1.61% 2.15% -0.35% 3.51% -8.34% 5.24%
2020 -8.20% -7.46% -9.91% 2.83% 8.76% 7.84% 1.09%
Announcements
No announcements for this index.