Currency / Return Type: Report Frequency: Category:    
History: Report Start Date: Date Picker Report End Date: Date Picker    
Description
It replicates a strategy of selling straddles on futures, with daily monitoring and hedging of the delta position in each futures contract
Details
Guide
Historical Inception Date 11-Dec-2007          
Index Live Date 11-Dec-2007          
Bloomberg Id N/A          
Reuters Id N/A          
Return Data
Current Level 88.06    
High 150.85 Low 78.45
Annualized Return (%) -11.66 Volatility 25.59
Sharpe Ratio -0.46 Sortino Ratio -0.34
Max Drawdown (%) -47.99    
Daily Return (%) -0.12 Month-to-Date Return (%) 2.51
3 Month Return (%) -29.83 6 Month Return (%) -29.47
YTD Return (%) -32.71 12 Month Return (%) -39.87
Risk Free Rate (%) 0.00    
Monthly Return Statistics
Average Return (%) -0.74 Average Positive Return (%) 3.58
Number of +ve Months 18 % +ve Months (%) 48.65
Average Negative Return (%) -4.83 Best Month (Jan 2019) (%) 14.56
Maximum Monthly Drawdown (%) -27.45    
Excel + Deutsche Bank Commodity WTI Short Volatility III Sub-index 1 Index Levels
Monthly Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2017 -0.47% 1.07% -1.25% 3.15% 3.18% 2.15% 1.31% 2.07%
2018 -0.96% 1.44% -1.68% -2.93% -0.30% -2.61% -1.89% -0.22% 0.01% -0.88% -3.49% -7.00%
2019 14.56% 4.23% 4.17% 0.35% -2.25% 2.36% 4.23% -12.24% -16.43% 10.46% 2.32% 4.82%
2020 -2.00% -2.16% -27.45% -5.64% 2.50%
Announcements
No announcements for this index.