Currency / Return Type: Report Frequency: Category:    
History: Report Start Date: Date Picker Report End Date: Date Picker    
Description
DB ELVIS (Equity Long Volatility Investment Strategy) tracks the performance of a long position in 3M-forward 6M variance swaps on S&P 500 Index.
Details
Guide guide
Historical Inception Date 16-Mar-1990          
Index Live Date 09-Nov-2009          
Bloomberg Id DBVELVIS          
Reuters Id .DBVELVIS          
Return Data
Current Level 41.65    
High 95.48 Low 20.41
Annualized Return (%) 20.02 Volatility 65.29
Sharpe Ratio 0.31 Sortino Ratio 0.39
Max Drawdown (%) -56.65    
Daily Return (%) -0.38 Month-to-Date Return (%) -0.06
3 Month Return (%) -9.22 6 Month Return (%) -9.90
YTD Return (%) -7.65 12 Month Return (%) -13.36
Risk Free Rate (%) 0.00    
Monthly Return Statistics
Average Return (%) 2.59 Average Positive Return (%) 12.74
Number of +ve Months 13 % +ve Months (%) 35.14
Average Negative Return (%) -2.91 Best Month (Mar 2020) (%) 112.96
Maximum Monthly Drawdown (%) -9.54    
Excel + Long Variance Index 3x6- S&P500 Index Levels
Monthly Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2018 -1.81% -1.10% -3.39% -1.60% -2.76% 7.69% -2.98% 12.01%
2019 -4.82% -2.87% -1.12% -1.30% 3.84% -5.21% 0.20% 4.16% -3.30% -2.24% -2.05% -2.66%
2020 -0.67% 10.57% 112.96% -3.69% -1.70% 3.35% 0.45% 0.63% -2.22% 1.38% -7.65% 0.68%
2021 7.71% -4.22% -9.54% -0.98% -0.06%
Announcements
No announcements for this index.