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 21.99    
High 34.34 Low 21.54
Annualized Return (%) -13.82 Volatility 15.02
Sharpe Ratio -0.92 Sortino Ratio -1.54
Max Drawdown (%) -37.29    
Daily Return (%) -0.02 Month-to-Date Return (%) -0.88
3 Month Return (%) -3.91 6 Month Return (%) -7.04
YTD Return (%) -13.16 12 Month Return (%) -4.54
Risk Free Rate (%) 0.00    
Monthly Return Statistics
Average Return (%) -1.13 Average Positive Return (%) 5.16
Number of +ve Months 7 % +ve Months (%) 18.92
Average Negative Return (%) -2.60 Best Month (Feb 2018) (%) 12.01
Maximum Monthly Drawdown (%) -5.21    
Excel + Long Variance Index 3x6- S&P500 Index Levels
Monthly Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2016 -1.68% -1.40%
2017 -5.11% -1.61% -4.88% -2.39% -1.26% -2.94% -3.89% 1.27% -4.13% -2.63% -1.15% -2.61%
2018 -0.91% 6.96% -0.49% -4.76% -2.60% -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% -0.89%
Announcements
No announcements for this index.