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 48.20    
High 61.73 Low 20.41
Annualized Return (%) 21.90 Volatility 32.52
Sharpe Ratio 0.67 Sortino Ratio 1.45
Max Drawdown (%) -26.77    
Daily Return (%) 0.16 Month-to-Date Return (%) -0.87
3 Month Return (%) 0.46 6 Month Return (%) 133.82
YTD Return (%) 127.88 12 Month Return (%) 109.63
Risk Free Rate (%) 0.00    
Monthly Return Statistics
Average Return (%) 2.70 Average Positive Return (%) 14.85
Number of +ve Months 11 % +ve Months (%) 29.73
Average Negative Return (%) -2.45 Best Month (Mar 2020) (%) 112.96
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
2017 1.20% -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% -2.05% -2.66%
2020 -0.67% 10.57% 112.96% -3.69% -1.70% 3.35% 0.45% -0.88%
Announcements
No announcements for this index.