Currency / Return Type: Report Frequency: Category:    
History: Report Start Date: Date Picker Report End Date: Date Picker    
Note: Benchmark Indices are quoted in Total Return. Third Party Index Disclaimer
-25.0 -20.0 -15.0 -10.0 -5.0 0.0 5.0 10.0 15.0 20.0 25.0
Color coding highlights the change relative to the previous close
Return Comparison
  DBLCI - MR DBLCI DBCR Funded USD Fed Funds Index MSCI TR Net World USD MSCI EM TR Net USD S&P 500 TR .BCOM
Annualised Return 9.70 3.15 3.33 1.76 7.14 11.78 7.57 -0.74
Volatility 21.43 22.40 5.05 0.15 17.63 21.47 20.32 18.62
Sharpe Ratio 0.37 0.14 0.32 N/A 0.31 0.47 0.29 -0.04
Sortino Ratio 0.54 0.19 0.39 N/A 0.36 0.57 0.35 -0.06
Max Drawdown -62.67 -65.16 -8.22 0.00 -57.82 -65.24 -55.25 -57.13
Daily Return 0.38 0.30 0.08 0.00 0.87 0.38 1.13 0.12
Month-to-Date Return 1.47 1.94 0.21 0.00 -0.94 -1.57 0.01 0.93
3 Month Return -7.34 -8.13 1.35 0.02 7.79 5.23 9.63 -4.12
6 Month Return -3.99 -3.67 0.91 0.05 11.79 3.08 12.43 -4.84
YTD Return -7.87 -8.89 2.09 0.10 22.89 -2.72 29.13 -9.84
12 Month Return -7.06 -8.34 2.22 0.12 24.82 0.60 30.43 -11.99
Risk Free Rate 1.72 0.00 1.72 1.72 1.72 1.72 1.72 0.00
Correlation
  .BCOM DBLCI - MR DBCR Funded USD DBLCI Fed Funds Index MSCI EM TR Net USD MSCI TR Net World USD S&P 500 TR
.BCOM 1.00 0.85 0.14 0.91 -0.01 0.45 0.29 0.32
DBLCI - MR 0.85 1.00 0.14 0.91 0.01 0.42 0.31 0.33
DBCR Funded USD 0.14 0.14 1.00 0.13 0.02 0.28 0.24 0.15
DBLCI 0.91 0.91 0.13 1.00 -0.01 0.41 0.28 0.32
Fed Funds Index -0.01 0.01 0.02 -0.01 1.00 0.00 -0.01 -0.01
MSCI EM TR Net USD 0.45 0.42 0.28 0.41 0.00 1.00 0.49 0.48
MSCI TR Net World USD 0.29 0.31 0.24 0.28 -0.01 0.49 1.00 0.40
S&P 500 TR 0.32 0.33 0.15 0.32 -0.01 0.48 0.40 1.00