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 88.25    
High 173.77 Low 87.40
Annualized Return (%) -2.90 Volatility 24.20
Sharpe Ratio -0.12 Sortino Ratio -0.19
Max Drawdown (%) -49.70    
Daily Return (%) 0.41 Month-to-Date Return (%) -2.55
3 Month Return (%) -10.37 6 Month Return (%) -20.66
YTD Return (%) -7.71 12 Month Return (%) -16.54
Risk Free Rate (%) 0.00    
Monthly Return Statistics
Average Return (%) -0.02 Average Positive Return (%) 5.44
Number of +ve Months 14 % +ve Months (%) 37.84
Average Negative Return (%) -3.34 Best Month (Oct 2008) (%) 34.22
Maximum Monthly Drawdown (%) -9.46    
Excel + Long Variance Index 3x6, S&P500 Index Levels
Monthly Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2008 1.40% -0.27% -5.42% 0.19% 1.43% -1.06% 0.06% 6.07% 34.22% 10.57% -5.06%
2009 0.86% 0.15% -0.83% -3.27% -5.26% -2.71% -1.95% 0.56% -3.94% 0.00% -1.91% -4.36%
2010 -1.69% -3.32% -3.14% 5.12% 11.88% 1.53% -9.46% 2.12% -5.05% -5.37% -0.20% -4.62%
2011 -5.29% -2.55%
Announcements
No announcements for this index.