Currency / Return Type: Report Frequency: Category:    
History: Report Start Date: Date Picker Report End Date: Date Picker    
Description
Deutsche Bank EMERALD (Equity MEan Reversion ALpha inDex) index aims to measure the spread between the daily and weekly variance of the S&P 500 on a rolling weekly basis. It is composed of approximately 1/5th of each of the Deutsche Bank EMERALD single weekday indices.
Details
Guide guide
Historical Inception Date 27-Sep-2016          
Index Live Date 09-Nov-2009          
Bloomberg Id DBVEMR          
Reuters Id .DBVEMR          
Return Data
Current Level 198.76    
High 201.07 Low 129.60
Annualized Return (%) 14.89 Volatility 10.57
Sharpe Ratio 1.41 Sortino Ratio 2.10
Max Drawdown (%) -14.64    
Daily Return (%) 0.01 Month-to-Date Return (%) -0.88
3 Month Return (%) 0.02 6 Month Return (%) 1.85
YTD Return (%) 0.00 12 Month Return (%) 2.86
Risk Free Rate (%) 0.00    
Monthly Return Statistics
Average Return (%) 1.18 Average Positive Return (%) 1.93
Number of +ve Months 28 % +ve Months (%) 75.68
Average Negative Return (%) -1.14 Best Month (Sep 2008) (%) 17.49
Maximum Monthly Drawdown (%) -2.34    
Excel + DB Emerald Index Levels
Monthly Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2007 0.11% -0.58% 1.03% 1.02% -1.62% 5.73% 0.69% 0.17% 2.59% 0.62%
2008 -1.57% 0.59% 4.20% 0.39% 0.24% 1.03% 3.24% 3.48% 17.49% -1.38% 1.29% 2.47%
2009 0.46% 0.17% -0.47% 2.01% 0.84% 0.35% -2.34% 0.26% -0.69% 0.90% 0.49% 0.43%
2010 -0.77% 1.67% -0.88%
Announcements
No announcements for this index.