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Description
The DB Commodity Vol premium index is a fixed weighted basket on systematic short volatility strategy on 6 different commodities. For further information on this index please contact index.data@db.com.
Details
| Guide |
 guide
|
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|---|---|---|---|---|---|---|
| Historical Inception Date | 11-May-2009 | |||||
| Index Live Date | 23-Jul-2015 | |||||
| Bloomberg Id | DBCMCVPE | |||||
| Reuters Id | .DBCMCVPE | |||||
Return Data
| Current Level | 216.57 | ||
|---|---|---|---|
| High | 251.87 | Low | 201.05 |
| Annualized Return (%) | -1.93 | Volatility | 7.03 |
| Sharpe Ratio | -0.27 | Sortino Ratio | -0.23 |
| Max Drawdown (%) | -20.18 | ||
| Daily Return (%) | 0.33 | Month-to-Date Return (%) | 1.47 |
| 3 Month Return (%) | 0.14 | 6 Month Return (%) | -5.86 |
| YTD Return (%) | -4.29 | 12 Month Return (%) | -5.37 |
| Risk Free Rate (%) | 0.00 |
Monthly Return Statistics
| Average Return (%) | -0.14 | Average Positive Return (%) | 0.84 |
|---|---|---|---|
| Number of +ve Months | 22 | % +ve Months (%) | 59.46 |
| Average Negative Return (%) | -1.59 | Best Month (Oct 2019) (%) | 3.31 |
| Maximum Monthly Drawdown (%) | -5.15 |
Monthly Returns
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2016 | -0.86% | 2.43% | ||||||||||
| 2017 | -0.31% | 2.69% | 0.54% | 0.96% | 0.19% | 0.67% | -0.05% | 0.30% | 0.41% | 0.62% | 0.17% | -0.10% |
| 2018 | 0.53% | -0.90% | 0.37% | -1.46% | 0.08% | -1.34% | -0.39% | 0.09% | -0.78% | 0.00% | -4.42% | -0.68% |
| 2019 | 0.81% | 1.23% | 0.33% | -0.93% | -3.00% | 0.35% | 0.99% | -3.47% | -5.15% | 3.31% | 1.47% |