Currency / Return Type: Report Frequency: Category:    
History: Report Start Date: Date Picker Report End Date: Date Picker    
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
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    
Excel + DB Commodity Vol Premium EUR hedged ER Index Index Levels
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%
Announcements
No announcements for this index.