Currency / Return Type: Report Frequency: Category:    
History: Report Start Date: Date Picker Report End Date: Date Picker    
Description
The DB Liquid US Mortgage-Backed Security Fixed Rate Index aims to provide investors with a simple way to benchmark against the US Agency Mortgage market using the most liquid instruments available. Deutsche Bank Liquid US MBS Fixed Rate Index was developed by the Deutsche Bank Index Group to cover the US Agency Pass-through MBS market. Its construction was designed to represent the whole US Agency Fixed Rate MBS market, but the index uses only the most liquid securities to accomplish this. As a result, the performance of the index tracks closely to most of the major broad-based MBS indices.
Details
Guide guide summary
Historical Inception Date 31-Jul-2010          
Index Live Date 17-Feb-2012          
Bloomberg Id DBMBSIDX          
Reuters Id N/A          
Return Data
Current Level 229.65    
High 230.53 Low 213.70
Annualized Return (%) 3.65 Volatility 2.52
Sharpe Ratio 1.40 Sortino Ratio 2.03
Max Drawdown (%) -2.55    
Daily Return (%) 0.06 Month-to-Date Return (%) -0.16
3 Month Return (%) 0.38 6 Month Return (%) 0.79
YTD Return (%) 0.23 12 Month Return (%) 5.27
Risk Free Rate (%) 0.12    
Monthly Return Statistics
Average Return (%) 0.29 Average Positive Return (%) 0.48
Number of +ve Months 15 % +ve Months (%) 75.00
Average Negative Return (%) -0.26 Best Month (Aug 2011) (%) 1.37
Maximum Monthly Drawdown (%) -0.65    
Excel + DB Liquid US MBS Fixed Rate Index Index Levels
Monthly Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2010 0.15% -0.38% 0.87% -0.12% -0.65%
2011 0.03% 0.20% 0.27% 1.11% 1.13% 0.04% 0.78% 1.37% 0.12% -0.02% 0.07% 0.62%
2012 0.37% 0.03% -0.16%
Announcements
As of COB 31-Oct-2012, the DB Liquid US Mortgage-Backed Security Fixed Rate Index will include the following additional bonds:
3.0% Fannie Mae 30 Year
3.0% Ginnie Mae 30 Year
3.0% Freddie Mac 30 Year
3.0% Fannie Mae 15 Year
3.0% Ginnie Mae 15 Year
3.0% Freddie Mac 15 Year
2.5% Fannie Mae 15 Year
2.5% Freddie Mac 15 Year
2014 Announcement:
Price source change for MBS indices. From 01-Oct-14 DBIQ will change the primary pricing source from DB to IDC for the following
MBS Indices; DB Liquid MBS Index (DBMBSTVL), DB Liquid MBS US Fixed Rate Index (DBMBSIDX). A full list of index identifiers is available on request.