Currency / Return Type: Report Frequency: Category:    
History: Report Start Date: Date Picker Report End Date: Date Picker    
Description
Index comprises of 3 equally weighted sub-indices reweighted on an annual basis. Each sub-index replicates a strategy to sell straddles on 3 month futures on Brent Crude
Details
Guide
Historical Inception Date 27-Nov-2017          
Index Live Date 19-Jun-2015          
Bloomberg Id DBCMBSV3          
Reuters Id .DBCMBSV3          
Return Data
Current Level 360.27    
High 459.60 Low 303.70
Annualized Return (%) -8.54 Volatility 28.14
Sharpe Ratio -0.30 Sortino Ratio -0.20
Max Drawdown (%) -33.92    
Daily Return (%) 0.81 Month-to-Date Return (%) 4.76
3 Month Return (%) -19.01 6 Month Return (%) -20.09
YTD Return (%) -5.41 12 Month Return (%) -10.78
Risk Free Rate (%) 0.00    
Monthly Return Statistics
Average Return (%) -0.54 Average Positive Return (%) 3.20
Number of +ve Months 11 % +ve Months (%) 45.83
Average Negative Return (%) -3.71 Best Month (Jan 2019) (%) 8.73
Maximum Monthly Drawdown (%) -19.87    
Excel + DB Brent Short Volatility III Index Index Levels
Monthly Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2017 1.69% -0.18%
2018 0.84% -1.65% -1.98% -0.85% -0.28% -1.29% -4.80% 2.07% 1.26% -0.38% -5.31% -0.09%
2019 8.73% 2.19% 4.80% 0.01% -5.86% 4.58% 4.29% -5.75% -19.87% 4.76%
Announcements
No announcements for this index.