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 Natural Gas
Details
Guide
Historical Inception Date 25-Nov-2016          
Index Live Date 19-Jun-2015          
Bloomberg Id DBCMHSV3          
Reuters Id N/A          
Return Data
Current Level 268.51    
High 371.76 Low 262.39
Annualized Return (%) -5.79 Volatility 13.19
Sharpe Ratio -0.44 Sortino Ratio -0.36
Max Drawdown (%) -29.42    
Daily Return (%) 0.01 Month-to-Date Return (%) -1.51
3 Month Return (%) -2.81 6 Month Return (%) -6.09
YTD Return (%) -12.30 12 Month Return (%) -27.62
Risk Free Rate (%) 0.00    
Monthly Return Statistics
Average Return (%) -0.42 Average Positive Return (%) 1.80
Number of +ve Months 18 % +ve Months (%) 51.43
Average Negative Return (%) -2.77 Best Month (Jan 2018) (%) 3.83
Maximum Monthly Drawdown (%) -13.78    
Excel + DB Natural Gas Short Volatility III Index Index Levels
Monthly Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2016 1.51% -2.58%
2017 -3.36% -0.36% 3.41% 2.14% -0.95% 1.07% 0.15% 3.27% -1.34% 2.13% 1.23% -2.86%
2018 3.83% 3.28% 2.71% 0.65% -1.56% 1.13% 1.07% 1.43% -4.30% -1.24% -13.78% 1.37%
2019 -7.02% 0.40% -0.15% -0.39% -2.95% -0.92% -1.82% 1.59% -1.51%
Announcements
No announcements for this index.