Currency / Return Type: Report Frequency: Category:    
History: Report Start Date: Date Picker Report End Date: Date Picker    
Description
It replicates a strategy of selling straddles on futures, with daily monitoring and hedging of the delta position in each futures contract
Details
Guide
Historical Inception Date 11-Dec-2007          
Index Live Date 11-Dec-2007          
Bloomberg Id N/A          
Reuters Id N/A          
Return Data
Current Level 74.82    
High 107.65 Low 73.27
Annualized Return (%) -8.81 Volatility 15.91
Sharpe Ratio -0.55 Sortino Ratio -0.44
Max Drawdown (%) -31.94    
Daily Return (%) 0.11 Month-to-Date Return (%) -2.16
3 Month Return (%) -2.64 6 Month Return (%) -7.41
YTD Return (%) -3.96 12 Month Return (%) -30.16
Risk Free Rate (%) 0.00    
Monthly Return Statistics
Average Return (%) -0.62 Average Positive Return (%) 1.87
Number of +ve Months 18 % +ve Months (%) 51.43
Average Negative Return (%) -3.25 Best Month (Jan 2019) (%) 4.13
Maximum Monthly Drawdown (%) -23.10    
Excel + Deutsche Bank Commodity Natural Gas Short Volatility III Sub-index 2 Index Levels
Monthly Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2016 2.76% -6.54%
2017 -1.49% -1.05% 2.76% 1.58% -2.57% 1.06% 0.66% 3.28% -3.03% 1.93% -0.39% -0.07%
2018 4.04% 3.05% 2.52% 0.97% -1.30% 0.48% 1.22% 0.60% -4.06% 1.56% -23.10% -2.76%
2019 4.13% -0.37% -0.53% -0.58% -4.08% 0.23% -1.25% 0.77% -2.16%
Announcements
No announcements for this index.