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 95.84    
High 109.21 Low 76.46
Annualized Return (%) 6.05 Volatility 13.72
Sharpe Ratio 0.44 Sortino Ratio 0.39
Max Drawdown (%) -15.87    
Daily Return (%) -0.12 Month-to-Date Return (%) -0.50
3 Month Return (%) -4.35 6 Month Return (%) -4.45
YTD Return (%) -9.10 12 Month Return (%) -10.99
Risk Free Rate (%) 0.00    
Monthly Return Statistics
Average Return (%) 0.51 Average Positive Return (%) 2.12
Number of +ve Months 23 % +ve Months (%) 65.71
Average Negative Return (%) -2.57 Best Month (Feb 2018) (%) 7.67
Maximum Monthly Drawdown (%) -5.05    
Excel + Deutsche Bank Commodity Natural Gas Short Volatility III Sub-index 3 Index Levels
Monthly Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2016 0.20% 2.85%
2017 -5.05% 1.20% 2.68% 2.10% 1.59% 0.90% 0.05% 4.27% 0.03% 1.81% 4.27% -4.04%
2018 4.69% 4.68% 3.03% 0.69% -2.19% 1.43% 0.83% 2.18% -3.92% -1.69% -2.97% 7.67%
2019 -4.99% 0.17% 0.14% -0.29% -0.39% -1.85% -2.94% 1.31% -0.50%
Announcements
No announcements for this index.