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 WTI Crude
Details
Guide
Historical Inception Date 16-Nov-2016          
Index Live Date 19-Jun-2015          
Bloomberg Id DBCMWSV3          
Reuters Id N/A          
Return Data
Current Level 169.00    
High 294.53 Low 169.00
Annualized Return (%) -10.50 Volatility 25.82
Sharpe Ratio -0.41 Sortino Ratio -0.26
Max Drawdown (%) -42.62    
Daily Return (%) -0.97 Month-to-Date Return (%) -33.51
3 Month Return (%) -36.94 6 Month Return (%) -40.05
YTD Return (%) -31.01 12 Month Return (%) -36.59
Risk Free Rate (%) 0.00    
Monthly Return Statistics
Average Return (%) -0.62 Average Positive Return (%) 3.25
Number of +ve Months 16 % +ve Months (%) 45.71
Average Negative Return (%) -3.88 Best Month (Jan 2019) (%) 8.86
Maximum Monthly Drawdown (%) -33.52    
Excel + DB WTI Short Volatility III Index Index Levels
Monthly Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2016 -1.79% 7.78%
2017 1.67% 7.60% -2.79% 3.82% -0.34% -0.46% -0.96% 2.35% 2.21% 1.94% 1.50% 0.99%
2018 -0.36% -0.83% -1.37% -2.79% -0.81% -1.70% -1.79% 0.74% 0.46% -0.64% -5.48% -2.19%
2019 8.86% 3.99% 2.60% -0.09% -5.92% 2.43% 3.05% -9.95% -33.52%
Announcements
No announcements for this index.