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 191.83    
High 294.53 Low 169.00
Annualized Return (%) -6.22 Volatility 25.63
Sharpe Ratio -0.24 Sortino Ratio -0.16
Max Drawdown (%) -42.62    
Daily Return (%) 0.81 Month-to-Date Return (%) 6.37
3 Month Return (%) -30.84 6 Month Return (%) -33.37
YTD Return (%) -21.69 12 Month Return (%) -27.78
Risk Free Rate (%) 0.00    
Monthly Return Statistics
Average Return (%) -0.30 Average Positive Return (%) 3.43
Number of +ve Months 17 % +ve Months (%) 47.22
Average Negative Return (%) -3.65 Best Month (Jan 2019) (%) 8.86
Maximum Monthly Drawdown (%) -29.05    
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% -29.05% 6.38%
Announcements
No announcements for this index.