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 101.83    
High 150.85 Low 101.83
Annualized Return (%) -1.95 Volatility 19.78
Sharpe Ratio -0.10 Sortino Ratio -0.07
Max Drawdown (%) -32.49    
Daily Return (%) -1.19 Month-to-Date Return (%) -22.96
3 Month Return (%) -27.68 6 Month Return (%) -27.98
YTD Return (%) -11.98 12 Month Return (%) -21.65
Risk Free Rate (%) 0.00    
Monthly Return Statistics
Average Return (%) 0.02 Average Positive Return (%) 3.08
Number of +ve Months 20 % +ve Months (%) 57.14
Average Negative Return (%) -4.06 Best Month (Jan 2019) (%) 14.56
Maximum Monthly Drawdown (%) -22.96    
Excel + Deutsche Bank Commodity WTI Short Volatility III Sub-index 1 Index Levels
Monthly Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2016 -0.31% 7.41%
2017 2.06% 5.08% 0.68% 1.96% 0.21% 1.07% -1.25% 3.15% 3.18% 2.15% 1.31% 2.07%
2018 -0.96% 1.44% -1.68% -2.93% -0.30% -2.61% -1.89% -0.22% 0.01% -0.88% -3.49% -7.00%
2019 14.56% 4.23% 4.17% 0.35% -2.25% 2.36% 4.23% -12.24% -22.96%
Announcements
No announcements for this index.