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 96.51    
High 151.99 Low 81.56
Annualized Return (%) -6.94 Volatility 24.46
Sharpe Ratio -0.28 Sortino Ratio -0.19
Max Drawdown (%) -46.34    
Daily Return (%) 0.05 Month-to-Date Return (%) 8.39
3 Month Return (%) -21.79 6 Month Return (%) -25.88
YTD Return (%) -18.74 12 Month Return (%) -25.59
Risk Free Rate (%) 0.00    
Monthly Return Statistics
Average Return (%) -0.39 Average Positive Return (%) 3.03
Number of +ve Months 20 % +ve Months (%) 55.56
Average Negative Return (%) -4.67 Best Month (Feb 2016) (%) 9.50
Maximum Monthly Drawdown (%) -24.89    
Excel + Deutsche Bank Commodity WTI Short Volatility III Sub-index 2 Index Levels
Monthly Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2016 -2.15% 9.50%
2017 0.88% 8.86% -4.77% 5.97% 0.26% -0.66% -1.42% 1.52% 3.32% -0.40% 2.64% 1.09%
2018 0.04% -1.68% -2.17% -3.73% -1.25% -4.34% -3.01% 1.46% 0.06% 0.08% -10.41% 2.16%
2019 1.87% 5.15% 2.44% -0.69% -8.31% 3.61% 1.33% -4.84% -24.89% 8.39%
Announcements
No announcements for this index.