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 81.99    
High 190.62 Low 81.44
Annualized Return (%) -18.10 Volatility 39.87
Sharpe Ratio -0.45 Sortino Ratio -0.26
Max Drawdown (%) -57.27    
Daily Return (%) 0.67 Month-to-Date Return (%) -47.23
3 Month Return (%) -51.71 6 Month Return (%) -54.65
YTD Return (%) -48.31 12 Month Return (%) -51.02
Risk Free Rate (%) 0.00    
Monthly Return Statistics
Average Return (%) -1.06 Average Positive Return (%) 3.04
Number of +ve Months 17 % +ve Months (%) 48.57
Average Negative Return (%) -4.93 Best Month (Jan 2019) (%) 10.49
Maximum Monthly Drawdown (%) -47.23    
Excel + Deutsche Bank Commodity WTI Short Volatility III Sub-index 3 Index Levels
Monthly Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2016 -2.92% 6.41%
2017 2.10% 8.93% -4.23% 3.58% -1.53% -1.85% -0.15% 2.38% 0.00% 4.26% 0.54% -0.19%
2018 -0.16% -2.27% -0.21% -1.67% -0.89% 1.87% -0.53% 1.01% 1.26% -1.05% -2.57% -1.64%
2019 10.49% 2.70% 1.22% 0.04% -7.38% 1.40% 3.43% -12.24% -47.23%
Announcements
No announcements for this index.