Currency / Return Type: Report Frequency: Category:    
History: Report Start Date: Date Picker Report End Date: Date Picker    
Description
The Index sells Copper straddles on a daily basis based on a fixed schedule. The straddle positions are delta hedged using futures contracts.
Details
Guide publication
Historical Inception Date 26-Aug-2009          
Index Live Date 01-Dec-2017          
Bloomberg Id DBCMPSV3          
Reuters Id N/A          
Return Data
Current Level 177.79    
High 246.81 Low 175.87
Annualized Return (%) -9.21 Volatility 11.83
Sharpe Ratio -0.78 Sortino Ratio -0.64
Max Drawdown (%) -28.74    
Daily Return (%) -0.21 Month-to-Date Return (%) -0.87
3 Month Return (%) -4.27 6 Month Return (%) -10.12
YTD Return (%) -11.65 12 Month Return (%) -13.53
Risk Free Rate (%) 0.00    
Monthly Return Statistics
Average Return (%) -0.75 Average Positive Return (%) 1.60
Number of +ve Months 16 % +ve Months (%) 43.24
Average Negative Return (%) -2.53 Best Month (Mar 2017) (%) 4.92
Maximum Monthly Drawdown (%) -5.67    
Excel + Deutsche Bank COMEX Copper Short Volatility III Index Index Levels
Monthly Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2016 -1.27% 1.77% -3.41% 4.77%
2017 0.26% -2.86% 4.92% -5.03% 3.09% -1.80% -4.30% 0.60% 1.11% -2.94% 1.59% -0.36%
2018 -1.82% -3.65% 1.34% -1.77% 0.79% -3.89% 0.31% -1.53% -0.83% 2.57% -1.64% -1.57%
2019 -2.76% 0.20% -0.92% -5.67% 0.63% 1.27% 0.35% -4.30% -0.87%
Announcements
No announcements for this index.