Currency / Return Type: Report Frequency: Category:    
History: Report Start Date: Date Picker Report End Date: Date Picker    
Description
The Index is based on a systematic short volatility strategy selling straddles on futures and hedging the delta using the underlying future.
Details
Guide
Historical Inception Date 11-Dec-2007          
Index Live Date 11-Dec-2007          
Bloomberg Id DBCMBS13          
Reuters Id N/A          
Return Data
Current Level 212.05    
High 310.53 Low 207.69
Annualized Return (%) -5.26 Volatility 23.74
Sharpe Ratio -0.22 Sortino Ratio -0.15
Max Drawdown (%) -33.12    
Daily Return (%) 2.10 Month-to-Date Return (%) -27.05
3 Month Return (%) -21.78 6 Month Return (%) -27.15
YTD Return (%) -18.75 12 Month Return (%) -23.29
Risk Free Rate (%) 0.00    
Monthly Return Statistics
Average Return (%) -0.23 Average Positive Return (%) 2.59
Number of +ve Months 24 % +ve Months (%) 64.86
Average Negative Return (%) -5.45 Best Month (Feb 2016) (%) 7.14
Maximum Monthly Drawdown (%) -27.05    
Excel + db Brent Short Volatility III Sub Index 1 Index Index Levels
Monthly Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2016 -2.86% 5.08% -4.73% 7.14%
2017 0.51% 6.97% -2.79% 1.51% 1.08% 0.95% 0.29% 0.34% 2.72% 1.90% 3.80% -0.16%
2018 0.21% -0.54% -2.05% -0.90% -0.54% -1.46% -7.99% 1.42% 1.12% 0.97% -9.30% 3.77%
2019 4.54% 2.56% 7.08% 0.03% -10.51% 6.25% 1.57% 0.40% -27.05%
Announcements
No announcements for this index.