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 253.52    
High 310.53 Low 207.69
Annualized Return (%) 0.20 Volatility 23.91
Sharpe Ratio 0.01 Sortino Ratio 0.01
Max Drawdown (%) -33.12    
Daily Return (%) 0.73 Month-to-Date Return (%) 7.69
3 Month Return (%) -11.60 6 Month Return (%) -15.61
YTD Return (%) -2.87 12 Month Return (%) -8.24
Risk Free Rate (%) 0.00    
Monthly Return Statistics
Average Return (%) 0.16 Average Positive Return (%) 2.63
Number of +ve Months 25 % +ve Months (%) 67.57
Average Negative Return (%) -5.00 Best Month (Oct 2019) (%) 7.69
Maximum Monthly Drawdown (%) -19.01    
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 0.98% -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% -19.01% 7.69%
Announcements
No announcements for this index.