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 DBCMBS23          
Reuters Id N/A          
Return Data
Current Level 106.75    
High 219.02 Low 104.89
Annualized Return (%) -15.81 Volatility 37.03
Sharpe Ratio -0.43 Sortino Ratio -0.25
Max Drawdown (%) -52.11    
Daily Return (%) 1.77 Month-to-Date Return (%) -44.40
3 Month Return (%) -45.29 6 Month Return (%) -49.00
YTD Return (%) -42.88 12 Month Return (%) -45.36
Risk Free Rate (%) 0.00    
Monthly Return Statistics
Average Return (%) -0.94 Average Positive Return (%) 3.28
Number of +ve Months 17 % +ve Months (%) 45.95
Average Negative Return (%) -4.52 Best Month (Feb 2017) (%) 9.33
Maximum Monthly Drawdown (%) -44.40    
Excel + db Brent Short Volatility III Sub Index 2 Index Index Levels
Monthly Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2016 -0.87% -0.66% -4.68% 7.76%
2017 2.17% 9.33% -5.60% 3.43% -1.66% -0.98% -0.45% 2.31% 0.45% 2.50% 1.34% -0.92%
2018 1.69% -4.32% -2.67% -0.09% -0.80% -0.50% -1.07% 2.05% 2.23% -0.78% -3.75% 0.45%
2019 7.60% 2.63% 1.83% -0.90% -7.44% 3.66% 4.31% -7.88% -44.40%
Announcements
No announcements for this index.