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 DBCMBS33          
Reuters Id N/A          
Return Data
Current Level 324.36    
High 419.42 Low 247.13
Annualized Return (%) 8.02 Volatility 17.13
Sharpe Ratio 0.47 Sortino Ratio 0.38
Max Drawdown (%) -23.87    
Daily Return (%) 1.58 Month-to-Date Return (%) -14.68
3 Month Return (%) -13.32 6 Month Return (%) -9.88
YTD Return (%) 6.08 12 Month Return (%) -2.75
Risk Free Rate (%) 0.00    
Monthly Return Statistics
Average Return (%) 0.73 Average Positive Return (%) 3.16
Number of +ve Months 23 % +ve Months (%) 62.16
Average Negative Return (%) -3.25 Best Month (Jan 2019) (%) 14.14
Maximum Monthly Drawdown (%) -14.68    
Excel + db Brent Short Volatility III Sub Index 3 Index Index Levels
Monthly Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2016 -0.23% 3.67% 2.27% 5.06%
2017 2.78% 5.70% 2.45% 4.86% -1.84% 1.81% -1.40% 2.53% 1.40% 2.14% 0.49% 0.54%
2018 0.63% -0.07% -1.23% -1.53% 0.50% -1.86% -5.22% 2.74% 0.41% -1.28% -2.89% -4.21%
2019 14.14% 1.42% 5.59% 0.85% -0.01% 3.96% 6.60% -8.99% -14.68%
Announcements
No announcements for this index.