Description
The Deutsche Bank Long USD Currency Portfolio Indices reflect the return from investing in the first USDX future contact listed on ICE. Indices reflecting the return of both long and short positions in the future are available. The long future index represents a bullish dollar view. The short future index represents a bearish dollar view. Both indices invest in the 1st USDX future contact. The contracts are rolled on the Wednesday prior to each IMM date.
Details
Guide |
![]() |
|||||
---|---|---|---|---|---|---|
Historical Inception Date | 15-Feb-2017 | |||||
Index Live Date | 13-Nov-2006 | |||||
Bloomberg Id | DBUSDLE | |||||
Reuters Id | .DBUSDXLI |
Return Data
Current Level | 67.68 | ||
---|---|---|---|
High | 69.10 | Low | 53.83 |
Annualized Return (%) | 7.48 | Volatility | 7.74 |
Sharpe Ratio | 0.97 | Sortino Ratio | 1.40 |
Max Drawdown (%) | -8.67 | ||
Daily Return (%) | -0.06 | Month-to-Date Return (%) | 1.70 |
3 Month Return (%) | 0.95 | 6 Month Return (%) | 5.94 |
YTD Return (%) | -1.09 | 12 Month Return (%) | 5.40 |
Risk Free Rate (%) | 0.00 |
Monthly Return Statistics
Average Return (%) | 0.61 | Average Positive Return (%) | 1.85 |
---|---|---|---|
Number of +ve Months | 24 | % +ve Months (%) | 64.86 |
Average Negative Return (%) | -1.69 | Best Month (Jan 2015) (%) | 4.80 |
Maximum Monthly Drawdown (%) | -4.00 |
Monthly Returns
Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
---|---|---|---|---|---|---|---|---|---|---|---|---|
2014 | -0.41% | 0.52% | -0.90% | 1.10% | -0.85% | 2.14% | 1.55% | 3.76% | 1.13% | 1.61% | 2.24% | |
2015 | 4.80% | 0.34% | 3.02% | -4.00% | 2.40% | -1.71% | 1.86% | -1.63% | 0.45% | 0.56% | 3.29% | -1.54% |
2016 | 0.92% | -1.44% | -3.77% | -1.61% | 3.03% | 0.30% | -0.74% | 0.55% | -0.59% | 3.18% | 3.17% | 0.77% |
2017 | -2.74% | 1.69% |