Currency / Return Type: Report Frequency: Category:    
History: Report Start Date: Date Picker Report End Date: Date Picker    
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 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    
Excel + Deutsche Bank Long USD Currency Portfolio Index Index Levels
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%
Announcements
No announcements for this index.