Currency / Return Type: Report Frequency: Category:    
History: Report Start Date: Date Picker Report End Date: Date Picker    
Description
DB Commodity Harvest is designed to represent a commodity neutral alpha strategy. The index reflects the return of holding a long DBLCI-OY Booster - S&P GSCI TM Light Energy position and a short S&P GSCITM Light Energy position. The weights are reset monthly on the tenth business day. Both excess and total return indices are calculated.
Details
Guide guide publication
Historical Inception Date 04-Aug-1997          
Index Live Date 01-Feb-2008          
Bloomberg Id DBCMHLEU          
Reuters Id .DBCMHLEU          
Return Data
Current Level 201.81    
High 205.58 Low 195.53
Annualized Return (%) 0.83 Volatility 1.73
Sharpe Ratio 0.48 Sortino Ratio 0.69
Max Drawdown (%) -2.15    
Daily Return (%) 0.32 Month-to-Date Return (%) -0.54
3 Month Return (%) -0.51 6 Month Return (%) -1.12
YTD Return (%) -1.55 12 Month Return (%) -1.83
Risk Free Rate (%) 0.00    
Monthly Return Statistics
Average Return (%) 0.07 Average Positive Return (%) 0.38
Number of +ve Months 22 % +ve Months (%) 59.46
Average Negative Return (%) -0.39 Best Month (Feb 2018) (%) 1.06
Maximum Monthly Drawdown (%) -1.08    
Excel + DB Commodity Harvest ER Index Levels
Monthly Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2016 -0.37% 0.50% 0.23% -0.29%
2017 0.47% 0.13% 0.58% 0.50% 0.04% -0.16% 0.08% 0.48% 0.01% 0.48% -0.12% -0.28%
2018 0.15% -0.16% 0.53% -0.25% 0.87% -0.59% 0.42% 0.30% 0.62% -0.08% -1.08% 1.06%
2019 0.03% -0.10% -0.75% -0.69% 0.45% -0.38% 0.11% 0.32% -0.55%
Announcements
No announcements for this index.