Currency / Return Type: Report Frequency: Category:    
History: Report Start Date: Date Picker Report End Date: Date Picker    
Description
DB Commodity Harvest ERAC is the after cost version of the DB Commodity Harvest ER Index. 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. Both excess and total return indices are calculated.
Details
Guide
Historical Inception Date 04-Aug-1997          
Index Live Date 14-Oct-2008          
Bloomberg Id DBLCHNUE          
Reuters Id N/A          
Return Data
Current Level 176.65    
High 181.04 Low 174.20
Annualized Return (%) 0.22 Volatility 1.73
Sharpe Ratio 0.13 Sortino Ratio 0.18
Max Drawdown (%) -2.74    
Daily Return (%) 0.32 Month-to-Date Return (%) -0.58
3 Month Return (%) -0.66 6 Month Return (%) -1.43
YTD Return (%) -1.98 12 Month Return (%) -2.43
Risk Free Rate (%) 0.00    
Monthly Return Statistics
Average Return (%) 0.02 Average Positive Return (%) 0.38
Number of +ve Months 19 % +ve Months (%) 51.35
Average Negative Return (%) -0.37 Best Month (Feb 2018) (%) 1.01
Maximum Monthly Drawdown (%) -1.13    
Excel + Deutsche Bank Commodity Harvest USD ERAC Index Index Levels
Monthly Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2016 -0.39% 0.45% 0.18% -0.34%
2017 0.41% 0.08% 0.53% 0.45% -0.01% -0.21% 0.02% 0.42% -0.04% 0.43% -0.17% -0.33%
2018 0.10% -0.20% 0.49% -0.30% 0.82% -0.64% 0.36% 0.25% 0.58% -0.14% -1.13% 1.01%
2019 -0.02% -0.15% -0.80% -0.75% 0.40% -0.42% 0.05% 0.27% -0.58%
Announcements
No announcements for this index.