Currency / Return Type: Report Frequency: Category:    
History: Report Start Date: Date Picker Report End Date: Date Picker    
Description
Long leg of the DBCMMAUE Index
Details
Guide guide
Historical Inception Date 03-Jan-2002          
Index Live Date 08-Feb-2016          
Bloomberg Id DBCMMALE          
Reuters Id N/A          
Return Data
Current Level 1301.87    
High 1638.37 Low 1103.76
Annualized Return (%) 5.66 Volatility 20.05
Sharpe Ratio 0.28 Sortino Ratio 0.41
Max Drawdown (%) -30.78    
Daily Return (%) 2.23 Month-to-Date Return (%) 6.32
3 Month Return (%) 14.20 6 Month Return (%) -1.76
YTD Return (%) 6.24 12 Month Return (%) 0.96
Risk Free Rate (%) 0.00    
Monthly Return Statistics
Average Return (%) 0.60 Average Positive Return (%) 4.98
Number of +ve Months 20 % +ve Months (%) 54.05
Average Negative Return (%) -4.55 Best Month (Feb 2017) (%) 10.39
Maximum Monthly Drawdown (%) -10.13    
Excel + DB Commodity Momentum Alpha Long Index Index Levels
Monthly Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2016 9.76% -1.96% 8.68% -5.16%
2017 8.46% 1.63% -5.00% -4.01% -3.19% 1.30% 4.41% 8.13% -1.60% 4.59% -2.36% 10.39%
2018 6.06% -7.06% -2.22% 2.07% 7.57% -4.57% -8.87% -4.10% 1.83% -9.15% 2.65% -3.27%
2019 5.96% 3.20% -1.53% -3.21% -10.13% 2.79% 1.61% 2.15% 6.32%
Announcements
No announcements for this index.