Currency / Return Type: Report Frequency: Category:    
History: Report Start Date: Date Picker Report End Date: Date Picker    
Description
Short leg of the DBCMMAUE Index
Details
Guide guide
Historical Inception Date 03-Jan-2002          
Index Live Date 08-Feb-2016          
Bloomberg Id DBCMMASE          
Reuters Id N/A          
Return Data
Current Level 216.81    
High 238.69 Low 162.41
Annualized Return (%) 10.11 Volatility 18.49
Sharpe Ratio 0.55 Sortino Ratio 0.83
Max Drawdown (%) -27.18    
Daily Return (%) 4.17 Month-to-Date Return (%) 10.52
3 Month Return (%) 19.15 6 Month Return (%) 6.37
YTD Return (%) 22.69 12 Month Return (%) 11.67
Risk Free Rate (%) 0.00    
Monthly Return Statistics
Average Return (%) 0.91 Average Positive Return (%) 5.09
Number of +ve Months 19 % +ve Months (%) 51.35
Average Negative Return (%) -3.49 Best Month (Jan 2019) (%) 12.49
Maximum Monthly Drawdown (%) -8.76    
Excel + DB Commodity Momentum Alpha Short Index Index Levels
Monthly Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2016 5.44% -0.71% 6.91% -3.87%
2017 9.32% 1.41% -1.87% -3.14% -2.20% 2.14% 5.12% 8.32% -1.71% 2.04% -1.97% 8.87%
2018 3.75% -4.75% -2.27% 1.92% 5.08% -3.85% -6.28% -3.41% 1.88% -8.76% -1.36% -4.53%
2019 12.49% 4.02% -1.23% -3.40% -7.50% 5.62% 1.46% 0.30% 10.52%
Announcements
No announcements for this index.