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Description
The CROCI Sectors III USD 5.5% Volatility Control Index offers global equity exposure via Deutsche Bank's CROCI Sectors Index and a cash component used to smooth overall volatility. The CROCI Sectors strategy seeks to uncover value across a range of global equity markets and sectors by employing Deutsche Bank's proprietary CROCI (Cash Return on Capital Invested) valuation methodology.
Details
Guide publication
Historical Inception Date 04-Apr-1996          
Index Live Date 13-Mar-2015          
Bloomberg Id DBGLS3U5          
Reuters Id .DBGLS3U5          
Return Data
Current Level 3252.46    
High 3521.08 Low 2896.54
Annualized Return (%) 3.61 Volatility 5.33
Sharpe Ratio 0.66 Sortino Ratio 0.87
Max Drawdown (%) -8.35    
Daily Return (%) -0.01 Month-to-Date Return (%) 0.13
3 Month Return (%) -4.44 6 Month Return (%) -3.17
YTD Return (%) -2.70 12 Month Return (%) -6.25
Risk Free Rate (%) 0.11    
Monthly Return Statistics
Average Return (%) 0.30 Average Positive Return (%) 1.31
Number of +ve Months 21 % +ve Months (%) 56.76
Average Negative Return (%) -1.03 Best Month (Jan 2013) (%) 3.41
Maximum Monthly Drawdown (%) -3.64    
Excel + CROCI Sectors III 5.5% Volatility Control Index Index Levels
Monthly Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2012 -0.19% 0.58% -0.07% 0.32% 0.94%
2013 3.41% 0.35% 1.36% 1.70% -0.12% -1.43% 1.15% -0.92% 2.77% 2.39% 0.11% 0.12%
2014 -2.10% 1.77% 0.61% 0.79% 2.39% 1.71% -0.54% 1.12% -1.00% -2.89% -0.42% -0.21%
2015 -1.47% 2.07% -0.67% 1.74% -0.56% -3.64% -0.22% 0.13%
Announcements
No announcements for this index.