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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
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legal
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| 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 |
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% |