The document provides a historical performance summary of the Cash Equity Risk Premia Portfolio TV5 compared to the MSCI World PR from 20 Feb 2002 to 31 Oct 2016. It includes growth over the period, compounded annual growth, annualised daily volatility, information ratio, worst drawdown, Calmar ratio, average monthly return, best and worst monthly returns, and percentage of months with gains. It also includes correlations over different periods.
documents/vol00010-efta01364427-pdf.pdf
{"title":"Cash Equity Risk Premia Portfolio TV5 Historical Performance","document_date":"2016-10-31","document_type":"tabular","document_subtype":"financial performance report","key_organizations":["Deutsche Bank","Bloomberg"],"reference_numbers":["DBGLRP5U","DB-SDNY-0054963","SDNY_GM_00201147","EFTA01364427"]}