The document provides a detailed summary and analysis of the DB Brent Short Volatility II Index, including its rationale, description, construction, performance analysis, and risk considerations. The index aims to capture the differential between implied and realized variance in the Brent crude oil market by systematically selling straddles and delta hedging. It includes performance comparisons with the S&P 500 and outlines the strategy's transparency, market neutrality, and rebalancing process.
documents/EFTA01201000.pdf
{}