EFTA Document EFTA01375239

Harvesting volatility risk premia in commodities: DB Brent Short Volatility II index (cont.) Area of expertise: Capital markets Theme: Current tactical ideas - Transparent: the strategy is fully transparent as it is based on listed option prices - Market Neutral: the strategy is constructed using a basket of options and implies limited directional exposure to Brent front month prices - Rebalancing: the index is rebalanced every year to provide equal exposure over the course of the year -