January 22, 2009

First market-neutral UCITS III fund launched in the commodity space

Deutsche Bank has announced the launch of the UCITS III (Undertakings for Collective Investment in Transferable Securities) compliant DB Platinum Commodity Harvest fund, which will be publicly available in multiple European jurisdictions. Deutsche Bank believes this to be the first market-neutral UCITS III fund in the commodities space.

The fund tracks the Deutsche Bank Platinum Commodity Harvest Index which was developed and launched by Deutsche Bank in 2007, and aims to offer positive returns in both falling and rising commodity markets. The fund provides daily liquidity for investors and is available for public distribution in Luxembourg, Germany, Italy, Switzerland, Austria and Spain.

“Following the weak performance of commodity markets in the last few months, investors are increasingly looking for investment strategies in this space that offer potential for positive returns even in falling markets,” commented Manfred Schraepler, head of the Fund Solutions platform at Deutsche Bank. “The DB Platinum Commodity Harvest is a good example of Deutsche Bank’s ability to deliver innovative market-neutral alpha funds.”

The DB Platinum Commodity Harvest fund follows an investment algorithm which aims to monetize market inefficiencies in the commodity space by tracking the Deutsche Bank Platinum Commodity Harvest Index. The strategy is applied to 21 liquid commodities across the energy, metal and agriculture sectors. The index takes a buy-position (“long position”) and a sell-position (“short position”) in each of the underlying commodities and aims to buy cheap and sell expensive contracts in each of the 21 commodities. This happens as follows:

  • A long position is taken on the futures contract offering the highest annualized discount or lowest annualized cost with respect to the first nearby, or next to expire, futures contract. The applicable contract is chosen through the “Optimum Yield” mechanism developed by Deutsche Bank. The maximum maturity for these contracts is 13 months.
  • A short position is entered into for the first nearby futures contract. The short position hedges any directional exposure and results in the market neutrality of the entire strategy.

This means that the strategy does not depend on the general direction of the commodity markets. It yields positive returns if the long position performs better than the short position, while the returns of the strategy are negative if the short position performs better than the long position.

    For further information, please call:

    Deutsche Bank

    Johanna Graf  
    +44 20 7547 26 03
    Press Office

    Product details

    The DB Platinum Commodity Harvest I1C-E (ISIN: LU0377350276) offers a delta-one (1:1) exposure to the Commodity Harvest strategy without the use of any leverage.

    The DB Platinum Commodity Harvest I3C-E (ISIN: LU0377351324) offers exposure to the Commodity Harvest strategy by employing a target volatility mechanism. This mechanism allows return opportunities to be boosted while keeping risk under control.

    The management fee for both of the above mentioned products amounts to 0.50% per year. Total fund costs are 0.66% p.a. respectively. Both products were launched on 29 October 2008 and have a performance since launch of 5.62% and 16.24% for DB Platinum Commodity Harvest I1C-E and DB Platinum Commodity Harvest I3C-E respectively.

    Further to the above mentioned share classes for institutional investors, the retail share classes of the fund are also available to private clients through the advisory sales channels in the applicable jurisdiction.

    About Deutsche Bank

    Deutsche Bank is a leading global investment bank with a strong and profitable private clients franchise. A leader in Germany and Europe, the bank is continuously growing in North America, Asia and key emerging markets. With 81,308 employees in 75 countries, Deutsche Bank offers unparalleled financial services throughout the world. The bank competes to be the leading global provider of financial solutions for demanding clients creating exceptional value for its shareholders and people.