DEEDB Commodity Double Short ETN
DEE Fund Description
The DB Commodity Double Short ETN provides monthly -2x exposure to an index that tracks the performance of futures contracts on wheat, corn, crude oil, heating oil, gold, and aluminum.
DEE Factset Analytics Insight
DEE, like most leveraged and inverse products, is designed to provide -2x exposure to its index for a fixed period of time; in this case, monthly. Investors holding it beyond the next monthly reset will be subject to the effects of compounding—a dynamic that can cause the note’s performance to drift from its promised -2x exposure. The note’s index tracks a single futures contract on six commodities: wheat, corn, light sweet crude, heating oil, gold and aluminum. The index tracks the futures contract on each commodity determined to be least influenced by contango. The index measures the changes in price of the futures contracts, the returns from rolling those contracts over, and the cost of borrowing (collateral) as measured by the 3-month Treasury bill. Although its 75 bp fee is entirely reasonable compared with other inverse products, trading costs are of greater importance, since DEE is designed for round-trip intraday trading. To that end, it’s nearly untradable. Median volume is zero, meaning that most days, not a single share changes hands, and average spreads are unacceptably large. Worse, the basic arbitrage mechanism for keeping market price and fair value in line is broken, because the note is closed for creations.
DEE CHARTS AND PERFORMANCE
DEE Portfolio Data
DEE Index Data
DEE Fund Structure
DEE Tax Exposures
DEE Factset Analytics Block Liquidity
This measurement shows how easy it is to trade a $1 million USD block of DEE. DEE is rated a 5 out of 5.