Commodity

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Constant Weights
Assets
Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF (PDBC)100.00%
Benchmark
Invesco DB Commodity Index Tracking Fund (DBC)

Policy Report

Backtest Report

From to (9y 5m 6d)

Returns (annualized)

Portfolio 1.70%
Benchmark 1.70%

Risk (annualized)

Portfolio 18.24%
Benchmark 18.08%

Sharpe (annualized)

Portfolio 0.10
Benchmark 0.10

Excess Return (annualized)

0.01%

Tracking Error (annualized)

5.81%

Risk Free Rate (annualized)

1.51%

Growth Charts

Return Distribution

Excess Kurtosis

3.69

Skew

-0.60
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.2943 0.2943
High Beta (Low Beta) 0.1660 0.1660
Vol Factor 0.0009 0.0009
Inflation Factor 1.2054 1.2054

Adjusted R2

Portfolio 0.23
Benchmark 0.25

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution