Commodity

Portfolio Specification

Assets

Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF (PDBC)100.00%

Policy

Rebalancing Interval Quarterly
Weights Algorithm Constant Weights

Benchmark

Invesco DB Commodity Index Tracking Fund (DBC)

Policy Report

Backtest Report

From to (10y 5m 28d)

Returns (annualized)

Portfolio 0.74%
Benchmark 0.83%

Risk (annualized)

Portfolio 17.99%
Benchmark 17.86%

Sharpe (annualized)

Portfolio 0.03
Benchmark 0.03

Excess Return (annualized)

-0.09%

Tracking Error (annualized)

5.55%

Information Ratio

-0.02
Statistic Portfolio Benchmark
Downside Volatility 19.86% 19.38%
Sortino Ratio 0.03 0.03
Calmar Ratio 0.01 0.01
Ulcer Index 12.15 12.11
Max Drawdown 49.54% 50.83%
VaR (99% Confidence) $-4,184 $-4,155
VaR (99.9% Confidence) $-5,558 $-5,519
Beta to Benchmark 0.96 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Return Distribution

Excess Kurtosis

3.63

Skew

-0.57
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.3012 0.3012
High Beta (Low Beta) 0.1584 0.1584
Vol Factor 0.0036 0.0036
Inflation Factor 1.2122 1.2122

Adjusted R2

Portfolio 0.23
Benchmark 0.25

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution