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)

Anyone who has a link can see this portfolio.

Policy Report

Backtest Report

From to (11y 6m 11d)

Returns (annualized)

Portfolio 4.31%
Benchmark 4.45%

Risk (annualized)

Portfolio 18.04%
Benchmark 17.93%

Sharpe (annualized)

Portfolio 0.21
Benchmark 0.22

Excess Return (annualized)

-0.14%

Tracking Error (annualized)

5.32%

Information Ratio

-0.03
Statistic Portfolio Benchmark
Downside Volatility 19.80% 19.33%
Sortino Ratio 0.20 0.21
Calmar Ratio 0.08 0.08
Ulcer Index 12.28 12.27
Max Drawdown 49.54% 50.83%
VaR (99% Confidence) $-4,195 $-4,169
VaR (99.9% Confidence) $-5,573 $-5,538
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

3.43

Skew

-0.56
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.2725 0.3136 -0.0411
High Beta (Low Beta) 0.1255 0.1203 0.0052
Vol Factor 0.0083 0.0134 -0.0052
Inflation Factor 1.3750 1.3776 -0.0026

Adjusted R2

Portfolio 0.21
Benchmark 0.23

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution