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 3m 17d)

Returns (annualized)

Portfolio 2.53%
Benchmark 2.70%

Risk (annualized)

Portfolio 17.84%
Benchmark 17.73%

Sharpe (annualized)

Portfolio 0.12
Benchmark 0.13

Excess Return (annualized)

-0.17%

Tracking Error (annualized)

5.37%

Information Ratio

-0.03
Statistic Portfolio Benchmark
Downside Volatility 19.65% 19.18%
Sortino Ratio 0.11 0.12
Calmar Ratio 0.04 0.04
Ulcer Index 12.20 12.19
Max Drawdown 49.54% 50.83%
VaR (99% Confidence) $-4,149 $-4,124
VaR (99.9% Confidence) $-5,512 $-5,479
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

3.59

Skew

-0.58
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.3033 0.3446 -0.0413
High Beta (Low Beta) 0.1490 0.1441 0.0049
Vol Factor 0.0078 0.0129 -0.0051
Inflation Factor 1.2581 1.2594 -0.0013

Adjusted R2

Portfolio 0.22
Benchmark 0.24

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution