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 7m 8d)

Returns (annualized)

Portfolio 3.35%
Benchmark 3.48%

Risk (annualized)

Portfolio 18.04%
Benchmark 17.93%

Sharpe (annualized)

Portfolio 0.16
Benchmark 0.17

Excess Return (annualized)

-0.13%

Tracking Error (annualized)

5.31%

Information Ratio

-0.02
Statistic Portfolio Benchmark
Downside Volatility 19.80% 19.33%
Sortino Ratio 0.15 0.16
Calmar Ratio 0.06 0.06
Ulcer Index 12.30 12.29
Max Drawdown 49.54% 50.83%
VaR (99% Confidence) $-4,195 $-4,170
VaR (99.9% Confidence) $-5,573 $-5,540
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

3.39

Skew

-0.55
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.2713 0.3120 -0.0407
High Beta (Low Beta) 0.1222 0.1163 0.0059
Vol Factor 0.0087 0.0139 -0.0052
Inflation Factor 1.3844 1.3884 -0.0041

Adjusted R2

Portfolio 0.21
Benchmark 0.23

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution