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 1m 9d)

Returns (annualized)

Portfolio 1.38%
Benchmark 1.58%

Risk (annualized)

Portfolio 17.78%
Benchmark 17.67%

Sharpe (annualized)

Portfolio 0.06
Benchmark 0.07

Excess Return (annualized)

-0.19%

Tracking Error (annualized)

5.41%

Information Ratio

-0.04
Statistic Portfolio Benchmark
Downside Volatility 19.55% 19.09%
Sortino Ratio 0.05 0.06
Calmar Ratio 0.02 0.02
Ulcer Index 12.18 12.16
Max Drawdown 49.54% 50.83%
VaR (99% Confidence) $-4,135 $-4,109
VaR (99.9% Confidence) $-5,493 $-5,459
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

3.65

Skew

-0.57
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.2942 0.3356 -0.0414
High Beta (Low Beta) 0.1523 0.1475 0.0048
Vol Factor 0.0049 0.0100 -0.0052
Inflation Factor 1.2497 1.2511 -0.0014

Adjusted R2

Portfolio 0.23
Benchmark 0.25

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution