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 7m 16d)

Returns (annualized)

Portfolio 1.08%
Benchmark 1.25%

Risk (annualized)

Portfolio 18.01%
Benchmark 17.89%

Sharpe (annualized)

Portfolio 0.05
Benchmark 0.06

Excess Return (annualized)

-0.17%

Tracking Error (annualized)

5.52%

Information Ratio

-0.03
Statistic Portfolio Benchmark
Downside Volatility 19.86% 19.37%
Sortino Ratio 0.04 0.05
Calmar Ratio 0.02 0.02
Ulcer Index 12.15 12.12
Max Drawdown 49.54% 50.83%
VaR (99% Confidence) $-4,187 $-4,160
VaR (99.9% Confidence) $-5,563 $-5,527
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

3.60

Skew

-0.57
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.3000 0.3000
High Beta (Low Beta) 0.1582 0.1582
Vol Factor 0.0052 0.0052
Inflation Factor 1.2312 1.2312

Adjusted R2

Portfolio 0.23
Benchmark 0.25

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution