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 8m)

Returns (annualized)

Portfolio 3.30%
Benchmark 3.43%

Risk (annualized)

Portfolio 18.05%
Benchmark 17.94%

Sharpe (annualized)

Portfolio 0.16
Benchmark 0.17

Excess Return (annualized)

-0.12%

Tracking Error (annualized)

5.30%

Information Ratio

-0.02
Statistic Portfolio Benchmark
Downside Volatility 19.80% 19.33%
Sortino Ratio 0.15 0.15
Calmar Ratio 0.06 0.06
Ulcer Index 12.31 12.29
Max Drawdown 49.54% 50.83%
VaR (99% Confidence) $-4,198 $-4,172
VaR (99.9% Confidence) $-5,577 $-5,542
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

3.36

Skew

-0.55
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.2703 0.3114 -0.0410
High Beta (Low Beta) 0.1210 0.1158 0.0052
Vol Factor 0.0088 0.0140 -0.0052
Inflation Factor 1.3934 1.3962 -0.0028

Adjusted R2

Portfolio 0.21
Benchmark 0.23

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution