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 21d)

Returns (annualized)

Portfolio 3.87%
Benchmark 4.01%

Risk (annualized)

Portfolio 18.11%
Benchmark 18.00%

Sharpe (annualized)

Portfolio 0.19
Benchmark 0.20

Excess Return (annualized)

-0.14%

Tracking Error (annualized)

5.29%

Information Ratio

-0.03
Statistic Portfolio Benchmark
Downside Volatility 19.84% 19.38%
Sortino Ratio 0.17 0.18
Calmar Ratio 0.07 0.07
Ulcer Index 12.32 12.31
Max Drawdown 49.54% 50.83%
VaR (99% Confidence) $-4,211 $-4,186
VaR (99.9% Confidence) $-5,594 $-5,561
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

3.31

Skew

-0.54
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.2669 0.3078 -0.0409
High Beta (Low Beta) 0.1174 0.1117 0.0057
Vol Factor 0.0093 0.0146 -0.0053
Inflation Factor 1.4181 1.4216 -0.0035

Adjusted R2

Portfolio 0.21
Benchmark 0.23

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution