Commodity

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Constant Weights
Assets
Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF (PDBC)100.00%
Benchmark
Invesco DB Commodity Index Tracking Fund (DBC)

Policy Report

Backtest Report

From to (10y 5m 7d)

Returns (annualized)

Portfolio 0.94%
Benchmark 1.03%

Risk (annualized)

Portfolio 18.01%
Benchmark 17.87%

Sharpe (annualized)

Portfolio 0.04
Benchmark 0.05

Excess Return (annualized)

-0.09%

Tracking Error (annualized)

5.56%

Information Ratio

-0.02
Statistic Portfolio Benchmark
Downside Volatility 19.89% 19.39%
Sortino Ratio 0.04 0.04
Calmar Ratio 0.02 0.02
Ulcer Index 12.15 12.11
Max Drawdown 49.54% 50.83%
VaR (99% Confidence) $-4,188 $-4,157
VaR (99.9% Confidence) $-5,563 $-5,522
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

3.64

Skew

-0.58
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.3033 0.3033
High Beta (Low Beta) 0.1592 0.1592
Vol Factor 0.0038 0.0038
Inflation Factor 1.2104 1.2104

Adjusted R2

Portfolio 0.23
Benchmark 0.25

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution