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 11d)

Returns (annualized)

Portfolio 1.06%
Benchmark 1.08%

Risk (annualized)

Portfolio 18.07%
Benchmark 17.94%

Sharpe (annualized)

Portfolio 0.06
Benchmark 0.06

Excess Return (annualized)

-0.02%

Tracking Error (annualized)

5.65%

Information Ratio

0.00
Statistic Portfolio Benchmark
Downside Volatility 19.94% 19.44%
Sortino Ratio 0.05 0.05
Calmar Ratio 0.02 0.02
Ulcer Index 12.13 12.09
Max Drawdown 49.54% 50.83%
VaR (99% Confidence) $-4,202 $-4,172
VaR (99.9% Confidence) $-5,582 $-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

3.60

Skew

-0.58
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.3073 0.3073
High Beta (Low Beta) 0.1682 0.1682
Vol Factor 0.0055 0.0055
Inflation Factor 1.1989 1.1989

Adjusted R2

Portfolio 0.22
Benchmark 0.25

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution