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 4m 10d)

Returns (annualized)

Portfolio 3.88%
Benchmark 3.98%

Risk (annualized)

Portfolio 17.92%
Benchmark 17.81%

Sharpe (annualized)

Portfolio 0.19
Benchmark 0.20

Excess Return (annualized)

-0.11%

Tracking Error (annualized)

5.35%

Information Ratio

-0.02
Statistic Portfolio Benchmark
Downside Volatility 19.65% 19.18%
Sortino Ratio 0.18 0.18
Calmar Ratio 0.07 0.07
Ulcer Index 12.22 12.21
Max Drawdown 49.54% 50.83%
VaR (99% Confidence) $-4,166 $-4,142
VaR (99.9% Confidence) $-5,535 $-5,502
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

3.53

Skew

-0.55
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.3029 0.3446 -0.0417
High Beta (Low Beta) 0.1457 0.1408 0.0050
Vol Factor 0.0107 0.0160 -0.0052
Inflation Factor 1.2988 1.3001 -0.0013

Adjusted R2

Portfolio 0.22
Benchmark 0.24

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution