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 24d)

Returns (annualized)

Portfolio 1.51%
Benchmark 1.72%

Risk (annualized)

Portfolio 17.80%
Benchmark 17.69%

Sharpe (annualized)

Portfolio 0.07
Benchmark 0.08

Excess Return (annualized)

-0.21%

Tracking Error (annualized)

5.42%

Information Ratio

-0.04
Statistic Portfolio Benchmark
Downside Volatility 19.58% 19.13%
Sortino Ratio 0.06 0.07
Calmar Ratio 0.02 0.03
Ulcer Index 12.17 12.15
Max Drawdown 49.54% 50.83%
VaR (99% Confidence) $-4,139 $-4,113
VaR (99.9% Confidence) $-5,499 $-5,464
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

3.65

Skew

-0.57
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.2947 0.3364 -0.0417
High Beta (Low Beta) 0.1544 0.1500 0.0044
Vol Factor 0.0049 0.0101 -0.0052
Inflation Factor 1.2467 1.2474 -0.0007

Adjusted R2

Portfolio 0.23
Benchmark 0.25

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution