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 5m 14d)

Returns (annualized)

Portfolio 4.08%
Benchmark 4.23%

Risk (annualized)

Portfolio 18.01%
Benchmark 17.89%

Sharpe (annualized)

Portfolio 0.20
Benchmark 0.21

Excess Return (annualized)

-0.15%

Tracking Error (annualized)

5.34%

Information Ratio

-0.03
Statistic Portfolio Benchmark
Downside Volatility 19.77% 19.29%
Sortino Ratio 0.18 0.20
Calmar Ratio 0.07 0.07
Ulcer Index 12.26 12.24
Max Drawdown 49.54% 50.83%
VaR (99% Confidence) $-4,187 $-4,160
VaR (99.9% Confidence) $-5,563 $-5,526
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

3.47

Skew

-0.56
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.2844 0.3264 -0.0420
High Beta (Low Beta) 0.1352 0.1306 0.0045
Vol Factor 0.0098 0.0151 -0.0053
Inflation Factor 1.3453 1.3461 -0.0008

Adjusted R2

Portfolio 0.21
Benchmark 0.23

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution