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 2m 27d)

Returns (annualized)

Portfolio 2.13%
Benchmark 2.30%

Risk (annualized)

Portfolio 17.84%
Benchmark 17.73%

Sharpe (annualized)

Portfolio 0.10
Benchmark 0.11

Excess Return (annualized)

-0.18%

Tracking Error (annualized)

5.38%

Information Ratio

-0.03
Statistic Portfolio Benchmark
Downside Volatility 19.65% 19.18%
Sortino Ratio 0.09 0.10
Calmar Ratio 0.04 0.04
Ulcer Index 12.19 12.18
Max Drawdown 49.54% 50.83%
VaR (99% Confidence) $-4,148 $-4,123
VaR (99.9% Confidence) $-5,511 $-5,477
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 Excess
Market Factor 0.3012 0.3424 -0.0412
High Beta (Low Beta) 0.1507 0.1459 0.0047
Vol Factor 0.0072 0.0123 -0.0051
Inflation Factor 1.2580 1.2595 -0.0015

Adjusted R2

Portfolio 0.23
Benchmark 0.24

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution