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)

Policy Report

Backtest Report

From to (10y 6m 24d)

Returns (annualized)

Portfolio 0.93%
Benchmark 1.06%

Risk (annualized)

Portfolio 17.97%
Benchmark 17.84%

Sharpe (annualized)

Portfolio 0.04
Benchmark 0.05

Excess Return (annualized)

-0.13%

Tracking Error (annualized)

5.53%

Information Ratio

-0.02
Statistic Portfolio Benchmark
Downside Volatility 19.80% 19.32%
Sortino Ratio 0.04 0.04
Calmar Ratio 0.01 0.02
Ulcer Index 12.15 12.11
Max Drawdown 49.54% 50.83%
VaR (99% Confidence) $-4,179 $-4,150
VaR (99.9% Confidence) $-5,551 $-5,512
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

3.63

Skew

-0.57
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.3019 0.3019
High Beta (Low Beta) 0.1592 0.1592
Vol Factor 0.0040 0.0040
Inflation Factor 1.2129 1.2129

Adjusted R2

Portfolio 0.23
Benchmark 0.25

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution