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 (10y 9m 18d)

Returns (annualized)

Portfolio 1.15%
Benchmark 1.34%

Risk (annualized)

Portfolio 17.91%
Benchmark 17.79%

Sharpe (annualized)

Portfolio 0.05
Benchmark 0.06

Excess Return (annualized)

-0.19%

Tracking Error (annualized)

5.48%

Information Ratio

-0.03
Statistic Portfolio Benchmark
Downside Volatility 19.71% 19.24%
Sortino Ratio 0.04 0.05
Calmar Ratio 0.02 0.02
Ulcer Index 12.16 12.13
Max Drawdown 49.54% 50.83%
VaR (99% Confidence) $-4,165 $-4,138
VaR (99.9% Confidence) $-5,532 $-5,497
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

3.64

Skew

-0.57
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.2980 0.3396 -0.0416
High Beta (Low Beta) 0.1579 0.1529 0.0050
Vol Factor 0.0051 0.0103 -0.0051
Inflation Factor 1.2349 1.2347 0.0002

Adjusted R2

Portfolio 0.23
Benchmark 0.25

Intercept

Portfolio -0.00
Benchmark -0.00

Factor Attribution