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FTGC vs. PDBC
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between FTGC and PDBC is 0.81, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.00.8

Performance

FTGC vs. PDBC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Global Tactical Commodity Strategy Fund (FTGC) and Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF (PDBC). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
4.88%
8.05%
FTGC
PDBC

Key characteristics

Sharpe Ratio

FTGC:

0.57

PDBC:

-0.14

Sortino Ratio

FTGC:

0.88

PDBC:

-0.09

Omega Ratio

FTGC:

1.10

PDBC:

0.99

Calmar Ratio

FTGC:

0.33

PDBC:

-0.07

Martin Ratio

FTGC:

1.70

PDBC:

-0.37

Ulcer Index

FTGC:

3.81%

PDBC:

5.06%

Daily Std Dev

FTGC:

11.31%

PDBC:

13.76%

Max Drawdown

FTGC:

-59.47%

PDBC:

-49.52%

Current Drawdown

FTGC:

-12.82%

PDBC:

-24.55%

Returns By Period

In the year-to-date period, FTGC achieves a 7.67% return, which is significantly higher than PDBC's -0.68% return. Over the past 10 years, FTGC has underperformed PDBC with an annualized return of 1.11%, while PDBC has yielded a comparatively higher 2.08% annualized return.


FTGC

YTD

7.67%

1M

-0.03%

6M

-1.30%

1Y

5.69%

5Y*

9.54%

10Y*

1.11%

PDBC

YTD

-0.68%

1M

-1.86%

6M

-6.18%

1Y

-2.80%

5Y*

7.93%

10Y*

2.08%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


FTGC vs. PDBC - Expense Ratio Comparison

FTGC has a 0.95% expense ratio, which is higher than PDBC's 0.58% expense ratio.


FTGC
First Trust Global Tactical Commodity Strategy Fund
Expense ratio chart for FTGC: current value at 0.95% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.95%
Expense ratio chart for PDBC: current value at 0.58% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.58%

Risk-Adjusted Performance

FTGC vs. PDBC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Global Tactical Commodity Strategy Fund (FTGC) and Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF (PDBC). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Sharpe ratio
The chart of Sharpe ratio for FTGC, currently valued at 0.57, compared to the broader market0.002.004.000.57-0.14
The chart of Sortino ratio for FTGC, currently valued at 0.88, compared to the broader market-2.000.002.004.006.008.0010.000.88-0.09
The chart of Omega ratio for FTGC, currently valued at 1.10, compared to the broader market0.501.001.502.002.503.001.100.99
The chart of Calmar ratio for FTGC, currently valued at 0.34, compared to the broader market0.005.0010.0015.000.34-0.07
The chart of Martin ratio for FTGC, currently valued at 1.70, compared to the broader market0.0020.0040.0060.0080.00100.001.70-0.37
FTGC
PDBC

The current FTGC Sharpe Ratio is 0.57, which is higher than the PDBC Sharpe Ratio of -0.14. The chart below compares the historical Sharpe Ratios of FTGC and PDBC, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.00-0.500.000.501.00JulyAugustSeptemberOctoberNovemberDecember
0.57
-0.14
FTGC
PDBC

Dividends

FTGC vs. PDBC - Dividend Comparison

FTGC's dividend yield for the trailing twelve months is around 3.12%, while PDBC has not paid dividends to shareholders.


TTM20232022202120202019201820172016
FTGC
First Trust Global Tactical Commodity Strategy Fund
3.12%3.34%10.35%7.21%0.00%0.81%0.80%1.21%0.00%
PDBC
Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF
0.00%4.21%13.04%50.83%0.01%1.40%1.00%3.83%6.50%

Drawdowns

FTGC vs. PDBC - Drawdown Comparison

The maximum FTGC drawdown since its inception was -59.47%, which is greater than PDBC's maximum drawdown of -49.52%. Use the drawdown chart below to compare losses from any high point for FTGC and PDBC. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%JulyAugustSeptemberOctoberNovemberDecember
-12.35%
-24.55%
FTGC
PDBC

Volatility

FTGC vs. PDBC - Volatility Comparison

The current volatility for First Trust Global Tactical Commodity Strategy Fund (FTGC) is 2.48%, while Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF (PDBC) has a volatility of 3.31%. This indicates that FTGC experiences smaller price fluctuations and is considered to be less risky than PDBC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
2.48%
3.31%
FTGC
PDBC
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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