PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
PDBC vs. COMM
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between PDBC and COMM is 0.17, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.2

Performance

PDBC vs. COMM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF (PDBC) and CommScope Holding Company, Inc. (COMM). The values are adjusted to include any dividend payments, if applicable.

-100.00%-80.00%-60.00%-40.00%-20.00%0.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
8.54%
-73.68%
PDBC
COMM

Key characteristics

Sharpe Ratio

PDBC:

-0.09

COMM:

1.22

Sortino Ratio

PDBC:

-0.03

COMM:

2.03

Omega Ratio

PDBC:

1.00

COMM:

1.26

Calmar Ratio

PDBC:

-0.04

COMM:

1.33

Martin Ratio

PDBC:

-0.23

COMM:

3.31

Ulcer Index

PDBC:

5.10%

COMM:

39.20%

Daily Std Dev

PDBC:

13.69%

COMM:

106.21%

Max Drawdown

PDBC:

-49.52%

COMM:

-97.81%

Current Drawdown

PDBC:

-24.21%

COMM:

-85.95%

Returns By Period

In the year-to-date period, PDBC achieves a -0.23% return, which is significantly lower than COMM's 97.87% return. Over the past 10 years, PDBC has outperformed COMM with an annualized return of 2.22%, while COMM has yielded a comparatively lower -12.68% annualized return.


PDBC

YTD

-0.23%

1M

-1.85%

6M

-5.48%

1Y

-1.34%

5Y*

8.01%

10Y*

2.22%

COMM

YTD

97.87%

1M

28.57%

6M

339.37%

1Y

105.90%

5Y*

-15.97%

10Y*

-12.68%

Compare stocks, funds, or ETFs

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


Risk-Adjusted Performance

PDBC vs. COMM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF (PDBC) and CommScope Holding Company, Inc. (COMM). 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 PDBC, currently valued at -0.09, compared to the broader market0.002.004.00-0.091.22
The chart of Sortino ratio for PDBC, currently valued at -0.03, compared to the broader market-2.000.002.004.006.008.0010.00-0.032.03
The chart of Omega ratio for PDBC, currently valued at 1.00, compared to the broader market0.501.001.502.002.503.001.001.26
The chart of Calmar ratio for PDBC, currently valued at -0.04, compared to the broader market0.005.0010.0015.00-0.041.33
The chart of Martin ratio for PDBC, currently valued at -0.23, compared to the broader market0.0020.0040.0060.0080.00100.00-0.233.31
PDBC
COMM

The current PDBC Sharpe Ratio is -0.09, which is lower than the COMM Sharpe Ratio of 1.22. The chart below compares the historical Sharpe Ratios of PDBC and COMM, 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-1.000.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
-0.09
1.22
PDBC
COMM

Dividends

PDBC vs. COMM - Dividend Comparison

Neither PDBC nor COMM has paid dividends to shareholders.


TTM20232022202120202019201820172016
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%
COMM
CommScope Holding Company, Inc.
0.00%0.00%0.00%0.00%2.09%2.54%1.49%0.00%0.00%

Drawdowns

PDBC vs. COMM - Drawdown Comparison

The maximum PDBC drawdown since its inception was -49.52%, smaller than the maximum COMM drawdown of -97.81%. Use the drawdown chart below to compare losses from any high point for PDBC and COMM. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%JulyAugustSeptemberOctoberNovemberDecember
-24.21%
-85.95%
PDBC
COMM

Volatility

PDBC vs. COMM - Volatility Comparison

The current volatility for Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF (PDBC) is 3.35%, while CommScope Holding Company, Inc. (COMM) has a volatility of 22.07%. This indicates that PDBC experiences smaller price fluctuations and is considered to be less risky than COMM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%10.00%20.00%30.00%40.00%JulyAugustSeptemberOctoberNovemberDecember
3.35%
22.07%
PDBC
COMM
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab