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SDCI vs. PKB
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


SDCIPKB
YTD Return11.84%33.74%
1Y Return7.65%59.93%
3Y Return (Ann)13.75%16.73%
5Y Return (Ann)13.72%20.40%
Sharpe Ratio0.742.44
Sortino Ratio1.103.20
Omega Ratio1.131.40
Calmar Ratio0.925.09
Martin Ratio2.7612.57
Ulcer Index3.52%4.69%
Daily Std Dev13.20%24.20%
Max Drawdown-45.79%-65.21%
Current Drawdown-2.49%-2.45%

Correlation

-0.50.00.51.00.2

The correlation between SDCI and PKB is 0.18, 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.

Performance

SDCI vs. PKB - Performance Comparison

In the year-to-date period, SDCI achieves a 11.84% return, which is significantly lower than PKB's 33.74% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%-5.00%0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
2.87%
16.07%
SDCI
PKB

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SDCI vs. PKB - Expense Ratio Comparison

SDCI has a 0.70% expense ratio, which is higher than PKB's 0.60% expense ratio.


SDCI
USCF SummerHaven Dynamic Commodity Strategy No K-1 Fund
Expense ratio chart for SDCI: current value at 0.70% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.70%
Expense ratio chart for PKB: current value at 0.60% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.60%

Risk-Adjusted Performance

SDCI vs. PKB - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for USCF SummerHaven Dynamic Commodity Strategy No K-1 Fund (SDCI) and Invesco Dynamic Building & Construction ETF (PKB). 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.


SDCI
Sharpe ratio
The chart of Sharpe ratio for SDCI, currently valued at 0.74, compared to the broader market-2.000.002.004.000.74
Sortino ratio
The chart of Sortino ratio for SDCI, currently valued at 1.10, compared to the broader market0.005.0010.001.10
Omega ratio
The chart of Omega ratio for SDCI, currently valued at 1.13, compared to the broader market1.001.502.002.503.001.13
Calmar ratio
The chart of Calmar ratio for SDCI, currently valued at 0.92, compared to the broader market0.005.0010.0015.000.92
Martin ratio
The chart of Martin ratio for SDCI, currently valued at 2.76, compared to the broader market0.0020.0040.0060.0080.00100.00120.002.76
PKB
Sharpe ratio
The chart of Sharpe ratio for PKB, currently valued at 2.44, compared to the broader market-2.000.002.004.002.44
Sortino ratio
The chart of Sortino ratio for PKB, currently valued at 3.20, compared to the broader market0.005.0010.003.20
Omega ratio
The chart of Omega ratio for PKB, currently valued at 1.40, compared to the broader market1.001.502.002.503.001.40
Calmar ratio
The chart of Calmar ratio for PKB, currently valued at 5.09, compared to the broader market0.005.0010.0015.005.09
Martin ratio
The chart of Martin ratio for PKB, currently valued at 12.57, compared to the broader market0.0020.0040.0060.0080.00100.00120.0012.57

SDCI vs. PKB - Sharpe Ratio Comparison

The current SDCI Sharpe Ratio is 0.74, which is lower than the PKB Sharpe Ratio of 2.44. The chart below compares the historical Sharpe Ratios of SDCI and PKB, 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 Ratio0.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
0.74
2.44
SDCI
PKB

Dividends

SDCI vs. PKB - Dividend Comparison

SDCI's dividend yield for the trailing twelve months is around 1.09%, more than PKB's 0.22% yield.


TTM2023202220212020201920182017201620152014
SDCI
USCF SummerHaven Dynamic Commodity Strategy No K-1 Fund
1.09%3.46%33.49%19.25%0.20%0.93%0.68%0.00%0.00%0.00%0.00%
PKB
Invesco Dynamic Building & Construction ETF
0.22%0.33%0.43%0.25%0.30%0.37%0.54%0.17%0.31%0.11%0.10%

Drawdowns

SDCI vs. PKB - Drawdown Comparison

The maximum SDCI drawdown since its inception was -45.79%, smaller than the maximum PKB drawdown of -65.21%. Use the drawdown chart below to compare losses from any high point for SDCI and PKB. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.49%
-2.45%
SDCI
PKB

Volatility

SDCI vs. PKB - Volatility Comparison

The current volatility for USCF SummerHaven Dynamic Commodity Strategy No K-1 Fund (SDCI) is 4.01%, while Invesco Dynamic Building & Construction ETF (PKB) has a volatility of 7.54%. This indicates that SDCI experiences smaller price fluctuations and is considered to be less risky than PKB based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%JuneJulyAugustSeptemberOctoberNovember
4.01%
7.54%
SDCI
PKB