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

Performance

USSG vs. PDBC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Xtrackers MSCI USA ESG Leaders Equity ETF (USSG) and Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF (PDBC). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
11.84%
-4.39%
USSG
PDBC

Returns By Period

In the year-to-date period, USSG achieves a 25.43% return, which is significantly higher than PDBC's 1.65% return.


USSG

YTD

25.43%

1M

1.66%

6M

11.75%

1Y

32.07%

5Y (annualized)

16.04%

10Y (annualized)

N/A

PDBC

YTD

1.65%

1M

-0.15%

6M

-4.99%

1Y

-3.52%

5Y (annualized)

9.08%

10Y (annualized)

1.15%

Key characteristics


USSGPDBC
Sharpe Ratio2.41-0.21
Sortino Ratio3.25-0.20
Omega Ratio1.450.98
Calmar Ratio3.38-0.11
Martin Ratio14.33-0.58
Ulcer Index2.23%5.20%
Daily Std Dev13.27%14.17%
Max Drawdown-34.10%-49.52%
Current Drawdown-1.82%-22.78%

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USSG vs. PDBC - Expense Ratio Comparison

USSG has a 0.10% expense ratio, which is lower than PDBC's 0.58% expense ratio.


PDBC
Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF
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%
Expense ratio chart for USSG: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%

Correlation

-0.50.00.51.00.3

The correlation between USSG and PDBC is 0.26, 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.

Risk-Adjusted Performance

USSG vs. PDBC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Xtrackers MSCI USA ESG Leaders Equity ETF (USSG) 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 USSG, currently valued at 2.41, compared to the broader market0.002.004.002.41-0.21
The chart of Sortino ratio for USSG, currently valued at 3.25, compared to the broader market-2.000.002.004.006.008.0010.0012.003.25-0.20
The chart of Omega ratio for USSG, currently valued at 1.45, compared to the broader market0.501.001.502.002.503.001.450.98
The chart of Calmar ratio for USSG, currently valued at 3.38, compared to the broader market0.005.0010.0015.003.38-0.11
The chart of Martin ratio for USSG, currently valued at 14.33, compared to the broader market0.0020.0040.0060.0080.00100.0014.33-0.58
USSG
PDBC

The current USSG Sharpe Ratio is 2.41, which is higher than the PDBC Sharpe Ratio of -0.21. The chart below compares the historical Sharpe Ratios of USSG 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-1.000.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
2.41
-0.21
USSG
PDBC

Dividends

USSG vs. PDBC - Dividend Comparison

USSG's dividend yield for the trailing twelve months is around 1.19%, less than PDBC's 4.14% yield.


TTM20232022202120202019201820172016
USSG
Xtrackers MSCI USA ESG Leaders Equity ETF
1.19%1.60%1.52%1.14%1.42%1.21%0.00%0.00%0.00%
PDBC
Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF
4.14%4.21%13.04%50.83%0.01%1.40%1.00%3.83%6.50%

Drawdowns

USSG vs. PDBC - Drawdown Comparison

The maximum USSG drawdown since its inception was -34.10%, smaller than the maximum PDBC drawdown of -49.52%. Use the drawdown chart below to compare losses from any high point for USSG and PDBC. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.82%
-22.78%
USSG
PDBC

Volatility

USSG vs. PDBC - Volatility Comparison

The current volatility for Xtrackers MSCI USA ESG Leaders Equity ETF (USSG) is 4.39%, while Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF (PDBC) has a volatility of 4.81%. This indicates that USSG 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%7.00%JuneJulyAugustSeptemberOctoberNovember
4.39%
4.81%
USSG
PDBC