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Invesco DB Commodity Index Tracking Fund

Provider: Invesco
Annualised Return 0.35%
Realised Volatility 18.91%
Downside Volatility 14.17%
Max Drawdown -74.15%
Winning months 50.23%
Sharpe Ratio 0.02
Sortino Ratio 0.02
Calmar Ratio 0
Viking Ratio 0.16
Monthly performance
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2024 1.32% -1.52% 4.46% 1.61% -0.3% -0.17% -2.8% -2.08% 0.5% 0.82%
2023 0.89% -4.46% -0.08% -0.76% -6.41% 2.95% 8.72% -0.36% 1.5% -1.8% -2.45% -3.29% -6.19%
2022 7.89% 6.47% 9.17% 5.64% 4.61% -7.5% -1.99% -1.49% -7.04% 5.06% 1.47% -2.71% 19.34%
2021 3.33% 10.14% -0.72% 7.83% 3.85% 3.49% 1.3% -1.64% 5.21% 5.8% -8.76% 6.67% 41.36%
2020 -8.59% -6.65% -17.34% -3.11% 8.07% 4.5% 5.12% 4.64% -3.55% -3.14% 10.2% 5.45% -7.84%
2019 7.11% 2.84% -0.38% 1.2% -5.97% 3.97% -1.14% -4.63% 1.42% 1.93% -0.13% 5.85% 11.84%
2018 2.95% -2.92% 2.29% 3.42% 2.68% -1.94% -2.43% 0.75% 3.4% -5.62% -9.85% -4% -11.63%
2017 -0.57% -0.19% -3.24% -2.7% -1.42% -0.96% 4.08% 0.4% 1.99% 3.96% 0.94% 2.78% 4.86%
2016 -4.34% -0.23% 4.24% 9.71% 0.89% 4.35% -6.97% 0.77% 4.31% -0.33% 1.67% 4.14% 18.56%
2015 -5.69% 4.42% -6.05% 7.15% -3.17% 1.64% -12.61% -0.25% -3.44% 0.33% -6.64% -5.85% -27.59%
2014 -3.08% 5.03% 0% 1.15% -1.48% 2.11% -4.74% -1.15% -7.23% -3.88% -8.51% -9.65% -28.1%
2013 2.48% -4.71% 0.7% -3.84% -1.56% -2.82% 3.18% 2.78% -3.34% -0.04% -0.85% 0.51% -7.63%
2012 3.69% 5.35% -1.77% -1.35% -11.16% 2.02% 5.83% 5.65% -0.38% -3.91% 1.96% -1.14% 3.5%
2011 3.56% 4.17% 2.66% 4.56% -5.17% -4.26% 4.56% -0.4% -14.62% 7.65% -0.29% -2.89% -2.58%
2010 -7.84% 4.14% -0.47% 3.91% -10.27% -1.64% 6.12% -3.01% 8.6% 4.44% -0.44% 9.89% 11.9%
2009 -4.44% -5.63% 4.66% -0.1% 16.27% -2.63% 1.86% -4.04% -0.23% 6.91% 4.56% -0.16% 16.19%
2008 2.91% 11.15% -0.91% 6.04% 6.91% 10.43% -9.78% -6.53% -10.25% -25.08% -12.37% -1.74% -30.72%
2007 3.4% 5.42% 0.35% 0.76% -0.23% 0.75% 1.91% -1.91% 9.42% 8.5% -0.62% 6.7% 39.4%
*Performance is net of rebalancing costs, fixed fees (0% annually) and performance fees (0% over high watermark).