Five ETFs For A Diversified Commodity Allocation

There are currently 4,456 US-listed ETFs in our database, from which we select a smaller sub-universe with the following criteria:

A fund must have been launched at least a year ago
The net assets have to be greater than US$30m
The annual fees have to be smaller than 1.25% (a high level already, but some ETFs implement active strategies in illiquid markets)
We exclude all short-term trading, volatility-trading, inverse or levered ETFs

That leaves us with 2,164 funds, including 42 commodities funds, from which this small allocation is drawn (see our target allocation in the rightmost column).

Symbol	Name	Category	Launch Year	Net Assets ($)	Annual Fees (%)	TTM Yield (%)	Target Allocation (%)
CMDT	PIMCO Commodity Strategy Active Exchange-Traded Fund	Commodities Broad Basket	2023	576,589,725	0.89	7.68	27.479871
COM	Direxion Auspice Broad Commodity Strategy ETF	Commodities Broad Basket	2017	175,575,044	0.70	3.24	25.828233
KCCA	KraneShares California Carbon Allowance ETF	Commodities Focused	2021	133,949,880	0.79	5.68	6.185753
NBCM	Neuberger Berman Commodity Strategy ETF	Commodities Broad Basket	2012	272,728,464	0.76	4.65	29.973963
PDBA	Invesco Agriculture Commodity Strategy No K-1 ETF	Commodities Focused	2022	80,228,153	0.59	12.92	10.532179

Note: The weighted average annual fees of the allocation are 76 basis points.

» Recent performance of our allocation versus its benchmark:

Note: The benchmark (Bloomberg Commodity Index Total Return) has been scaled to achieve equal volatility over the period, in order to get a pound for pound visual comparison of compounded returns.

» Key performance metrics over the last 12 months:

	Total Return	Realized Volatility	Relative Volatility / Benchmark	Excess Return¹	Sharpe Ratio¹	Maximum Drawdown²	Calmar Ratio	Correlation	Beta	R-squared³	Annualized Alpha⁴	Treynor Ratio	Up Capture	Down Capture	Active Return⁵	Tracking Error⁵	Information Ratio⁵
ALLOCATION	7.1%	9.4%	0.74	2.6%	0.28	-8.1%	0.87	0.89	0.66	79%	1.5%	0.11	66.2%	64.1%	0.7%	4.5%	0.15
BENCHMARK	8.3%	12.7%	–	3.9%	0.31	-9.2%	0.91	–	–	–	–	–	–	–	–	–	–
CMDT	8.6%	11.8%	0.93	4.2%	0.35	-9.4%	0.91	0.88	0.82	77%	1.8%	0.11	79.0%	76.1%	0.6%	5.8%	0.1
COM	3.5%	8.0%	0.63	-0.9%	-0.11	-6.1%	0.58	0.71	0.45	51%	-0.1%	0.08	44.7%	44.9%	-1.9%	6.1%	-0.31
KCCA	-15.7%	25.3%	1.99	-20.1%	-0.8	-34.9%	0.45	-0.06	-0.12	0%	-12.0%	1.28	1.9%	22.1%	-31.8%	36.8%	-0.86
NBCM	11.7%	13.3%	1.05	7.3%	0.54	-10.8%	1.09	0.9	0.95	81%	3.7%	0.12	92.9%	87.4%	2.6%	5.9%	0.44
PDBA	9.9%	12.9%	1.02	5.5%	0.43	-9.6%	1.03	0.37	0.38	14%	7.3%	0.27	47.1%	38.2%	0.3%	14.5%	0.02
Notes:

¹ For the estimation of the Sharpe ratio, we calculated excess return and excess volatility against the daily returns of the Nasdaq US T-Bill V2 Index (“NQCASH2”).
² Drawdowns are calculated on daily closing prices (i.e. not intraday highs and lows).
³ The R-squared indicates how much the variance of a security can be explained by the variance of the benchmark: if a security has a low R-squared value, the CAPM single-factor linear relationship doesn’t explain much of the variance of the security, and the CAPM metrics (beta, alpha, Treynor ratio) are not useful for this particular security.
⁴ The annualized alpha is a compounded calculation from CAPM estimations on daily returns.
⁵ The active performance metrics are calculated relative to the volatilty-adjusted benchmark (i.e. the benchmark multiplied by the relative volatility of the allocation).

» Charting each security in the allocation:

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