In the first quarter of 2024, Invesco DB Commodity Index Tracking Fund reported a net asset value of $74.7 million. The fund’s financial statements highlight its market risk, controls and procedures, legal proceedings, risk factors, unregistered sales of equity securities, defaults on senior securities, and other information. The company’s financial performance and market conditions are discussed in the management’s discussion and analysis of financial condition and results of operations.
The Invesco DB Commodity Index Tracking Fund aims to track the DBIQ Optimum Yield Diversified Commodity Index Excess Return (the Index). The Index is intended to reflect changes in the market value of 14 commodities that make up the index.
The Fund invests in futures contracts on those 14 commodities to track the performance of the Index. The value of the Fund’s shares is expected to fluctuate based on changes in the value of those futures contracts.
Key Financial Metrics
Metric | Q1 2024 | Q1 2023 |
---|---|---|
Net Asset Value Per Share | Increased 4.22% | Decreased 3.61% |
Index Level | Increased 3.13% | Decreased 4.50% |
Underlying Commodity Index Returns | Increased 4.52% | Decreased 3.38% |
In Q1 2024, 8 out of the 14 commodities in the Index had positive returns, led by gains in energy commodities like Brent crude oil, RBOB gasoline, and ultra-low sulfur diesel.
Precious metals like gold and silver also performed well, supported by expectations of interest rate cuts by the Federal Reserve.
On the downside, natural gas continued to lag due to high inventories and reduced winter heating demand. Grains remained under pressure from ample global supplies.
The market price of the Fund’s shares increased 4.13% in Q1 2024 compared to a 3.73% decrease in Q1 2023.
Driving the increase was improved investor risk appetite supported by a resilient U.S. economy and expectations for Fed easing.
In Q1 2023, losses were largely driven by declines in energy commodities like natural gas and diesel.
The Net Asset Value (NAV) per share increased 4.22% in Q1 2024 compared to a 3.61% decrease in Q1 2023. This was driven by the commodity futures price changes described above.
Q1 2024 net income was $69 million compared to a net loss of $95.6 million in Q1 2023.
As of March 31, 2024, the Fund’s long futures positions reflected a 100% allocation to the 14 commodities in the Index. This matches the relative production and inventory levels of each commodity.
The Fund aims to maintain futures positions closely matching the fluctuating market value of the Index commodities. This exposes the Fund to commodity price risk and volatility.
The Fund holds U.S. Treasuries, money market funds, and T-Bill ETFs as collateral for margin requirements and for cash management purposes. This exposes the Fund to interest rate risk and credit risk.
The Fund meets daily margin requirements and redeems shares through its holdings in U.S. Treasuries, money market funds, and T-Bill ETFs.
The Fund has adequate liquidity to operate its business of trading commodity futures contracts. Its sources of capital are the continuous offering of shares to Authorized Participants.
Going forward, the Fund intends to continue holding futures positions reflecting the target weights of commodities in the Index.
The Fund’s performance will be driven by the prices of those commodity futures contracts, which depend largely on global supply and demand trends.
While commodity price volatility exposes the Fund to market risk, the Fund aims to closely track the benchmark Index regardless of positive or negative performance.