Overview

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 Level	Increased 4.52%	Decreased 3.38%

Performance Details

Commodity Performance

In Q1 2024, the prices of 8 out of the 14 commodities in the Index increased, while 6 decreased. This led to a 4.52% increase in the underlying commodity index level that includes interest income.

The strongest performers were:

• Brent Crude Oil: 10.65% increase
• RBOB Gasoline: 12.67% increase
• Gold: 7.80% increase

The weakest performers were:

• Natural Gas: 24.56% decrease
• Wheat: 9.66% decrease
• Corn: 5.30% decrease

In Q1 2023, the prices of 6 out of the 14 commodities in the Index increased, while 8 decreased. This led to a 3.38% decrease in the underlying commodity index level.

The strongest performers were:

• Sugar: 22.84% increase
• Gold: 8.23% increase

The weakest performers were:

• Natural Gas: 42.96% decrease
  
• Ultra-Low Sulfur Diesel: 11.85% decrease
• Wheat: 11.24% decrease

Fund Performance

Market Price

• Q1 2024: Increased 4.13%
• Q1 2023: Decreased 3.73%

Net Asset Value

• Q1 2024: Increased 4.22%
• Q1 2023: Decreased 3.61%

The market price tracks closely to the Index level, while the Net Asset Value reflects interest income earned by the Fund.

Revenue and Profit Discussion

Q1 2024

The Fund had net income of $69 million in Q1 2024. This was primarily driven by:

• $22.1 million in interest income
• $52.8 million in unrealized gains on futures positions
• $2.6 million in realized losses on futures positions
• $3.4 million in operating expenses

Q1 2023

The Fund had a net loss of $95.6 million in Q1 2023. This was primarily driven by:

• $26.8 million in interest income
  
• $47.2 million in unrealized losses on futures positions
• $70.3 million in realized losses on futures positions
• $4.9 million in operating expenses

Strengths and Weaknesses

Strengths

• The Fund provides exposure to a diversified basket of commodity futures with the aim of tracking the Index
• Interest income generated on fixed income holdings has often led to excess returns over the Index
• Strong risk management procedures to limit counterparty and credit risk

Weaknesses

• Performance highly dependent on volatile commodity futures prices
• Futures rolling can negatively impact performance if in contango
• Ongoing geopolitical uncertainty may increase market volatility

Future Outlook

The near-term outlook for commodities remains positive, though risks around growth and geopolitics persist. Key factors shaping the outlook include:

• Expectations for a resilient U.S. economy and easing inflation
• Potential for increased risk appetite and demand as China reopens
• Continued conflict and tensions around Ukraine and the Middle East
• Uncertainty around central bank policy and global economic growth

While volatility is likely to remain elevated, the Fund provides exposure to a broad basket of commodities and the potential for excess returns through interest income generation.