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 Returns	Increased 4.52%	Decreased 3.38%

Performance Details

Commodity Returns

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.

Fund Share Price

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.

Fund Net Asset Value

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.

Analysis

Positions and Risk Exposures

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.

Liquidity and Capital Resources

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.

Outlook

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 are impacted by global supply and demand trends.

With the U.S. economy remaining resilient and the Fed expected to start easing policy, the backdrop for commodities looks favorable for continued investor risk appetite supporting prices.

However, ongoing conflict and recession risks could shift sentiment and impact financial markets and commodity prices. The Fund will maintain its index-tracking strategy through commodity price volatility.