Gold

Portfolio Specification

Assets

iShares Gold Trust (IAU)50.00%
VanEck Gold Miners ETF (GDX)25.00%
VanEck Junior Gold Miners ETF (GDXJ)25.00%

Policy

Rebalancing Interval Quarterly
Weights Algorithm Constant Weights

Benchmark

SPDR Gold Shares ETF (GLD)

Policy Report

Backtest Report

From to (15y 5m 26d)

Returns (annualized)

Portfolio 4.31%
Benchmark 6.84%

Risk (annualized)

Portfolio 26.66%
Benchmark 15.70%

Sharpe (annualized)

Portfolio 0.24
Benchmark 0.42

Excess Return (annualized)

-2.53%

Tracking Error (annualized)

14.98%

Information Ratio

-0.17
Statistic Portfolio Benchmark
Downside Volatility 26.43% 16.28%
Sortino Ratio 0.25 0.41
Calmar Ratio 0.10 0.14
Ulcer Index 10.79 12.94
Max Drawdown 68.67% 45.56%
VaR (99% Confidence) $-6,201 $-3,653
VaR (99.9% Confidence) $-8,237 $-4,852
Beta to Benchmark 1.49 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

2.78

Skew

-0.11
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.6291 0.6291
Vol Factor 0.0647 0.0647
Inflation Factor -0.1884 -0.1884

Adjusted R2

Portfolio 0.08
Benchmark 0.03

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution