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)

Anyone who has a link can see this portfolio.

Policy Report

Backtest Report

From to (16y 7m 28d)

Returns (annualized)

Portfolio 6.21%
Benchmark 7.72%

Risk (annualized)

Portfolio 27.43%
Benchmark 16.71%

Sharpe (annualized)

Portfolio 0.31
Benchmark 0.44

Excess Return (annualized)

-1.50%

Tracking Error (annualized)

14.97%

Information Ratio

-0.10
Statistic Portfolio Benchmark
Downside Volatility 27.54% 17.51%
Sortino Ratio 0.30 0.42
Calmar Ratio 0.12 0.16
Ulcer Index 11.10 13.08
Max Drawdown 68.67% 45.56%
VaR (99% Confidence) $-6,381 $-3,887
VaR (99.9% Confidence) $-8,476 $-5,163
Beta to Benchmark 1.45 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

2.99

Skew

-0.22
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.6988 0.2922 0.4066
Vol Factor 0.0746 0.0499 0.0247
Inflation Factor -0.2799 -0.1369 -0.1429

Adjusted R2

Portfolio 0.09
Benchmark 0.04

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution