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 (15y 11m 19d)

Returns (annualized)

Portfolio 6.19%
Benchmark 7.90%

Risk (annualized)

Portfolio 26.72%
Benchmark 15.86%

Sharpe (annualized)

Portfolio 0.31
Benchmark 0.47

Excess Return (annualized)

-1.71%

Tracking Error (annualized)

14.91%

Information Ratio

-0.11
Statistic Portfolio Benchmark
Downside Volatility 26.59% 16.47%
Sortino Ratio 0.31 0.46
Calmar Ratio 0.12 0.17
Ulcer Index 10.96 13.03
Max Drawdown 68.67% 45.56%
VaR (99% Confidence) $-6,214 $-3,690
VaR (99.9% Confidence) $-8,255 $-4,901
Beta to Benchmark 1.48 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

-0.14
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.6404 0.2466 0.3937
Vol Factor 0.0702 0.0450 0.0252
Inflation Factor -0.1794 -0.0746 -0.1048

Adjusted R2

Portfolio 0.08
Benchmark 0.03

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution