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 9m 16d)

Returns (annualized)

Portfolio 5.10%
Benchmark 6.93%

Risk (annualized)

Portfolio 26.61%
Benchmark 15.72%

Sharpe (annualized)

Portfolio 0.27
Benchmark 0.42

Excess Return (annualized)

-1.83%

Tracking Error (annualized)

14.92%

Information Ratio

-0.12
Statistic Portfolio Benchmark
Downside Volatility 26.43% 16.30%
Sortino Ratio 0.27 0.41
Calmar Ratio 0.11 0.15
Ulcer Index 10.90 13.00
Max Drawdown 68.67% 45.56%
VaR (99% Confidence) $-6,189 $-3,656
VaR (99.9% Confidence) $-8,222 $-4,856
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

2.76

Skew

-0.11
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.6337 0.2426 0.3911
Vol Factor 0.0681 0.0439 0.0242
Inflation Factor -0.1826 -0.0737 -0.1089

Adjusted R2

Portfolio 0.08
Benchmark 0.03

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution