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 4m 21d)

Returns (annualized)

Portfolio 7.45%
Benchmark 8.71%

Risk (annualized)

Portfolio 27.25%
Benchmark 16.58%

Sharpe (annualized)

Portfolio 0.35
Benchmark 0.50

Excess Return (annualized)

-1.26%

Tracking Error (annualized)

14.95%

Information Ratio

-0.08
Statistic Portfolio Benchmark
Downside Volatility 27.30% 17.33%
Sortino Ratio 0.35 0.48
Calmar Ratio 0.14 0.18
Ulcer Index 11.07 13.08
Max Drawdown 68.67% 45.56%
VaR (99% Confidence) $-6,339 $-3,856
VaR (99.9% Confidence) $-8,421 $-5,123
Beta to Benchmark 1.44 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

3.08

Skew

-0.22
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.6733 0.2744 0.3989
Vol Factor 0.0731 0.0488 0.0243
Inflation Factor -0.2191 -0.0957 -0.1234

Adjusted R2

Portfolio 0.09
Benchmark 0.03

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution