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 2m 25d)

Returns (annualized)

Portfolio 7.85%
Benchmark 9.19%

Risk (annualized)

Portfolio 26.99%
Benchmark 16.30%

Sharpe (annualized)

Portfolio 0.36
Benchmark 0.54

Excess Return (annualized)

-1.34%

Tracking Error (annualized)

14.91%

Information Ratio

-0.09
Statistic Portfolio Benchmark
Downside Volatility 26.95% 17.00%
Sortino Ratio 0.37 0.52
Calmar Ratio 0.14 0.19
Ulcer Index 11.04 13.07
Max Drawdown 68.67% 45.56%
VaR (99% Confidence) $-6,278 $-3,792
VaR (99.9% Confidence) $-8,339 $-5,037
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

3.15

Skew

-0.21
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.6534 0.2590 0.3943
Vol Factor 0.0719 0.0474 0.0245
Inflation Factor -0.1758 -0.0687 -0.1071

Adjusted R2

Portfolio 0.08
Benchmark 0.03

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution