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 1m 21d)

Returns (annualized)

Portfolio 7.03%
Benchmark 8.34%

Risk (annualized)

Portfolio 26.74%
Benchmark 15.89%

Sharpe (annualized)

Portfolio 0.34
Benchmark 0.50

Excess Return (annualized)

-1.31%

Tracking Error (annualized)

14.90%

Information Ratio

-0.09
Statistic Portfolio Benchmark
Downside Volatility 26.60% 16.52%
Sortino Ratio 0.34 0.48
Calmar Ratio 0.13 0.17
Ulcer Index 11.01 13.05
Max Drawdown 68.67% 45.56%
VaR (99% Confidence) $-6,218 $-3,696
VaR (99.9% Confidence) $-8,260 $-4,910
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

-0.14
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.6430 0.2490 0.3939
Vol Factor 0.0693 0.0448 0.0245
Inflation Factor -0.1848 -0.0771 -0.1076

Adjusted R2

Portfolio 0.08
Benchmark 0.03

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution