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 8m 24d)

Returns (annualized)

Portfolio 4.76%
Benchmark 6.87%

Risk (annualized)

Portfolio 26.65%
Benchmark 15.74%

Sharpe (annualized)

Portfolio 0.26
Benchmark 0.42

Excess Return (annualized)

-2.12%

Tracking Error (annualized)

14.93%

Information Ratio

-0.14
Statistic Portfolio Benchmark
Downside Volatility 26.45% 16.32%
Sortino Ratio 0.26 0.40
Calmar Ratio 0.10 0.14
Ulcer Index 10.87 12.98
Max Drawdown 68.67% 45.56%
VaR (99% Confidence) $-6,198 $-3,660
VaR (99.9% Confidence) $-8,233 $-4,862
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

2.75

Skew

-0.11
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.6336 0.6336
Vol Factor 0.0682 0.0682
Inflation Factor -0.1846 -0.1846

Adjusted R2

Portfolio 0.08
Benchmark 0.03

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution