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 5m 12d)

Returns (annualized)

Portfolio 7.47%
Benchmark 8.74%

Risk (annualized)

Portfolio 27.26%
Benchmark 16.59%

Sharpe (annualized)

Portfolio 0.35
Benchmark 0.50

Excess Return (annualized)

-1.27%

Tracking Error (annualized)

14.94%

Information Ratio

-0.08
Statistic Portfolio Benchmark
Downside Volatility 27.32% 17.34%
Sortino Ratio 0.35 0.48
Calmar Ratio 0.14 0.18
Ulcer Index 11.08 13.09
Max Drawdown 68.67% 45.56%
VaR (99% Confidence) $-6,341 $-3,858
VaR (99.9% Confidence) $-8,423 $-5,126
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

3.07

Skew

-0.22
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.6781 0.2780 0.4001
Vol Factor 0.0736 0.0492 0.0244
Inflation Factor -0.2327 -0.1055 -0.1273

Adjusted R2

Portfolio 0.09
Benchmark 0.03

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution