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 7m 6d)

Returns (annualized)

Portfolio 6.59%
Benchmark 7.92%

Risk (annualized)

Portfolio 27.41%
Benchmark 16.69%

Sharpe (annualized)

Portfolio 0.32
Benchmark 0.46

Excess Return (annualized)

-1.33%

Tracking Error (annualized)

14.98%

Information Ratio

-0.09
Statistic Portfolio Benchmark
Downside Volatility 27.50% 17.48%
Sortino Ratio 0.32 0.43
Calmar Ratio 0.13 0.17
Ulcer Index 11.10 13.09
Max Drawdown 68.67% 45.56%
VaR (99% Confidence) $-6,376 $-3,882
VaR (99.9% Confidence) $-8,470 $-5,157
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

3.01

Skew

-0.22
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.6966 0.2908 0.4058
Vol Factor 0.0743 0.0496 0.0247
Inflation Factor -0.2796 -0.1385 -0.1411

Adjusted R2

Portfolio 0.09
Benchmark 0.04

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution