Gold

Specification

Policy
Rebalancing Interval Quarterly
Weights Algorithm Constant Weights
Assets
iShares Gold Trust (IAU)50.00%
VanEck Gold Miners ETF (GDX)25.00%
VanEck Junior Gold Miners ETF (GDXJ)25.00%
Benchmark
SPDR Gold Shares ETF (GLD)

Policy Report

Backtest Report

From to (15y 3m 8d)

Returns (annualized)

Portfolio 3.44%
Benchmark 6.12%

Risk (annualized)

Portfolio 26.56%
Benchmark 15.57%

Sharpe (annualized)

Portfolio 0.21
Benchmark 0.38

Excess Return (annualized)

-2.68%

Tracking Error (annualized)

14.97%

Information Ratio

-0.18
Statistic Portfolio Benchmark
Downside Volatility 26.36% 16.23%
Sortino Ratio 0.22 0.37
Calmar Ratio 0.08 0.13
Ulcer Index 10.71 12.90
Max Drawdown 68.67% 45.56%
VaR (99% Confidence) $-6,177 $-3,621
VaR (99.9% Confidence) $-8,205 $-4,811
Beta to Benchmark 1.49 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

2.81

Skew

-0.12
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.6178 0.6178
Vol Factor 0.0612 0.0612
Inflation Factor -0.1941 -0.1941

Adjusted R2

Portfolio 0.08
Benchmark 0.03

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution