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 7d)

Returns (annualized)

Portfolio 2.71%
Benchmark 5.46%

Risk (annualized)

Portfolio 26.64%
Benchmark 15.59%

Sharpe (annualized)

Portfolio 0.19
Benchmark 0.34

Excess Return (annualized)

-2.75%

Tracking Error (annualized)

15.04%

Information Ratio

-0.18
Statistic Portfolio Benchmark
Downside Volatility 26.42% 16.22%
Sortino Ratio 0.19 0.33
Calmar Ratio 0.07 0.12
Ulcer Index 10.63 12.86
Max Drawdown 68.67% 45.56%
VaR (99% Confidence) $-6,195 $-3,625
VaR (99.9% Confidence) $-8,230 $-4,815
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

2.82

Skew

-0.11
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.6183 0.6183
Vol Factor 0.0620 0.0620
Inflation Factor -0.2038 -0.2038

Adjusted R2

Portfolio 0.08
Benchmark 0.03

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution