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 3m 15d)

Returns (annualized)

Portfolio 8.65%
Benchmark 9.56%

Risk (annualized)

Portfolio 27.07%
Benchmark 16.38%

Sharpe (annualized)

Portfolio 0.39
Benchmark 0.56

Excess Return (annualized)

-0.91%

Tracking Error (annualized)

14.92%

Information Ratio

-0.06
Statistic Portfolio Benchmark
Downside Volatility 27.03% 17.07%
Sortino Ratio 0.39 0.53
Calmar Ratio 0.15 0.20
Ulcer Index 11.06 13.07
Max Drawdown 68.67% 45.56%
VaR (99% Confidence) $-6,297 $-3,810
VaR (99.9% Confidence) $-8,365 $-5,061
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

3.11

Skew

-0.21
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.6569 0.2616 0.3952
Vol Factor 0.0725 0.0479 0.0246
Inflation Factor -0.1770 -0.0689 -0.1081

Adjusted R2

Portfolio 0.08
Benchmark 0.03

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution