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 4m 15d)

Returns (annualized)

Portfolio 3.85%
Benchmark 6.35%

Risk (annualized)

Portfolio 26.53%
Benchmark 15.56%

Sharpe (annualized)

Portfolio 0.23
Benchmark 0.39

Excess Return (annualized)

-2.51%

Tracking Error (annualized)

14.96%

Information Ratio

-0.17
Statistic Portfolio Benchmark
Downside Volatility 26.35% 16.21%
Sortino Ratio 0.23 0.38
Calmar Ratio 0.09 0.13
Ulcer Index 10.75 12.92
Max Drawdown 68.67% 45.56%
VaR (99% Confidence) $-6,171 $-3,618
VaR (99.9% Confidence) $-8,198 $-4,806
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 0.6173 0.6173
Vol Factor 0.0609 0.0609
Inflation Factor -0.1907 -0.1907

Adjusted R2

Portfolio 0.08
Benchmark 0.03

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution