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 (15y 10m 27d)

Returns (annualized)

Portfolio 6.37%
Benchmark 7.88%

Risk (annualized)

Portfolio 26.60%
Benchmark 15.72%

Sharpe (annualized)

Portfolio 0.32
Benchmark 0.48

Excess Return (annualized)

-1.51%

Tracking Error (annualized)

14.90%

Information Ratio

-0.10
Statistic Portfolio Benchmark
Downside Volatility 26.41% 16.29%
Sortino Ratio 0.32 0.46
Calmar Ratio 0.12 0.16
Ulcer Index 10.94 13.02
Max Drawdown 68.67% 45.56%
VaR (99% Confidence) $-6,187 $-3,657
VaR (99.9% Confidence) $-8,219 $-4,858
Beta to Benchmark 1.48 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

2.74

Skew

-0.11
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.6368 0.2449 0.3918
Vol Factor 0.0689 0.0446 0.0243
Inflation Factor -0.1809 -0.0723 -0.1086

Adjusted R2

Portfolio 0.08
Benchmark 0.03

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution