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 6m 17d)

Returns (annualized)

Portfolio 7.16%
Benchmark 8.43%

Risk (annualized)

Portfolio 27.31%
Benchmark 16.61%

Sharpe (annualized)

Portfolio 0.34
Benchmark 0.49

Excess Return (annualized)

-1.28%

Tracking Error (annualized)

14.96%

Information Ratio

-0.09
Statistic Portfolio Benchmark
Downside Volatility 27.35% 17.36%
Sortino Ratio 0.34 0.46
Calmar Ratio 0.13 0.18
Ulcer Index 11.10 13.09
Max Drawdown 68.67% 45.56%
VaR (99% Confidence) $-6,352 $-3,863
VaR (99.9% Confidence) $-8,438 $-5,132
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

3.03

Skew

-0.22
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.6894 0.2850 0.4044
Vol Factor 0.0750 0.0501 0.0250
Inflation Factor -0.2588 -0.1237 -0.1351

Adjusted R2

Portfolio 0.09
Benchmark 0.03

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution