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)

Policy Report

Backtest Report

From to (15y 7m 19d)

Returns (annualized)

Portfolio 4.56%
Benchmark 6.84%

Risk (annualized)

Portfolio 26.68%
Benchmark 15.75%

Sharpe (annualized)

Portfolio 0.25
Benchmark 0.42

Excess Return (annualized)

-2.28%

Tracking Error (annualized)

14.95%

Information Ratio

-0.15
Statistic Portfolio Benchmark
Downside Volatility 26.48% 16.34%
Sortino Ratio 0.25 0.40
Calmar Ratio 0.10 0.14
Ulcer Index 10.84 12.97
Max Drawdown 68.67% 45.56%
VaR (99% Confidence) $-6,205 $-3,663
VaR (99.9% Confidence) $-8,243 $-4,866
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

2.76

Skew

-0.11
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 0.6324 0.6324
Vol Factor 0.0678 0.0678
Inflation Factor -0.1814 -0.1814

Adjusted R2

Portfolio 0.08
Benchmark 0.03

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution