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 8m 19d)

Returns (annualized)

Portfolio 6.06%
Benchmark 7.59%

Risk (annualized)

Portfolio 27.46%
Benchmark 16.74%

Sharpe (annualized)

Portfolio 0.30
Benchmark 0.44

Excess Return (annualized)

-1.53%

Tracking Error (annualized)

14.97%

Information Ratio

-0.10
Statistic Portfolio Benchmark
Downside Volatility 27.55% 17.55%
Sortino Ratio 0.30 0.42
Calmar Ratio 0.12 0.16
Ulcer Index 11.10 13.08
Max Drawdown 68.67% 45.56%
VaR (99% Confidence) $-6,386 $-3,892
VaR (99.9% Confidence) $-8,483 $-5,171
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

2.96

Skew

-0.22
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.7026 0.2950 0.4076
Vol Factor 0.0747 0.0500 0.0248
Inflation Factor -0.2863 -0.1417 -0.1446

Adjusted R2

Portfolio 0.09
Benchmark 0.04

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution