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 22d)

Returns (annualized)

Portfolio 6.74%
Benchmark 8.19%

Risk (annualized)

Portfolio 26.73%
Benchmark 15.87%

Sharpe (annualized)

Portfolio 0.33
Benchmark 0.49

Excess Return (annualized)

-1.45%

Tracking Error (annualized)

14.91%

Information Ratio

-0.10
Statistic Portfolio Benchmark
Downside Volatility 26.58% 16.47%
Sortino Ratio 0.33 0.47
Calmar Ratio 0.13 0.17
Ulcer Index 10.98 13.04
Max Drawdown 68.67% 45.56%
VaR (99% Confidence) $-6,217 $-3,691
VaR (99.9% Confidence) $-8,259 $-4,903
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

-0.14
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 0.6425 0.2481 0.3944
Vol Factor 0.0694 0.0447 0.0247
Inflation Factor -0.1853 -0.0777 -0.1075

Adjusted R2

Portfolio 0.08
Benchmark 0.03

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution