PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions

Tech and Gold

Last updated Nov 28, 2023

Asset Allocation


IAU 51%XLK 49%CommodityCommodityEquityEquity
PositionCategory/SectorWeight
IAU
iShares Gold Trust
Precious Metals, Gold51%
XLK
Technology Select Sector SPDR Fund
Technology Equities49%

Performance

The chart shows the growth of an initial investment of $10,000 in Tech and Gold, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Quarterly


300.00%400.00%500.00%600.00%700.00%JuneJulyAugustSeptemberOctoberNovember
721.13%
288.47%
Tech and Gold
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jan 28, 2005, corresponding to the inception date of IAU

Returns

As of Nov 28, 2023, the Tech and Gold returned 28.81% Year-To-Date and 12.62% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
N/AN/AN/AN/AN/AN/A
Tech and Gold28.81%7.17%8.15%27.08%17.55%12.62%
XLK
Technology Select Sector SPDR Fund
49.14%14.45%12.38%39.32%23.50%19.89%
IAU
iShares Gold Trust
10.26%0.34%3.30%14.60%10.39%4.68%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20230.40%3.70%2.04%2.40%-1.36%-5.61%3.81%

Sharpe Ratio

The current Tech and Gold Sharpe ratio is 2.15. A Sharpe ratio higher than 2.0 is considered very good.

-1.000.001.002.003.002.15

The Sharpe ratio of Tech and Gold is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.


Rolling 12-month Sharpe Ratio0.000.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
2.15
0.91
Tech and Gold
Benchmark (^GSPC)
Portfolio components

Dividend yield

Tech and Gold granted a 0.37% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
Tech and Gold0.37%0.51%0.32%0.45%0.57%0.78%0.67%0.85%0.88%0.86%0.83%0.85%
XLK
Technology Select Sector SPDR Fund
0.76%1.04%0.65%0.92%1.16%1.60%1.37%1.74%1.79%1.75%1.70%1.74%
IAU
iShares Gold Trust
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Expense Ratio

The Tech and Gold features an expense ratio of 0.19%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.25%
0.00%2.15%
0.13%
0.00%2.15%

Risk-Adjusted Performance

This table presents a comparison of risk-adjusted performance metrics for positions. Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Sharpe ratioSortino ratioOmega ratioCalmar ratioUlcer Index
XLK
Technology Select Sector SPDR Fund
1.88
IAU
iShares Gold Trust
1.10

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

IAUXLK
IAU1.000.02
XLK0.021.00

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-5.13%
Tech and Gold
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Tech and Gold. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the Tech and Gold was 33.92%, occurring on Nov 20, 2008. Recovery took 223 trading sessions.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-33.92%May 20, 2008130Nov 20, 2008223Oct 12, 2009353
-21.76%Dec 28, 2021202Oct 14, 2022154May 26, 2023356
-19.18%Feb 20, 202022Mar 20, 202040May 18, 202062
-17.49%Sep 24, 2012190Jun 27, 2013393Jan 20, 2015583
-15.84%May 11, 200623Jun 13, 2006159Jan 31, 2007182

Volatility Chart

The current Tech and Gold volatility is 2.08%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


2.00%2.50%3.00%3.50%4.00%4.50%5.00%JuneJulyAugustSeptemberOctoberNovember
2.08%
3.31%
Tech and Gold
Benchmark (^GSPC)
Portfolio components

Recent discussions