Stocks and Gold

Notes


This is for a basket of equity etfs mixed with gold.
How Target Volatility Invests

Target Volatility is an extension of buy and hold. The strategy measures realized volatility of a portfolio and increases or decreases exposure based on desired volatility.

When the portfolio is less than 100% invested it allocates the excess cash to a risk off asset.

Portfolio


Ticker Allocation
SPY 20.00 %
IWM 20.00 %
QQQ 20.00 %
GLD 40.00 %

System Parameters


Strategy Type: Target Volatility

Portfolio Target Volatility: 0.1

Volatility Period: 20 days

Risk Off Asset: SHY

Start Date: 2004-11-18

End Date: 2021-11-15

Performance Statistics

Total Return CAGR Max Drawdown Sharpe Calmar Win % Avg. % Win Avg. % Loss Best Period Worst Period
366.92 % 9.56 % -14.66 % 1.09 0.65 61.76 % 2.33 % -1.75 % 7.51 % -6.12 %

Equity Curve

Drawdown

Monthly Returns


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