Fund Performance Analysis

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Fund Information (Jun 2020 - Aug 2021)

Fund information
NameiShares Silver Trust (SLV)United States Copper Index (CPER)
Asset ClassCommoditiesCommodities
CategoryCommodities FocusedCommodities Focused
Fund BenchmarkLBMA Silver Price USDSummerhHaven Copper TR USD
Selected BenchmarkSPDR Gold Shares (GLD)SPDR Gold Shares (GLD)
Assets13.24 B286.73 M
Equity Holdings00
Bond Holdings04
Total Holdings118
Expense Ratio0.50%0.80%
Inception Date04/21/200611/14/2011

Performance Summary

Fund performance summary
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
iShares Silver Trust$10,000$13,289 25.55% 42.55%47.48%-9.89%-19.75% 0.721.570.35
United States Copper Index$10,000$17,215 54.43% 22.38%40.10%22.87%-9.08% 2.085.350.47
SPDR Gold Shares$10,000$10,416 3.32% 18.46%9.48%-4.86%-13.74% 0.260.440.04

Trailing Returns

Trailing Returns
Name3 MonthYTD1 yearFull
iShares Silver Trust-14.52%-9.89%-15.59%25.55%
United States Copper Index-7.45%22.87%40.82%54.43%
SPDR Gold Shares-4.87%-4.86%-8.19%3.32%
Trailing annualized returns are for full months ending in August 2021 excluding portfolio cashflows.
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • Fund fundamentals data as of 09/27/2021. (c) 2021 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.
  • Displayed expense ratio is the prospectus net expense ratio
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns

Holdings Based Style Analysis for iShares Silver Trust

Holdings Based Style Analysis for iShares Silver Trust
TickerNameCategoryWeightFeesReturn ContributionRisk Contribution
SLViShares Silver TrustCommodities Focused100.00%0.50%$3,289100.00%

Asset Allocation

Holdings Based Style Analysis for United States Copper Index

Holdings Based Style Analysis for United States Copper Index
TickerNameCategoryWeightFeesReturn ContributionRisk Contribution
CPERUnited States Copper IndexCommodities Focused100.00%0.80%$7,215100.00%

Asset Allocation

Holdings Based Style Analysis for SPDR Gold Shares

Holdings Based Style Analysis for SPDR Gold Shares
TickerNameCategoryWeightFeesReturn ContributionRisk Contribution
GLDSPDR Gold SharesCommodities Focused100.00%0.40%$416100.00%

Asset Allocation

Portfolio return and risk metrics
MetriciShares Silver TrustUnited States Copper IndexSPDR Gold Shares
Arithmetic Mean (monthly)2.57%3.88%0.40%
Arithmetic Mean (annualized)35.53%57.83%4.94%
Geometric Mean (monthly)1.91%3.69%0.27%
Geometric Mean (annualized)25.55%54.43%3.32%
Volatility (monthly)12.28%6.46%5.33%
Volatility (annualized)42.55%22.38%18.46%
Downside Deviation (monthly)5.64%2.51%3.15%
Max. Drawdown-19.75%-9.08%-13.74%
US Market Correlation0.350.470.04
Alpha (annualized)22.41%45.64%0.00%
Sharpe Ratio0.722.080.26
Sortino Ratio1.575.350.44
Treynor Ratio (%)17.73255.394.76
Active Return22.23%51.11%N/A
Tracking Error31.15%26.79%N/A
Information Ratio0.711.91N/A
Excess Kurtosis1.72-0.25-0.57
Historical Value-at-Risk (5%)-10.81%-4.46%-6.52%
Analytical Value-at-Risk (5%)-17.64%-6.75%-8.36%
Conditional Value-at-Risk (5%)-17.50%-9.08%-7.15%
Upside Capture Ratio (%)189.99112.16100.00
Downside Capture Ratio (%)98.21-73.38100.00
Safe Withdrawal Rate100.00%100.00%100.00%
Perpetual Withdrawal Rate19.71%38.02%0.00%
Positive Periods8 out of 15 (53.33%)11 out of 15 (73.33%)6 out of 15 (40.00%)
Gain/Loss Ratio1.601.791.82
* SPDR Gold Shares is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

iShares Silver Trust Returns

Annual and monthly fund returns

United States Copper Index Returns

Annual and monthly fund returns

SPDR Gold Shares Returns

Annual and monthly fund returns