AT A
GLANCE
This Golden Ratio Strategy has been built around the interplay the indices have with gold during bull and bear markets.
One constant trend we see repeated time and time again is the way people treat gold as a hedge during 'bad times'. That is, when the markets are under performing or are bearish, there appears to be a migration from the stock market into precious metals as a safe haven until we see a reversal. This strategy looks to take advantage of this using a proprietary ratio between the S&P500 and Gold to try to be on the right side of strongest trend.
BY THE
NUMBERS
Inception
01/12/2008
Profitable Months
62.50%
Average Profitable Month
7.42%
Best Year
2013
Total Number of Trades
9
S&P500 Positions
4
Gold Positions
5
Losing Months
37.50%
Drawdown
27.14%
Standard Deviation
6.20%
Average Losing Month
-7.04%
Best Month
28.26% Dec, 2008
Worst Month
-21.90% Aug,2011
Worst Year
2012
Average Annual Return
21.85%
Compounded Annual Growth Rate
20.09%
EQUITY
GROWTH
Starting balance of $1,000 USD
HISTORICAL
PERFORMANCE
Back test from 01/12/2008-31/12/2014 and forward test from 01/01/2015-01/08/2019
ASSET
ALLOCATION
INVESTMENT
STRATEGY
The Golden Ratio Strategy works by creating a unique ratio between the price of gold and the S&P 500 index. This ratio looks at multiple inputs including weighted averages over the short, medium and long term, growth of each respective market as well as a few custom indicators. Once this ratio is calculated, we then run a modified moving average across it to determine which of the two asset classes is the stronger play.
This is a slow moving strategy with maybe only three of four trades a decade, as it uses monthly candles for its data input and looks to exploit long term trends of the respective markets.
The two instruments which are traded to represent Gold and the S&P 500 are:
Both these products are x2 leveraged of their related asset class meaning if gold was to gain $100, then the ProShares Ultra Gold would aim to be up by $200. The same is true on the downside as well.
Currently, this is a long only strategy; however, we are exploring options to see if it is robust enough enough to work out if shorting an asset has more value than going long its alternative. As and when the strategy develops, all updates will be posted on the website as well as all printed literature.
