Silver Gold Spread

Too bad you didn't do the Comex futures as a synthetic spread - you would be in much better shape than the GLD vs. SLV ETF Pair on a currency-adjusted basis. Much better.
 
Being long Gold futures versus Silver futures on a weighted basis has performed significantly better than the equity ETF shares pairs trade.
 
You posted in the futures section, and there are significant performance differences between ETFs and Futures.

2cpdlr5.png


vo4bk0.png
 
Quote from bone:

Being long Gold futures versus Silver futures on a weighted basis has performed significantly better than the equity ETF shares pairs trade.
More...

ok, i withdraw my question

but a chart going back longer than 1 month would be a better illustration
 
I show similar results to GLD/SLV on a contract equivalent basis (silver is a 5000oz contract, while gold is 100oz, so multiply the silver by 50 to put it in "gold terms".)

I hope you are long gold/short silver VERY recently, or you have been taking some heat!
 

Attachments

Quote from drm7:

I show similar results to GLD/SLV on a contract equivalent basis (silver is a 5000oz contract, while gold is 100oz, so multiply the silver by 50 to put it in "gold terms".)
More...

You have to blend volatility and currency weighting in order to arrive at a suitable hedge ratio for a futures spread. The precise volatility weighting is 2.3 : 1

Your weighting is incorrect.
 
You must log in or register to reply here.
Back
Top