Gold: Seasonal Strategy

  • It is common sense that there is a seasonal pattern in commodities, especially in the gold market.
  • I did some tests over the last 20 years to exploit this effect in a simple strategy.
  • The strategy is to buy in August and to hold till the end of March.
  • As performance figures show the strategy has approximately the same annual return as the buy-and-hold approach.
  • However, looking at the volatilities and the maximum drawdowns show clear improvements in terms of risk in favor of the strategy.
  • If you are a long-term investor or if you using gold as a portfolio insurance/diversifier stay with buy-and-hold.
  • A more active trader/investor should use seasonal effects to build a more superior portfolio in terms of risk-to-reward.

 

About me

Former hedge fund portfolio manager/trader

15 years of experience in financial markets

✓ Master of Science (MSc) in Business and Economics from the University of Basel

✓ Developed quantitative tools for an asset management