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Gold Ratios and Big Trading Paper Dump

A couple years ago we did a few studies on gold, examining how gold and gold stocks performed:

Gold Miners / Bullion Ratio

“The ratio is around .86 – near the lowest reading ever. Absolute returns for this decile have been strongly positive at 14%, 20%, and 43% for the following 3,6,12 months, and up 90% of the time a year later.”

Since that time (Jan ’09) gold is up 72% and Barron’s GMI 113%.  Where is the K-Ratio now?  Still in the most favorable bucket for gold stocks…

And here is another post on how gold does using a very simple indicator.

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And since I’m speaking at the NAAIM conference tomorrow here is a great list of the paper (and more) that won the Wagner Award:

 

WINNER Buying Power – The Overlooked Success Factor
Thomas Krawinkel
Private Trader

Other Submissions

Optimal Momentum Investing – 2nd Place
Gary S. Antonacci
Portfolio Management Associates
Optimal Rotational Strategies Using Combined Technical and Fundamental Analysis – 3rd Place
Tony Cooper
Double-Digit Numerics
Is there a Distress Risk Anomaly? Corporate Bond Spread as a Proxy for Default Risk
Denzig Anginer and Celim Yidizhan
Ross School of Business, University of Michigan
Why Listed Infrastructure
Michael Underhill
Capital Innovations
Fighting the Next War: Redefining the Inflation Protected Portfolio
Jon Ruff and Vince Childers
Alliance Bernstein
Discriminating Bear Market Rallies from Initial Rallies in New Bull Markets: A Statistical Classifier Approach
David R. Aronson
Hood River Research Inc.
Developing an Active Management System for the U.S. Stock Market and Constructing a Live Testing Environment
David Moenning
Heritage Capital Management
Active Management of the Rydex Series Funds
Mark Pankin
MDP Associates LLC
A Multi Objective Approach for Contingent Claim Portfolio
Pankaj Kumar Jain and Aditya T. Navale
Indian Institute of Finance
Strategy Market Barometer
C. Thomas Howard
Professor, University of Denver and Athena Invest
The Abandonment Metric: Negative Fund Flows as a Predictor of Excess Returns
Neil Stoloff
SweetSpot Investments LLC
Relative Momentum: A New Alternative to Relative Strength
Gary Anderson
Anderson & Loe, Inc.
Protecting Equity Investments: Options, Inverse ETFs, Hedge Funds, and AORDA Portfolios
Gaia Serraino, American Optimal Decisions and Stan Uryasev
University of Florida

 

Buying Power – The Overlooked Success Factor
Thomas Krawinkel
Private Trader

Other Submissions

Optimal Momentum Investing – 2nd Place
Gary S. Antonacci
Portfolio Management Associates
Optimal Rotational Strategies Using Combined Technical and Fundamental Analysis – 3rd Place
Tony Cooper
Double-Digit Numerics
Is there a Distress Risk Anomaly? Corporate Bond Spread as a Proxy for Default Risk
Denzig Anginer and Celim Yidizhan
Ross School of Business, University of Michigan
Why Listed Infrastructure
Michael Underhill
Capital Innovations
Fighting the Next War: Redefining the Inflation Protected Portfolio
Jon Ruff and Vince Childers
Alliance Bernstein
Discriminating Bear Market Rallies from Initial Rallies in New Bull Markets: A Statistical Classifier Approach
David R. Aronson
Hood River Research Inc.
Developing an Active Management System for the U.S. Stock Market and Constructing a Live Testing Environment
David Moenning
Heritage Capital Management
Active Management of the Rydex Series Funds
Mark Pankin
MDP Associates LLC
A Multi Objective Approach for Contingent Claim Portfolio
Pankaj Kumar Jain and Aditya T. Navale
Indian Institute of Finance
Strategy Market Barometer
C. Thomas Howard
Professor, University of Denver and Athena Invest
The Abandonment Metric: Negative Fund Flows as a Predictor of Excess Returns
Neil Stoloff
SweetSpot Investments LLC
Relative Momentum: A New Alternative to Relative Strength
Gary Anderson
Anderson & Loe, Inc.
Protecting Equity Investments: Options, Inverse ETFs, Hedge Funds, and AORDA Portfolios
Gaia Serraino, American Optimal Decisions and Stan Uryasev
University of Florida
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