• No results found

Two Steps Forward, One Step Backtest

N/A
N/A
Protected

Academic year: 2021

Share "Two Steps Forward, One Step Backtest"

Copied!
5
0
0

Loading.... (view fulltext now)

Full text

(1)

Two Steps Forward, One Step Backtest

The gold spot price ($/oz) (“Gold”) has experienced a healthy return year-to-date 2012, increasing 10.56% as of November 21, 2012. Many investors would believe that the gold miners, measured by the NYSE Arca Gold Miners Index (“GDM”), would perform somewhat similarly. However, GDM has decreased by -7.37% over the same period.

The diverging Gold and GDM returns have caused the Gold/GDM ratio to increase to 1.306 as of November 21, 2012.

Is there an opportunity to gain from trading Gold or GDM by understanding patterns in the Gold/GDM ratio?

Gold Spot Price ($/oz) and NYSE Arca Gold Miners Index Ratio, 50- and 200-Day Moving Averages: 1993 – 2012

 

Source: Bloomberg, between September 17, 1993 and November 21, 2012. (“Evaluation Period”) 1) First historical high Gold/GDM ratio, November 17, 2000. 2) Second historical high Gold/GDM

ratio, October 27, 2008.

The Gold/GDM ratio was at its first historical high value of 1.4717 on November 17, 2000, during the Evaluation Period. Subsequently, the Gold/GDM ratio 50-day moving average crossed below the 200-day moving average on March 6, 2001. The Gold/GDM ratio 50-day moving average did not cross back above the 200-day moving average until November 14, 2002. Gold increased by 22.05% and GDM increased 86.55% between March 6, 2001 and November 14, 2002.

A similar Gold/GDM ratio peak was observed again on October 27, 2008, during the Evaluation Period, where the Gold/GDM ratio was 1.6228. Afterward, the Gold/GDM ratio 50-day moving average crossed below the 200-day moving average on March 30, 2009. The Gold/GDM ratio 50-day moving average did not cross back above the 200-day moving

(2)

average between Finally, t Gold/GD below th Gold Sp Source: B   How the Percent  Gold Spo Increase  Decrease  Increase M GDM  Increase  Decrease  GDM  Decrease  If you be following  H  H until Janua March 30, the Gold/GD M ratio reac e 200-day m pot Price ($ Bloomberg, b e Gold/GD Change in th ot Price ($/oz More than  More than  elieve that t g pair trades HBD: 200% HGU: 200% ry 29, 2010 2009 and Ja DM ratio rea ch another p moving ave $/oz) and N etween Septe M Ratio is he  z)  Percen Arca  Decreas Increase Increase Increase Decreas Decreas he Gold/GD s: leveraged in leveraged e 0. Gold incre anuary 29, ched anothe peak? The G rage on Oct NYSE Arca ember 17, 19 Affected t Change in t Gold Miners se  e  e  e More than G se  se More than  DM ratio will nverse expo exposure to eased by 18 2010. er high of 1 Gold/GDM ra tober 17, 20 Gold Mine 993 and Nove the NYSE  s Index  In D In Gold  D D Gold  In decrease, osure to gold the S&P/TS .02% and G .4177 on M atio 50-day 012. ers Index V ember 21, 20 Effect on Gold/GDM R ncrease  Decrease  ncrease  Decrease  Decrease  ncrease  you could c d bullion SX Global Go GDM increas ay 15, 2012 moving ave Values: 199 012. Ratio  Po HBU HBD HBU HBU HBD HBD consider one old™ Index sed by 12.08 2. Did the erage crosse 93 – 2012 otential Trad U and HGD  D and HGU  U and HGU  U and HGU  D and HGD  D and HGD  e of the 8% ed   des 

(3)

 HBU: 200% leveraged exposure to gold bullion

 HGU: 200% leveraged exposure to the S&P/TSX Global Gold™ Index  HBD: 200% leveraged inverse exposure to gold bullion

 HGD: 200% leveraged inverse exposure to the S&P/TSX Global Gold™ Index If you believe that the Gold/GDM ratio will increase, you could consider one of the following pair trades:

 HBU: 200% leveraged exposure to gold bullion

 HGD: 200% leveraged inverse exposure to the S&P/TSX Global Gold™ Index  HBU: 200% leveraged exposure to gold bullion

 HGU: 200% leveraged exposure to the S&P/TSX Global Gold™ Index  HBD: 200% leveraged inverse exposure to gold bullion

 HGD: 200% leveraged inverse exposure to the S&P/TSX Global Gold™ Index

S&P/TSX Global Gold™ Index correlation of daily returns with the NYSE Arca Gold Miners Index was .9291 between September 29, 2000, and November 21, 2012. The inception date of the S&P/TSX Global Gold™ Index inception date was September 29, 2000. Do you want to try this trade? Use the Horizons Trading Simulator to place hypothetical trades with simulated funds using real market data.

The views expressed herein are of a general nature and this Trade Idea is not and should not be considered as advice to purchase or to sell mentioned securities. Before making any investment decision, please consult your investment advisor or advisors.

ETF Performance as of October 31, 2012

ETF 1 mo (%) 3 mo (%) 6 mo (%) YTD (%) (2012) 1 yr (%) (%) 3 yr Inception Since (%)

Inception Date Management Annual Fee HBU1 -5.38 13.39 4.06 14.37 -7.61 29.17 17.92 January 22, 2008 1.15% HBD1 4.92 -13.93 -10.54 -22.80 -8.39 -34.99 -32.98 January 22, 2008 1.15% HGU1 -1.22 43.80 19.14 -12.94 -30.59 -3.42 -11.91 June 26, 2007 1.15% HGD1 -1.36 -35.28 -30.97 -14.27 -0.19 -28.48 -51.71 June 26, 2007 1.15%

1This ETF does not seek to meet its investment objective over any period other than daily

Wade Guenther, CFA ETF Research Analyst

Horizons Exchange Traded Funds  

   

(4)

HBU Investment Objective

The Horizons BetaPro COMEX® Gold Bullion Bull Plus ETF (“HBU”) and the Horizons BetaPro

COMEX® Gold Bullion Bear Plus ETF (“HBD”) seek daily investment results equal to 200%

the daily performance, or inverse daily performance, of COMEX® Gold Bullion, before fees

and expenses. HBU and HBD are denominated in Canadian dollars, as the U.S. dollar exposure of the underlying index is hedged daily.

HGU Investment Objective

The Horizons BetaPro S&P/TSX Global Gold Bull+ ETF (“HGU”) and the Horizons BetaPro S&P/TSX Global Gold Bear+ ETF (“HGD”) seek daily investment results equal to 200% the daily performance, or inverse daily performance, of the S&P/TSX Global Gold Index™, before fees and expenses. The Index consists of securities of global gold sector issuers listed on the TSX, NYSE, NASDAQ and AMEX

The views expressed herein may not necessarily be the views of AlphaPro Management Inc., Horizons ETFs Management (Canada) Inc. or Horizons Exchange Traded Funds Inc. All comments, opinions and views expressed are of a general nature and should not be

considered as advice to purchase or to sell mentioned securities. Before making any investment decision, please consult your investment advisor or advisors.

Commissions, trailing commissions, management fees and expenses all may be associated with an investment in exchange traded products managed by AlphaPro Management Inc. and Horizons ETFs Management (Canada) Inc. (the “Horizons Exchange Traded Products”). The Horizons Exchange Traded Products are not guaranteed, their values change frequently and past performance may not be repeated. Please read the prospectus before investing.

The Horizons Exchange Traded Products include the Horizons Bull Plus and Bear Plus ETFs (“Plus ETFs”). The Plus ETFs, and certain other Horizons Exchange Traded Products, use leveraged investment techniques that magnify gains and losses and result in greater volatility in value. These Horizons Exchange Traded Products are subject to leverage risk and may be subject to aggressive investment risk and price volatility risk, which, where applicable, are described in their respective prospectuses. Each Plus ETF seeks a return, before fees and expenses, that is either 200% or -200% of the performance of a specified underlying index, commodity or benchmark (the “Target”) for a single day. The indicated rates of return for the Horizons Exchange Traded Products in the performance tables are the historical annual compounded total returns including changes in per unit value and

reinvestment of all dividends and distributions and do not take into account sales,

redemption, distribution or optional charges or income taxes payable by any unitholder that would have reduced returns. Due to the compounding of daily returns, a Plus ETF’s returns over periods other than one day will likely differ in amount and possibly direction from the performance of their respective Target(s) for the same period. Investors should monitor their holdings, as frequently as daily, to ensure that they remain consistent with their investment strategies.

“Standard & Poor’s®” and “S&P®” are registered trademarks of Standard and Poor’s® Financial Services LLC (“S&P”) and “TSX®” is a registered trademark of TSX Inc. (“TSX”). These marks have been licensed for use by AlphaPro Management Inc. and Horizons ETFs Management (Canada) Inc. where applicable. The Horizons Exchange Traded Products are not sponsored, endorsed, sold, or promoted by S&P or TSX and their affiliated companies and none of these parties make any representation, warranty or condition regarding the

(5)

advisability of buying, selling and holding units/shares in the Horizons Exchange Traded Products. All trademarks/service marks are registered by their respective owners. None of the owners thereof or any of their affiliates sponsor, endorse, sell, promote or make any representation regarding the advisability of investing in the Horizons Exchange Traded Products. Complete trademark and service-mark information is available at

References

Related documents

By submitting its Proposal including this Form of Offer, the Proponent agrees and consents to the terms, conditions and provisions of the RFP, including the Form of Agreement,

Pursuant to the previous Original Forward Agreement(s) entered into by the ETF, at the option of the ETF, either the counterparty to that Original Forward Agreement (the

For financial liabilities designated at fair value through profit and loss, IFRS 9 requires the presentation of the effects of changes in the ETF’s own credit risk in

To examine if parturients suspected of having SDB as assessed by the Facco Four Variable Model (FFV; score ≥75) or the STOP-Bang score ≥ 3 have higher rates of the following

Finally, at a functional level, Wal-Mart might be better off following a decentralized policy in China, giving more power to local managers and supplier network as it is a

If Horizons HUC is successful in meeting its investment objective, its net asset value should gain approximately as much, on a percentage basis, as any increase in the NYMEX®

We have audited the accompanying financial statements of the ETF, which comprise the statements of financial position as at December 31, 2015 and 2014, the statements of

Trader represents and warrants that: (a) Trader is of sound mind, legal age and legal competence; and, (b) No person other than Trader has or will have an interest in