Claim
The gold-spx-rs-ratio-rotation strategy underperformed S&P 500 buy-and-hold until the 2008/09 crisis and outperformed after, because during the crisis “when the S&P 500 made a new low in March 2009, the portfolio made a new high” — allowing it to compound off a much higher base afterward.
- Source: quantified-strategies equity-curve reading, 1986–2020, in gold-spx-rs-ratio-rotation.
- Why it might be true: the signal rotated into gold during H2-2008/early-2009 (SPX/gold ratio collapsed below its 20-month SMA fast), and gold was roughly flat to up in that window — mechanically consistent with the chart.
- Why to be skeptical: this is a narrative of one crisis. The claim’s strength is that a single regime event drives the entire long-run equity-curve separation, which is the definition of path dependence, not demonstrated robustness.
- Test: gold-spx-ratio-rotation-replication — compute rolling 5-yr relative performance of rotation vs SPX and the exact Mar-2009 drawdown/high facts from data; check how many distinct windows produce the outperformance.