Rotation Strategy In S&P 500 And Gold (SPY & GLD) — citation card
Author: Oddmund Groette, quantifiedstrategies.com (published 2025-03-06 per page metadata). Full article text is third-party copyrighted and is NOT republished here; it is held in the private raw layer for provenance (sha256 above). The rule set and numbers below are recorded as facts attributed to the source, in our own words, with short attributed quotes.
The system as stated by the source
- Monthly data. At each month-end, compute the ratio of S&P 500 price to gold price and compare it to the ratio’s 20-month simple moving average.
- Ratio above its 20-month SMA → hold the S&P 500 the following month. Ratio below → hold gold the following month. Always in exactly one asset; no cash leg.
- The site’s own summary phrasing: the strategy switches “in and out of the S&P 500 and gold by using the gold and S&P 500 ratio.”
- Note: the direction of the ratio differs between the article body (S&P/gold) and the site’s summary image (gold/S&P); the operative body rule is as above.
Numbers as reported by the source (vendor claims, unverified)
| Metric | Rotation strategy | S&P 500 B&H | Gold B&H |
|---|---|---|---|
| CAGR | 9.9% | not stated | not stated |
| Max drawdown | 22% | 55% | not stated |
- Period: 1985 (chart starts July 1986) to July 2020; monthly bars.
- Data: monthly spot gold and S&P 500 price index (GSPC) from Yahoo Finance; the author states GSPC is not dividend-adjusted and that dividends are “a major part of the total return” — i.e. the benchmark is understated.
- No transaction costs stated. Only the 20-month SMA length was tested.
- Source’s characterization: strategy trailed the S&P 500 until 2008/09, then pulled ahead; at the March 2009 SPX low the strategy portfolio made a new high; per-asset contributions were “pretty equal.”
Chart inventory (descriptions; images in private store / on the source page)
gold-rotation.gif— S&P/gold ratio vs its 20-month SMA, 1985–2020.gld-vs-spy-chart.gif— equity curves of 100k from Jul 1986: rotation ends ~2.35M vs SPX ~1.4M vs gold ~0.55M; divergence after 2009.gold-vs-sp500.gif— accumulated per-asset contributions (both ~equal).sp500-and-gold-rotation-strategy-1024x643.jpg— site summary card.
Provenance caveats
- The formal “Trading Rules” block on the page is members-only; the rules recorded above are those stated in the free body text.
- Article is internally inconsistent about 1985 vs 1986 start.
Related: gold-spx-rs-ratio-rotation · qs-rotation-beats-both-buyhold · qs-rotation-gfc-divergence · qs-rotation-asset-contributions-equal · quantified-strategies