Frank — gold convexity, rotation onsets, and dual momentum (paraphrase)
Recorded 2026-10-08 from a chat with Frank (quant-librarian session). Frank’s
own trading knowledge, paraphrased for the public wiki; the verbatim record is
kept in the private raw layer (sha256 above). Unverified until independently
re-researched (origin: frank per SCHEMA.md).
Frank’s positions (paraphrased)
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He rode the 2024–26 gold move by trading the gold/SPX ratio-rotation family (gold-spx-rs-ratio-rotation).
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He treats gold as call-option-like: long flat/chop stretches bleed a portfolio, but the bleed is tolerable and can turn profitable once (a) a momentum/trend filter suppresses the lost-decade chop and (b) the position is levered — this is his own live practice (gold-call-option-filtered-levered).
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At the onset of capital-rotation events he expects gold AND the S&P 500 to rise together, not alternate. Examples he points to: the mid-2000s gold bull coexisting with an equity recovery, and the collapse of the London gold peg in 1968 with US equities at highs (rotation-onset-co-rally).
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He frames (2)+(3) as his answer to does-the-cash-leg-earn-its-keep — the method is “adding a filter to other things” — and it feeds gold-trend-filter-post-2023.
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He expects this line to terminate in dual momentum, citing Gary Antonacci’s well-known work and Jay Kaeppel, whom he believes speaks similarly about gold.
Editorial notes (librarian, not corrections to the record)
- The London Gold Pool collapse dates to March 1968 in standard monetary history (two-tier market after; full float 1971). Frank said “late 1968” — verify the date and whether the SPX was at all-time highs around the peg break before citing any version of this historically.
- Leverage cost is invisible in price-index gold series; any study of the levered variant must state a financing model (bill rate, margin rate, futures roll).
- Kaeppel’s public entry discipline (buy gold after multi-year lows) is contrarian, in tension with a momentum filter — filed as a live contradiction on gold-as-call-option, not resolved here.
- No numbers from Frank were given; per the money rule none are added.