Discussion in 'Commodity Futures' started by econometrics, Jul 25, 2011.
I am short silver (SLV) long gold GLD
Too bad you didn't do the Comex futures as a synthetic spread - you would be in much better shape than the GLD vs. SLV ETF Pair on a currency-adjusted basis. Much better.
can you pls elaborate?
Being long Gold futures versus Silver futures on a weighted basis has performed significantly better than the equity ETF shares pairs trade.
You posted in the futures section, and there are significant performance differences between ETFs and Futures.
ok, i withdraw my question
but a chart going back longer than 1 month would be a better illustration
Silver is almost at par with gold, currently. Very useful info!!! Two thumbs up.
what may explain the different performances ?
i look at XAUXAG Index (in bloomberg) against GLD/SLV, the graph looks almost the same.
I show similar results to GLD/SLV on a contract equivalent basis (silver is a 5000oz contract, while gold is 100oz, so multiply the silver by 50 to put it in "gold terms".)
I hope you are long gold/short silver VERY recently, or you have been taking some heat!
You have to blend volatility and currency weighting in order to arrive at a suitable hedge ratio for a futures spread. The precise volatility weighting is 2.3 : 1
Your weighting is incorrect.
Separate names with a comma.