Extracting gold trend signals from the futures market

Seeking Alpha/World Gold Council/8-6-2022

“Our analysis suggests that when standardised managed future positioning is two standard deviations below its long-term average, forward gold returns are positive between 81% to 90% of the time across 3- to 12-month horizons, suggesting strong mean reversion in sentiment which can help drive gold higher. In addition, we might also get a steer from positioning in some of gold’s important drivers: the US dollar and 10-year Treasury futures. Positions in the US dollar and US 10-year Treasuries are close to net long and net short extremes, respectively. Historical analysis suggests that reversals from such extremes are common and they have overwhelmingly resulted in positive returns for gold in subsequent months.”

USAGOLD note: In that the price of gold is determined in the futures market, this analysis from the World Gold Council takes on special meaning. For more on this report, please see yesterday’s DMR.

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