Gold Capital A (November 2025)

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Strategy Implementation

Our Team

Performance & Outlook

Our Investment Strategy

Gold As Asset

Our Investment Approach

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Gold Capital A

Growth

Safety

Diversification

Growth

Safety

Diversification

November 2025

Strategy Implementation

Our Team

Performance & Outlook

Dowloads

Investment Strategy

Gold Capital A

Growth

Safety

Diversification

November 2025

See Factsheet

We see gold as a smart and strategic choice for long-term stability.

Why Gold?

“Gold is money.
Everything else is credit”

Founder of the Morgan dynasty

John Pierpont Morgan

Gold has history of holding its value

Gold is a hedge

Central Bank Anchor

Seize the Opportunity

Gold has maintained its value throughout history and has allowed families to preserve their wealth across generations.

Gold has a weak correlation to changes in the value of other financial assets.

Central banks hold vast amounts of physical gold because of its intrinsic value and limited supply.

While gold offers stability, it also brings volatility and significant profit potential.

We see gold as a smart and strategic choice
for long-term stability.

“Gold is money.
Everything else is credit”

Founder of the Morgan dynasty

Why Gold?

John Pierpont Morgan

Gold has maintained its value throughout history and has allowed families to preserve their wealth across generations.

Gold has a weak correlation to changes in the value of other financial assets.

Central banks hold vast amounts of physical gold because of its intrinsic value and limited supply.

While gold offers stability, it also brings volatility and significant profit potential.

Gold has history of holding its value

Gold is
a hedge

Central
Bank Anchor

Seize the Opportunity

The fund is aimed
at tracking and outperforming a direct investment in Gold

Investment Strategy

01.

The trading strategy
is discretionary with
a quantitative core

• Discretionary derivatives-based approach overlaid to a systematic process which identifies different market regimes
• A classical global macro methodology meets a strictly quantitative trading system

02.

Driving design principles:

• Deliver alpha consistently
• Resilience and adaptation to changing market conditions (e.g., up/downward price trends vs
rangebound, heightened implied/realized vs subdued underlying volatility)
• Mitigate excess volatility of the returns

03.

Fundamental analysis is reinforced with proprietary quantitative indicators (both momentum and mean-reversion based):

• The basis of the signal generation process are proprietary indicators, the result of many years of system design and testing
• The signal-based view is directly implemented with delta-1 instruments and overlaid with a short convexity yield-enhancer
• Total leverage control via non-linear derivatives
• Frontier cases (e.g. extreme price/volatility moves in very short time spans) are specifically addressed (and hedged / planned for) via scenario-based simulations

• Deliver alpha consistently
• Resilience and adaptation to changing market conditions (e.g., up/downward price trends vs
rangebound, heightened implied/realized vs subdued underlying volatility)
• Mitigate excess volatility of the returns

Driving design principles:

02.

• The basis of the signal generation process are proprietary indicators, the result of many years of system design and testing
• The signal-based view is directly implemented with delta-1 instruments and overlaid with a short convexity yield-enhancer
• Total leverage control via non-linear derivatives
• Frontier cases (e.g. extreme price/volatility moves in very short time spans) are specifically addressed (and hedged / planned for) via scenario-based simulations

Fundamental analysis is reinforced with proprietary quantitative indicators (both momentum and mean-reversion based):

03.

• Discretionary derivatives-based approach overlaid to a systematic process which identifies different market regimes
• A classical global macro methodology meets a strictly quantitative trading system

The trading strategy
is discretionary with
a quantitative core

01.

The fund is aimed
at tracking and outperforming a direct investment in Gold

Investment Strategy

Our investment approach

Investment approach

Preparation

Together with the investment team we set a clear and achievable goals, focussing on optimizing returns, reducing risk and building a robust hedging strategy. In order to optimize the implementation of the strategy, Investment team continuously discusses global economic factors such as interest rates, inflation, geopolitical events, and central bank policies, impact on FX and precious metals markets.

Implementation

To optimize trading decisions and correlated pricing instructions, the investment team uses comprehensive data tools, which provide insights into live market data, charts and analytics. To increase the efficiency of trading processes trading team uses sophisticated financial infrastructure, with instant trading capabilities and low transaction fee.

Control

The overall portfolio is continuously monitored. We ensure the provision of ongoing information as market conditions evolve. This proactive approach ensures that the strategy remains aligned with the client’s goals, and necessary changes are made promptly to optimize performance and mitigate risks.

01.

02.

03.

04.

Monthly reporting visualizes the actual composition entire portfolio, its value and expected further dynamic.

Reporting

04.

03.

02.

01.

Our investment approach

Investment approach

Together with the investment team we set a clear and achievable goals, focussing on optimizing returns, reducing risk and building a robust hedging strategy. In order to optimize the implementation of the strategy, Investment team continuously discusses global economic factors such as interest rates, inflation, geopolitical events, and central bank policies, impact on FX and precious metals markets.

Preparation

To optimize trading decisions and correlated pricing instructions, the investment team uses comprehensive data tools, which provide insights into live market data, charts and analytics. To increase the efficiency of trading processes trading team uses sophisticated financial infrastructure, with instant trading capabilities and low transaction fee.

Implementation

The overall portfolio is continuously monitored. We ensure the provision of ongoing information as market conditions evolve. This proactive approach ensures that the strategy remains aligned with the client’s goals, and necessary changes are made promptly to optimize performance and mitigate risks.

Control

Monthly reporting visualizes the actual composition entire portfolio, its value and expected further dynamic.

Reporting

What we do?

How we do it?

Superior
Entry

Allows an effective selling rate significantly above the long
«buying» from linear instruments, delivering alpha performance
and locking-in cash returns

Theta Harvesting

Profits from consistent theta decay, boosting performance

Local Shock Resilience

Resilient to local vol/price shocks

Range Break Risk

Vulnerable to sudden outsized downward moves (i.e.,
«gapping» crash

Our strategy in
up trending market

of capital allocated directly
to Gold oz (core benchamark
position)

75%-85%

Cash and derivatives overlay

15-25%

Forward and Cash positions (Buy)

In a bull market we can use such instruments to express a positive view. In case of a high cost of carry, we would replicate the same idea using options not to pay such high premium and to earn the interest rates on the USD on the account.

Call option, Risk Reversal and Seagull (Buy)

Buying call options will express a positive view. We can finance the cost by selling a put option (our obligation to buy gold at a lower price). In case we do not believe the market will move in a fast speed we can also sell put options to generate income while we wait to buy at a discount.

Strip of knock out forwards (Buy)

We can use such strategies to buy at a discount of around 180 $ from the current spot price. These instruments which last for 52 weeks, will have weekly expiries allowing us to enter slowly into the position with a deep discount.

Cash and derivatives overlay

15-25%

of capital allocated
directly to Gold oz (core benchamark position)

75%-85%

What we do?

How we do it?

Our strategy in
up trending market

How we do it?

What we do?

Allows an effective selling rate significantly above the long «buying» from linear instruments, delivering alpha performance and locking-in cash returns

Superior Entry

Profits from consistent theta decay, boosting performance

Theta Harvesting

Resilient to local vol/price shocks

Local Shock Resilience

Vulnerable to sudden outsized downward moves (i.e., «gapping» crash)

Range Break Risk

In a bull market we can use such instruments to express a positive view. In case of a high cost of carry, we would replicate the same idea using options not to pay such high premium and to earn the interest rates on the USD on the account.

Forward and Cash positions (Buy)

Buying call options will express a positive view. We can finance the cost by selling a put option (our obligation to buy gold at a lower price). In case we do not believe the market will move in a fast speed we can also sell put options to generate income while we wait to buy at a discount.

Call option, Risk Reversal and Seagull (Buy)

We can use such strategies to buy at a discount of around 180 $ from the current spot price. These instruments which last for 52 weeks, will have weekly expiries allowing us to enter slowly into the position with a deep discount.

Strip of knock out forwards (Buy)

What we do?

How we do it?

Superior
Entry

Allows an effective buying and selling rate significantly above the extreme of the range, delivering alpha performance and locking-in cash returns

Theta Harvesting

Profits from consistent theta decay, boosting performance

Local Shock Resilience

Resilient to local vol/price shocks

Range Break Risk

Vulnerable to sudden outsized moves outside of the range and/or very large and fast whipsaw moves

Our strategy
in range market

of capital allocated directly
to Gold oz (core benchmark position)

55%-65%

Cash and derivatives overlay

35-45%

Selling of volatility (Call and Put)

In case we have a high volatility environment, and we have some weekly flows to neutralize, we could sell some calls or puts depending on the volatility. This activity will not bring risks as we would need to square the position and the selling of the option in case of execution would be meaning a taking profit. The premiums will range between 5 and 30 $ per oz.

Strip of knock out forwards to buy and sell Gold at the same time

When the market is ranging, we could evaluate to place a selling strategy to sell gold at 200 $ above the market price and at the same time to place a buying strategy to buy gold at a 140$ below the market price. This would generate on weekly base a return of 340 $ or 12% on the weekly volume.

How we do it?

Our strategy in range market

How we do it?

What we do?

Profits from consistent theta decay, boosting performance

Theta Harvesting

Resilient to local vol/price shocks

Local Shock Resilience

Vulnerable to sudden outsized moves outside of the range and/or very large and fast whipsaw moves

Range Break Risk

of capital allocated directly to Gold oz (core benchmark position)

55%-65%

Cash and derivatives overlay

35-45%

In case we have a high volatility environment, and we have some weekly flows to neutralize, we could sell some calls or puts depending on the volatility. This activity will not bring risks as we would need to square the position and the selling of the option in case of execution would be meaning a taking profit. The premiums will range between 5 and 30 $ per oz.

Selling of volatility (Call and Put)

When the market is ranging, we could evaluate to place a selling strategy to sell gold at 200 $ above the market price and at the same time to place a buying strategy to buy gold at a 140$ below the market price. This would generate on weekly base a return of 340 $ or 12% on the weekly volume.

Strip of knock out forwards to buy and sell Gold at the same time

What we do?

Allows an effective buying and selling rate significantly above the extreme of the range, delivering alpha performance and locking-in cash returns

Superior Entry

What we do?

How we do it?

Positive Cash Flow Generation

Allows an effective buying and selling rate significantly above the extreme of the range, delivering alpha performance and locking-in cash returns

Theta Harvesting

Profits from consistent theta decay, boosting performance

Local Shock Resilience

Resilient to local vol/price shocks

Active Action Required

Vulnerable to sudden outsized moves outside of the range and/or very large and fast whipsaw moves

Our strategy in
down trending market

capital is directed directly
to Gold Oz

40–50%

overlay of funds and derivatives

50%-60%

Forward and Cash positions (Sell)

In a bear market we can use such instruments to express a negative view. In this case, we would earn the carry if we are going to use a forward position.,

Put option, Risk Reversal and Seagull (Sell)

Buying put options will express a negative view. We can finance the cost by selling a call option (our obligation to sell gold at a higher price). In case we do not believe the market will move in a fast speed we can also sell call options to generate income while we wait to sell at a higher price.

Strip of knock out forwards (Sell)

We can use such strategies to sell at a premium of around 300 $ from the current spot price. These instruments which last for 52 weeks, will have weekly expiries allowing us to enter slowly into the position with a high premium.

overlay of funds and derivatives

50%-60%

capital is directed directly to Gold Oz

40–50%

What we do?

How we do it?

Our strategy in
down trending market

How we do it?

What we do?

Allows using derivatives to establishes new longs at lower levels coupled with a small degree of selling at high level to both beat the trend and generate positive cash flows

Positive Cash Flow Generation

Profits from consistent theta decay, boosting performance (objective zero or moderately positive absolute performance vs a negative benchmark)

Theta Harvesting

Moderately resilient to local vol/price shocks

Local Shock Resilience

Delicate equilibrium for derivatives management, requires more active intervention, can suffer from both sudden outsized downward moves (i.e., «gapping» crash) and whipsaw movements

Active Action Required

In a bear market we can use such instruments to express a negative view. In this case, we would earn the carry if we are going to use a forward position.,

Forward and Cash positions (Sell)

Buying put options will express a negative view. We can finance the cost by selling a call option (our obligation to sell gold at a higher price). In case we do not believe the market will move in a fast speed we can also sell call options to generate income while we wait to sell at a higher price.

Put option, Risk Reversal and Seagull (Sell)

We can use such strategies to sell at a premium of around 300 $ from the current spot price. These instruments which last for 52 weeks, will have weekly expiries allowing us to enter slowly into the position with a high premium.

Strip of knock out forwards (Sell)

We significantly and consistently outperform gold under any market conditions, delivering superior returns. Our systematized trading approach delivers in up trending, down trending and sideways markets.

Stable superiority over gold

We significantly and consistently outperform gold under any market conditions, delivering superior returns. Our systematized trading approach delivers in up trending, down trending and sideways markets.

Stable superiority over gold

Set of tools

Underlying portfolio

Optimal implementation via AMC

An investment vehicle such as a fund or certificate enables optimized implementation

Directional strategies

We implement directional strategies via the purchase of OTC (over-the-counter) options or the purchase/sale
of spot or forward contracts.

Implementation via individual investment vehicle

Yield enhancement strategies

Full access to needed investment instruments, which include among other listed options, OTC options, futures and forwards.

Hedging strategies

Operational efficiency, time efficiency and tax efficiency via optimized processes with a high degree of independency from individual counterparties and time zones.

We implement strategies to monetize range trading environments via the sale of options.

We implement hedging strategies to protect the underlying long gold exposure and reduce volatility.

Optimized
gold fund

Manager

Specialist
gold advisor

Client

Set of tools

Optimal
implementation
via AMC

An investment vehicle such as a fund or certificate enables optimized implementation

Underlying portfolio

We implement directional strategies via the purchase of OTC (over-the-counter) options or the purchase/sale of spot or forward contracts.

Directional strategies

We implement strategies to monetize range trading environments via the sale of options.

Implementation via individual investment vehicle

Yield enhancement strategies

We implement hedging strategies to protect the underlying long gold exposure and reduce volatility.

Full access to needed investment instruments, which include among other listed options, OTC options, futures and forwards.

Operational efficiency, time efficiency and tax efficiency via optimized processes with a high degree of independency from individual counterparties and time zones.

Hedging strategies

Optimized
gold fund

Manager

Specialist
gold advisor

Client

An investment vehicle such as a fund or certificate enables optimized implementation

Set Up

Trading Structure

Liquidity

Investment vehicle participation can be liquidated at any time within few days, and funds transferred to the fund holders account. The fund himself has daily liquidity.

Fee Efficiency

Highly competitive fees for FX, derivatives as well as equity and gold (ETFs).

Time Efficiency

Monthly Reporting

We implement strategies to monetize range trading environments via the sale of options.

We implement hedging strategies to protect the underlying long gold exposure and reduce volatility.

Scalability

Operational Efficiency

Investments can be quickly increased in volume at any time and bought or stocked up at existing or new depositaries at any time.

Global execution, management and control. Mitigation of operational and administrative mistakes by local banks.

Set Up

Trading Structure

Investment vehicle participation can be liquidated at any time within few days, and funds transferred to the fund holders account. The fund himself has daily liquidity.

Liquidity

Highly competitive fees for FX, derivatives as well as equity and gold (ETFs).

Fee Efficiency

Management of assets is coordinated and implemented in all global custodians at CET/ East European time, neglecting local custodians working hours.

Time Efficiency

Professional and objective valuation of the fund by first tier financial institution. Reporting on monthly basis shows detailed information on all underlying assets. Portfolio is visible in Bloomberg.

Monthly Reporting

Investments can be quickly increased in volume at any time and bought or stocked up at existing or new depositaries at any time.

Scalability

Global execution, management and control. Mitigation of operational and administrative mistakes by local banks.

Operational Efficiency

This strategy has been deployed (and refined) already by the
Portfolio managers in different settings with several clients:

Historical deployement

8

y

9

% p.a.

15.50

%

Trackable performance of fund managers

On average Overperforming the underlying benchmark

Average return (p.a.)

Delivered alpha in every market condition

Reliable Alpha, in Any Climate

Proven to be a directionless strategy thanks to the convexity overlay

Convexity
Reveals
the Truth

Historical deployement

This strategy has been deployed (and refined) already by the Portfolio managers in different settings with several clients:

9

% p.a.

On average Overperforming the underlying benchmark

8

y

Trackable performance of fund managers

15.50

%

Average return (p.a.)

Proven to be a directionless strategy thanks to the convexity overlay

Convexity Reveals the Truth

Proven to be a directionless strategy thanks to the convexity overlay

Convexity Reveals the Truth

Reliable Alpha,
in Any Climate

Delivered alpha in every market condition

Reliable Alpha,
in Any Climate

Delivered alpha in every market condition

Senior Gold Advisory Expert

Francesco Schiavo

Dr. Francesco Schiavo is an experienced portfolio manager and trader of commodities and precious metals.

Previously, he spent nearly 20y at Credit Suisse/UBS in Zurich, always in trading and management positions within the commodities, precious metals and foreign exchange teams. He has held several roles, including Global Head of E-Commerce and Global Head of FX/PM Options.

Dr. Schiavo holds a Ph.D. In Electronic Engineering and a MS in Computer Engineering , both from Politecnico di Milano.

Senior Gold Advisory Expert

Our team of experts

Our specialist advisors stand for profound expertise with precious metals

Antonio Pellizzato

Antonio Pellizzato is a seasoned expert in gold advisory and precious metals.

With almost two decades of experience, Pellizzato has held senior positions in portfolio management and trading desks, developing market strategies that have had a lasting impact on global banking institutions.

Antonio set up and led the Night Desk for Credit Suisse, which continues to provide global support for currency and precious metals clients and today it is integrated with UBS.

Today Antonio’s portfolios have a yearly trading volume exceeding USD 25 billion.

Now Antonio successfully transitioned from institutional roles at UBS and Credit Suisse to entrepreneurial leadership in consulting.

Senior Gold Advisory Expert

Dr. Francesco Schiavo is an experienced portfolio manager and trader of commodities and precious metals.

Previously, he spent nearly 20y at Credit Suisse/UBS in Zurich, always in trading and management positions within the commodities, precious metals and foreign exchange teams. He has held several roles, including Global Head of E-Commerce and Global Head of FX/PM Options.

Dr. Schiavo holds a Ph.D. In Electronic Engineering and a MS in Computer Engineering , both from Politecnico di Milano.

Francesco Schiavo

Senior Gold Advisory Expert

Our team of experts

Our specialist advisors stand for profound expertise with precious metals

Antonio Pellizzato is a seasoned expert in gold advisory and precious metals.

With almost two decades of experience, Pellizzato has held senior positions in portfolio management and trading desks, developing market strategies that have had a lasting impact on global banking institutions.

Today Antonio’s portfolios have a yearly trading volume exceeding USD 25 billion.

Now Antonio successfully transitioned from institutional roles at UBS and Credit Suisse to entrepreneurial leadership in consulting.

Antonio set up and led the Night Desk for Credit Suisse, which continues to provide global support for currency and precious metals clients and today it is integrated with UBS.

Antonio Pellizzato

NAV Portfolio

Historical Performance

NAV

Performance

Reporting date: 30. 10. 2025

Life track record

Aug 2025

Oct 2025

Nov 2025

Sep 2025

90

-10%

100

0%

110

10%

120

20%

130

30%

140

40%

150

50%

XAU Benchmark

XAU Spot

Fund Notional

Fund Perf (ads)

XAU Per (ads)

Overperf (ads)

Cash 1 500 240 USD

Derivaties 319 000 USD

Gold 7 950 000 USD

3 370 USD

4 007 USD

8 100 000 USD

120.61%

118.90%

1.70%

NAV

9 769 164 USD

16.64%

Year

Jan

Dec

YTD

Nov

Oct

Sep

Aug

Jul

Jun

May

0.06%

8.04%

1.42%

4.48%

9.42%

Apr

Mar

Feb

2025

Live track record

Reporting date: 30. 10. 2025

Aug 2025

Sep 2025

Oct 2025

Nov 2025

90

100

110

120

130

140

150

-10%

0%

10%

20%

30%

40%

50%

NAV

PERF

Historical Performance

NAV Portfolio

XAU Benchmark

3 370 USD

XAU Spot

4 007 USD

Fund Notional

8 100 000 USD

Fund Perf (ads)

120.61%

Cash 1 500 240 USD

Derivaties 319 000 USD

Gold 7 950 000 USD

XAU Per (ads)

118.90%

Overperf (ads)

1.70%

NAV

9 769 164 USD

16.64%

Year

YTD

Jan

Dec

Nov

Oct

Sep

Aug

Jul

Jun

May

0.06%

8.04%

1.42%

4.48%

9.40%

Apr

Mar

Feb

2025

Monthly Comment – Macro View

4 200

Average purchase price of gold in the fund:

Current gold price:

November saw significant volatility in gold prices,

The fund is roughly maintained its overall positioning

technical and psychological support level.

with the addition of a slight long bias (tactically done during the mid/end of the month vol spike)

Persistent geopolitical tensions and ongoing recession concerns continued to bolster safe- haven demand, helping gold maintain a firm bid throughout the period. With inflation indicators easing yet still elevated, investors are sustaining strategic allocations to gold as a hedge against macroeconomic uncertainty heading into year-end.

driven largely by shifting expectations around a potential Fed rate cut in December and the broader outlook for terminal rates. The month closed with a renewed dovish tone from the Federal Reserve, pushing the USD lower across the board and lifting gold above

usd/oz

Current Perf:

including already paid past performance fees of -3.1% and future unpaid performance fees of -5.21% / both fees referred to the initial 8.1mio notional

117.83%

3370

4256

usd/oz

4 200

Monthly Comment – Macro View

with the addition of a slight long bias (tactically done during the mid/end of the month vol spike)

Persistent geopolitical tensions and ongoing recession concerns continued to bolster safe- haven demand, helping gold maintain a firm bid throughout the period. With inflation indicators easing yet still elevated, investors are sustaining strategic allocations to gold as a hedge against macroeconomic uncertainty heading into year-end.

driven largely by shifting expectations around a potential Fed rate cut in December and the broader outlook for terminal rates. The month closed with a renewed dovish tone from the Federal Reserve, pushing the USD lower across the board and lifting gold above

technical and psychological support level.

Average purchase price of gold in the fund:

The fund is roughly maintained its overall positioning

November saw significant volatility in gold prices,

Current gold price:

including already paid past performance fees of -3.1% and future unpaid performance fees of -5.21% / both fees referred to the initial 8.1mio notional

Current Perf:

usd/oz

117.83%

3370

4256

Scenarios

Trending market

4 600

Up trending market

technical and psychological support level.

Performance fee

Fund expenses

Derivatives

Gold growth value

Gold growth value (from 4256)

0% (already accounted for)

-0.75%

24.15%

Cost of ETF

Strategy of buying gold ETFs

0.50%

36.50%

26.29%

10.21%

Total return over 12 months

41.98%

Total return over 12 months

36.50%

Currently the portfolio is hedged in case of an increase in price up to 4532 USD/oz – above this price we would buy more gold and potentially enter into more derivatives if the right opportunity arises.

usd/oz

4 300

Our strategy in range market

technical and psychological support level.

Performance fee

Fund expenses

Derivatives

Gold growth value

Gold growth value (from 4256)

0% (already accounted for)

-0.75%

22.90%

Cost of ETF

Strategy of buying gold ETFs

0.50%

27.60%

26.29%

1.31%

Total return over 12 months

40.73%

Total return over 12 months

27.10%

This is a “middle of the road” outcome scenario (in terms of overperformance of the benchmark) as it allows the strategy to fully capitalize on the time value of the derivatives but doesn’t deliver the full upside potential. It is a rather unlikely scenario to unfold in such terms (i.e., static price for such a long time) but it’s a good showcase of what would happen to the portfolio in case of a prolonged rangebound trading price coupled with low volatility.

usd/oz

4 000

Our strategy in down trending market

Gold price in 8 months

Performance fee

Fund expenses

Derivatives

Gold growth value

Gold growth value (from 4015)

0% (already accounted for)

-0.75%

12.98%

Cost of ETF

Strategy of buying gold ETFs

0.50%

18.70%

26.29%

-7.59%

Total return over 12 months

30.81%

Total return over 12 months

18.20%

The portfolio is hedged and rather balanced (albeit with a long bias) down to the price of the first barrier at 3700 USD/oz. If no barrier is breached, the gain on the options should outpace the losses on the gold inventory. In case of a further price decrease, we will need to sell gold as barriers are hit in order be able to lock in profits at a (above) break-even price.

usd/oz

4 600

Currently the portfolio is hedged in case of an increase in price up to 4532 USD/oz – above this price we would buy more gold and potentially enter into more derivatives if the right opportunity arises.

Gold price in 8 months

Up trending market

usd/oz

Trending market

Scenarios

Fund expenses

-0.75%

Performance fee

0% (already accounted for)

Derivatives

24.15%

Gold growth value

26.29%

Gold growth value (from 4256)

10.21%

Strategy of buying gold ETFs

36.50%

Cost of ETF

0.50%

Total return over 12 months

41.98%

Total return over 12 months

36.50%

4 300

This is a “middle of the road” outcome scenario (in terms of overperformance of the benchmark) as it allows the strategy to fully capitalize on the time value of the derivatives but doesn’t deliver the full upside potential. It is a rather unlikely scenario to unfold in such terms (i.e., static price for such a long time) but it’s a good showcase of what would happen to the portfolio in case of a prolonged rangebound trading price coupled with low volatility.

Gold price in 8 months

Range market

Fund expenses

-0.75%

Performance fee

0% (already accounted for)

Derivatives

22.90%

Gold growth value

26.29%

Gold growth value (from 4015)

1.31%

Strategy of buying gold ETFs

27.60%

Cost of ETF

0.50%

usd/oz

Total return over 12 months

40.73%

Total return over 12 months

4 000

The portfolio is hedged and rather balanced (albeit with a long bias) down to the price of the first barrier at 3700 USD/oz. If no barrier is breached, the gain on the options should outpace the losses on the gold inventory. In case of a further price decrease, we will need to sell gold as barriers are hit in order be able to lock in profits at a (above) break-even price.

Gold price in 8 months

Trending market