The outliers of GLD, SLV, XLE and SPY within the portfolio provide multiple active currency related benchmarks to help determine the relative momentum of the FX components versus commodities related financial instruments (GLD, SLV, XLE).
Given the inherent low beta of the pure FX ETFs we should expect lower returns and lower drawdowns with the entire portfolio relative to the SPY (with a top 2 sort) which is what we are seeing in the shorter time frames.
A fuller understanding of this model's dynamics, and the inherent risk factors, will be the subject of tomorrow's post
