The London Bullion Market Association ceased publishing daily data on their Gold Forward Offered Rate (GOFO), as of 30 January 2015 -- so we develop an observable proxy called tango.
During 2015 we detected strong negative correlation between price change and tango, however, in 2016 that strong correlation became positive -- thus we conclude the relationship is spurious. The observed correlations are mere artifacts which do not imply any significant economic relationships.
Short URL: https://git.io/xau-contango
Happy Holidays -- new v5.16.1225
Huge revision: qdl-libor-fed-funds.ipynb re Fed rate hikes -- major clarification using transposition and tenor assumptions. Include 2016-12-14 Fed rate hike, and 2017 policy forecast; please see: https://git.io/fedfunds for details. Market is currently aligned with Fed's announced intention of three 25 bp rate hikes during 2017. Implied Fed Funds one-year forward: 1.15%