Systematic Gold and WTI Crude Oil programme

5/20 PAMM

A rules-based, gold-led programme combining Gold and XTIUSD breakout strategies across two liquid macro assets.

Year to date

+56.38%Jan–Sep 2026

Latest month

+6.38%September 2026

Winning months

77.78%7 of 9 months

Programme objective

5 / 20Return / drawdown parameters

Return history

Monthly performance

2026

Jan+20.95%

Feb+5.47%

Mar-1.23%

Apr+0.88%

May+2.78%

Jun+11.33%

Jul-5.56%

Aug+15.38%

Sep+6.38%

YTD+56.38%

Note: Performance through 31 August 2026 reflects the programme’s previous Gold-and-FX structure. September 2026 includes limited residual FX activity through 4 September alongside Gold and XTIUSD trading; it should not be interpreted as performance generated exclusively by the revised dual-asset structure.

Performance

Illustrative Growth of USD 100,000

5/20 +56.38%WTI Crude Oil Spot +67.94%SPDR Gold Shares (GLD) -3.90%

Hover over or tap any month to compare performance. GLD and WTI are contextual market references, not like-for-like strategy benchmarks. Both reflect USD price movements; GLD excludes dividends and distributions, while WTI uses the EIA Cushing spot series. Sources: GLD and WTI.

Strategy

What 5/20 Represents

The 5/20 Dual-Asset PAMM is a rules-based programme combining Gold and XTIUSD breakout strategies. Gold remains the primary engine, supported by WTI crude oil as a second macro asset for diversification.

“5/20” represents an average monthly return objective of ~5%. Typical drawdowns are expected to range between 5% and 10%, while adverse conditions may produce a drawdown of up to ~20%, potentially once every 12–18 months, less frequently, or not at all.

The previous FX sleeve was replaced with XTIUSD following a review of the latest strategy data, aligning both engines with Three Sigma’s breakout-based approach. Profits are distributed monthly rather than automatically reinvested. These are objectives and risk estimates, not guarantees, and returns may vary significantly from month to month.

Monthly Review

September 2026

September delivered a gain of +6.38%, bringing Q3 performance to +16.20% and year-to-date performance to +56.38%. Gold remained highly volatile as changing expectations around the US Federal Reserve and ongoing geopolitical tensions drove sharp shifts in market direction, while crude oil experienced similarly uneven conditions.

The Gold and XTIUSD algorithms remained disciplined and selective throughout the month. Each strategy stayed inactive across extended periods when its required setup was not present, limiting unnecessary exposure during uncertain market conditions.

XTIUSD produced mixed results. A profitable long sequence on 15 September was subsequently outweighed by losses from later positions, making the crude-oil strategy a net detractor for the month. Gold ultimately drove the programme’s positive result.

When a clearer opportunity emerged on 28 September, the Gold strategy acted decisively through a short Gold trade sequence. The move became the principal contributor to September’s gain and more than offset losses from XTIUSD and earlier trading activity. The month demonstrated the value of waiting patiently, limiting participation and committing only when the respective strategy’s conditions were met.

Statistics

3-Month Return: +16.20%
6-Month Return: +31.19%
9-Month Return: +56.38%
Total Cumulative Return: +56.38%
Average Winning Month: +9.02%
Average Losing Month: -3.40%
Maximum Balance Drawdown: 7.29%
Recovery Factor: 4.42
Sharpe Ratio: 2.21
Sortino Ratio: 5.53
Calmar Ratio: 10.47

Return statistics use reported programme performance. Risk-adjusted statistics, drawdown and Recovery Factor use cash-flow-adjusted account data. Maximum drawdown is balance-based and excludes intraday floating profit and loss.