Can investors/speculators use gold as a hedge for equities or as a general safe haven? Does it hedge against inflation? These blog entries relate to gold as an asset class.
October 24, 2025 - Calendar Effects, Gold
Do gold and gold mining stocks exhibit exploitable seasonality? Using monthly closes for spot gold and the S&P 500 Index since December 1974, PHLX Gold/Silver Sector (XAU) since December 1983, AMEX Gold Bugs Index (HUI) since June 1996 and SPDR Gold Shares (GLD) since November 2004, all through September 2025, we find that: Keep Reading
October 20, 2025 - Currency Trading, Gold
Will bitcoin replace gold as the pre-eminent safe haven asset? In his September 2025 paper entitled “Gold and Bitcoin”, Campbell Harvey compares and contrasts bitcoin and gold as alternative safe haven assets. Based on gold and bitcoin past returns and characteristics/risks, he concludes that: Keep Reading
October 17, 2025 - Gold
Where is gold price going? In their September 2025 paper entitled “Understanding Gold”, Claude Erb and Campbell Harvey examine the investment characteristics of gold, its reliability as a hedging asset and the reasons why gold price is currently so high. Using data for gold, inflation, U.S. Treasuries, equities, commodities, reserve bank holdings and gold exchange-traded funds (ETF) as available during January 1975 through March 2025, they find that: Keep Reading
September 5, 2025 - Currency Trading, Economic Indicators, Gold
Does bitcoin (BTC) return exhibit any exploitable leading or lagging roles with respect to gold (SPDR Gold Shares – GLD) return, change in the all-items consumer price index (CPI) or change in the effective federal funds rate (EFFR) for a monthly measurement interval? To investigate, we compute correlations between monthly BTC return and each of monthly GLD return, change in CPI and change in EFFR for various lead-lag relationships, ranging from BTC return leads other variables by six months (-6) to other variables lead BTC return by six months (6). Using monthly BTC, GLC, CPI and EFFR levels during September 2014 (limited by BTC) through July 2025, we find that: Keep Reading
September 3, 2025 - Bonds, Commodity Futures, Economic Indicators, Equity Premium, Gold, Real Estate
How do returns of different asset classes recently interact with the Effective Federal Funds Rate (EFFR)? We focus on monthly changes (simple differences) in EFFR and look at lead-lag relationships between change in EFFR and returns for each of the following 10 exchange-traded fund (ETF) asset class proxies:
Using end-of-month EFFR and dividend-adjusted prices for the 10 ETFs during December 2007 (limited by EMB) through July 2025, we find that: Keep Reading
August 7, 2025 - Gold
How do stocks of gold miners perform compared to gold itself?
In their July 2025 paper entitled “Gold Shares Underperform Gold Bullion”, Dirk Baur, Lichoo Tay and Allan Trench examine the performance of gold miners relative to gold. They use VanEck Gold Miners ETF (GDX) as a proxy for gold miners and SPDR Gold Shares (GLD) as a proxy for gold. Gold miners provide exposure to gold and additional exposures to equity and mining-related risks. Using daily and monthly data for GDX, GLD, some individual gold mining firms as available and gold bullion during May 2006 through April 2025, they find that: Keep Reading
April 24, 2025 - Gold
How are behaviors of gold and silver exchange-traded funds (ETF) similar and different? To investigate, we compare behaviors of iShares Silver Trust (SLV) and SPDR Gold Shares (GLD) using daily and monthly return frequencies. We also look at full-sample compound annual growth rates (CAGR) and maximum drawdowns (MaxDD). Using daily and monthly returns for SLV, GLD and the S&P 500 Index (SP500) during late April 2006 (limited by SLV) through early April 2025, we find that:
March 24, 2025 - Currency Trading, Economic Indicators, Gold
Does the M2 measure of money supply reliably drive bitcoin and/or gold prices at a monthly horizon? To investigate we relate monthly change in M2 to future monthly bitcoin and SPDR Gold Shares (GLD) returns. Using monthly data for M2, bitcoin and GLD from September 2014 (inception of bitcoin price series) through February 2025, we find that:
March 6, 2025 - Bonds, Commodity Futures, Economic Indicators, Equity Premium, Gold, Real Estate
How do returns of different asset classes recently interact with inflation as measured by monthly change in the not seasonally adjusted, all-items consumer price index (CPI) from the U.S. Bureau of Labor Statistics? To investigate, we look at lead-lag relationships between change in CPI and returns for each of the following 10 exchange-traded fund (ETF) asset class proxies:
Using monthly total CPI values and monthly dividend-adjusted prices for the 10 specified ETFs during December 2007 (limited by EMB) through January 2025, we find that: Keep Reading
February 27, 2025 - Currency Trading, Gold, Volatility Effects
How might an investor construct a portfolio of very risky assets? To investigate, we revisit ideas first considered five years ago:
We assume equal initial allocations of $10,000 to each of the three assets. We perform a monthly skim as follows: (1) if the risky assets have month-end combined value less than combined initial allocations ($30,000), we rebalance to equal weights for next month; or, (2) if the risky assets have combined month-end value greater than combined initial allocations, we rebalance to initial allocations and move the excess permanently (skim) to cash. We very conservatively assume monthly portfolio reformation frictions of 1% of month-end combined value of risky assets. We assume accrued skimmed cash earns the 3-month U.S. Treasury bill (T-bill) yield. Using monthly prices of GBTC, GLD and SVXY adjusted for splits/dividends and contemporaneous T-bill yield during May 2015 (limited by GBTC) through January 2025, we find that: