黄金：虫子、熊和神话+Gold：Bugs,+Bears+and+Myths

ARTICLE|14MIN|PORTFOLIOSTRATEGY

Gold:Bugs,BearsandMyths

November2025

Author(s)

CampbellR.Harvey

InvestmentStrategyAdvisor,ManGroup

EdwardCole

HeadofMulti-StrategyEquities,Solutions,ManGroup

ChrisPyper

ManagingDirector,Solutions,ManGroup

PanasheBera

OMIAdvisoryAnalyst,Solutions,ManGroup

AlexPreston

HeadofAdvisory,ManGroup

Despitereachingrecordprices,goldcanplayavaluableroleinglobalportfolios

asadiversierandriskmitigator.

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Keytakeaways:

Goldhashistoricallybeenoneofthefewassetsthatperformswellwhenbothequities

andbondsarestruggling

Today’shighpricesstrengthenthecaseforthinkingaboutgoldprimarilyasarisk

managementassetratherthanareturnengine

.Evenarelativelymodestallocationtogoldhashistoricallyimprovedportfoliooutcomes

Introduction

Goldpricestodayarenearrecordhighs-eveninrealterms-implyingthatforwardrealreturnsmay

bemodestbyhistoricalstandards(Figure1).Yetgold'smostcompellingattributeremainsits

historicallyprovenabilitytoenhanceportfoliodiversi}cationoverthelongterm.Itiswidely

perceivedasasafe-havenasset:duringperiodsofmarketstressorcrisis,investorsoften~ockto

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goldforitsstabilityandlackofcreditrisk.Centralbanksholdgoldintheirforeignexchangereservespreciselyforthesebene}tsandasahedgeagainsteconomicandgeopoliticalrisks.Theseattributescanjustifygold’sinclusioninaninstitutionalportfolio,helpingtoreducedrawdownsandprovide

ballast,withoutmateriallysacri}cinglong-runperformance.

Inthispaper,weconsidergoldfromtheperspectiveofaninstitutionalinvestorwishingtoallocatetotheyellowmetalwithinatraditional60/40portfolio(orvariantthereof).Weexaminegold's

diversi}cationpropertiesandassessitsimpactonportfolioriskandreturncharacteristics.

Figure1.Evolutionoftheiniation-adjustedgoldpriceovertime

Source:Bloomberg,ManGroup.DatafromDecember1974toJuly2025.Pastperformanceisnotindicativeoffutureresults.

Quantifyingdiversification

Goldandequities

Perhapssurprisingly,gold’sannualvolatilityisroughlyonparwiththatoftheS&P500.Inaportfoliocontext,however,gold’scorrelationwithequitiesisnearzero.Further,gold’scorrelationtostocks

hasremainedconsistentlylowthroughtime,withnoevidenceofsustainedspikesduringequity

marketdrawdowns.Thisreliablelackofcorrelation(andoccasionalinversecorrelation)intimesof

stressunderscoresgold’sroleasadiversi}erforequities–andasapotentialriskmitigatorforequityinvestors.

Goldand}xedincome

Gold’scorrelationwith}xedincomereturnsisalsolowonaverage,buttherelationshipismore

nuancedthanwithequities.Ingeneral,goldshowsnearlyzerocorrelationwithshort-term

governmentbonds,andalow-to-moderatecorrelationwithlonger-durationbonds.However,the

gold–bondcorrelationhasnotbeenasstableovertimeandhasvariedacrossdiferentinterestrateandin~ationregimes.

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Figure2plotsrealgoldpricesversusrealbondyields,demonstratingthatthecorrelationbetweengoldandbondscanshiftfromnegativetopositivedependingonthemacroenvironment.Inperiodsofrisingin~ationandnegativerealinterestrates,goldisoftennegativelycorrelatedtobonds.Thistypicallyoccursbecausesuchperiodshurtbondreturnswhileboostinggold.

Ontheotherhand,duringde~ationaryregimes,goldcanexhibitamildlypositivecorrelationwithbonds.Insuchenvironments,bothgoldandhigh-qualitybondsmayserveassafehavensastheirpricesrisetogether.

Figure2.Variabilityintherelationshipbetweenrealgoldpriceandfixedincomerealyields(January1997toJuly2025)

Source:Bloomberg,ManGroup.

Overall,gold’scorrelationwith}xedincomeislowoverthefullcycle,butitisbestcharacterisedasregime-dependent:negativeinstag~ationaryorin~ationaryscenarios,andslightlypositivein

de~ationary,“risk-oz”scenarios.Importantly,gold’slowaveragecorrelationwithbothstocksandbondsmeansitcanplayavaluablediversifyingroleinamulti-assetportfolio一especiallywhen

traditionalassetrelationshipsbreakdown.

Gold’scorrelationwitha60/40portfolio

Mostinvestorportfolioscontainbothequitiesand}xedincome一60/40orsomevariationonthat

theme.Figure3comparestheperformanceofgoldandthe60/40portfolioacrossperiodsof

positiveandnegativestock-bondcorrelation.Whenstocksandbondsarenegativelycorrelated,a

60/40portfolioisalreadysomewhathedged,andgold’sadditionaldiversi}cationbene}t,whilestillpresent,islessdramatic.Butwhenstocksandbondsbecomepositivelycorrelated一astendsto

happeninin~ationaryscenarios一the60/40portfoliocansuzerconcurrentlosses,andthisiswhengoldcomesintoitsown.Indeed,goldhashistoricallybeenoneofthefewassetsthatperformswellwhenbothequitiesandbondsarestruggling.

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Avividexampleis2022,whichsawsurgingin~ationandrapidlyrisinginterestrates,causinganunusualtandemsellozinbothUSstocksandbonds(leadingthe60/40portfoliotohaveitsworstyearinhistory).Gold,meanwhile,wasapproximately~atin2022(inUSdollarterms).

Overlongertimespans,incorporatinggoldhasimprovedtherisk-adjustedperformanceofa60/40portfolio.Addingathird,uncorrelatedreturnstreamreducestheportfolio’svolatilityandmitigates

extremedrawdowns,oftenwithoutmateriallyreducingtotalreturns.Infact,historicallytheaveragereturnofportfolioswithamodestgoldallocationhasbeenonparwith(orsometimeshigherthan)a60/40portfolio,becausegoldhasdeliveredcompetitivereturnsincertainperiods(oftenduringhighin~ation)thatozsetitslowerreturnsindisin~ationarytimes.

Figure3.Stock-bondcorrelationandgold

*Annualisedreturnsoverperiod

Source:Bloomberg,GFD,ManGroup.GoldisrepresentedbyGoldUSDspotprice.60/40portfoliois60%S&P500and40%BloombergUSTreasuryLongIndex(assumedmonthlyrebalancing).

Interestingly,gold’scorrelationtothe60/40portfoliohas,onaverage,beenoppositeinsigntothatofthestock-bondcorrelation,asshowninFigure4,clearlydemonstratinggold’sabilitytoprovidediversi}cationbene}ts.

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Figure4.Stock-bondcorrelationversusgoldcorrelationto60/40overtime

Source:Bloomberg,ManGroup.GoldisrepresentedbytheGoldUSDspotprice.60/40portfoliois60%S&P500and40%BloombergUSTreasuryLongIndex.Correlationsarecalculatedoverrolling10-yearperiods.

Candidatesaferassets

Otherassetsthatinvestorsturntofordiversi}cationorsafetyincludeTreasuries,alternatives,TIPS(Treasuryin~ation-protectedsecurities),defensivecurrenciesandinfrastructure.However,gold

standsoutamongtheseassetsbecauseituniquelycombinesseveraldesirabletraits:itisareal

assetwithintrinsicvaluethatrespondstoin~ation(likecommoditiesandTIPS);ithasatrackrecordofholdingorincreasingvalueinsevere}nancialcrises(likehigh-qualitybondsorreserve

currencies);anditcarriesnocreditordefaultrisk.

Further,goldservesasaformofinsurancethattendstopayozduringtailriskeventsthathurt

traditionalassets,whilealsoozeringupsideincertainmacroconditions.Notably,goldnotonly

appearstopossessamuchlowercorrelationtoa60/40portfoliocomparedtoothercandidate“tail-hedgingassets”butalsotendstobenegativelycorrelatedandhasanegativebetaduringdownsidescenarios(i.e.,periodswhenthe60/40portfolioexperiencesnegativereturns).AsshowninFigure5,commoditiesaretheonlyothertail-hedgingassettoexhibitthistrait.

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Figure5.Candidatetail-hedgingassets

Source:Bloomberg,GFD,ManGroup.DatafromAugust2010toJuly2025.

Performanceinbearandbullmarkets

Goldinbearmarkets

Goldhasoftenprovidedmeaningfuldownsidemitigationduringdeepstockmarketdownturns,as

showninFigure6.Duringthe2000–2002Dot-Comcollapse,goldproveditsworth:whiletheS&P

500fellbynearly50%overthatdrawn-outcrash,goldsteadilyappreciated.Thepatternrepeatedinthe2007–2009GlobalFinancialCrisis(GFC).

Eveninmorerecentturbulence,gold’ssafe-havencharacteristicshavebeenevident.Aninvestorholdinggoldthroughthe}rstquarterof2020(COVIDcrisis)wouldhaveseenitserveasasourceofliquidityandthenbouncebackstrongly,helpingtoozsetequitylosses.

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Figure6.Goldindrawdowns

Source:Bloomberg,GFD,ManGroup.PerformanceshowninUSDterms.Pastperformanceisnotindicativeoffutureresults.

Goldinbullmarkets

The~ipsideisthatgoldoftenunderperformsduringroaringbullmarketsforequities,asdemandforacrisishedgewanes.Duringtheseperiods,theopportunitycostofholdinggoldishigher,and

capitaltendsto~owtowardriskierassets.Acaseinpointisthepost-2011period:afterhittingapeakaround2011,goldenteredamulti-yearbearmarketwhileequitiesenjoyedaprolongedbullrun.

Thisisnotsurprising–goldisaninsuranceasset,andinsurancetendstoincuracostduringgood

times.Theoverallezectisthataportfolioincludinggoldtypicallyunderperformsa60/40portfoliointhebestoftimesbutoutperforms(bylosinglessorgainingmore)intheworstoftimes.Many

institutionalallocators}ndthisasymmetryattractive,asitcansmoothreturnsandreducetheprobabilityoflargecapitallosses.

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Figure7.GoldversusS&P500–annualisedreturnsinequitybullmarkets

Source:Bloomberg,GFD,ManGroup.PerformanceshowninUSDterms.Pastperformanceisnotindicativeoffutureresults.

Portfolioanalysiswithindefensiveallocations

Letusturnnowtoevaluategoldfromatop-downassetallocationperspective:howdoesintroducinggoldintothedefensiveallocationin~uencetheoverallportfolio?

Imagineaportfolioforaglobalinvestorthatis60%equities(thegrowthbucket)and40%defensiveassets(thesafebucket).Historically,aportfoliothatincludedgoldinitssafebucketwouldhave

exhibitedlowervolatilityandshallowerdrawdownsthana60/40withbondsalone.Duringperiodsofstrongequityralliesandlowin~ation,thegold-inclusiveportfoliomightlagslightly.Butoverafull

cycle,therisk-adjustedreturnsoftheportfoliowithagoldallocationtendtobehigher.Essentially,goldimprovesthee{ciencyoftheportfolio–deliveringsimilarreturnsforlessrisk,orsometimesevenamoderatereturnboostduetoitsstrongperformanceincertainenvironments(Figure8).

Wehaveconstructedourhypotheticalportfoliosbystartingwithaportfoliowitha60%allocationtoglobalequities,30%to}xedincomeand10%toalternativeassets1(PortfolioOne).Wethenaddgoldtothisportfolio(5%inPortfolioTwo,10%inPortfolioThreeand15%inPortfolioFour),fundingthe

allocationthroughthe(roughlyproportionate)saleofglobalequitiesand}xedincome.

Theresultsovertheentirebacktestperiodfrom1993to2025highlighthowtheadditionofgoldcansigni}cantlyimproverisk-adjustedperformance.Themaximumdrawdownfortheportfolioswith

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goldismeaningfullylowerthanthatoftheportfoliowithoutgold(41%drawdownforPortfolioOne,versus35%forPortfolioFour).

Importantly,thiswasachievedwithoutsacri}cinglong-termperformance,withthecumulativereturnovertheperiodactuallyincreasingasweincreasedexposuretogoldwithintheportfolio.

Figure8.Impactofgoldondefensiveallocations2

Source:Bloomberg,GFD,ManGroup.Assumedmonthlyrebalancing.PerformanceshowninUSDterms.Hypotheticalportfoliosareforillustrativepurposesonlyanddonotrepresentactual

investmentresults.

Partitioningourbacktestwindow,however,revealsataleoftwoperiods.Priorto2000,gold

experiencedaprolongedperiodofpoorperformance.Despitegold’spoorperformanceduringthis

periodfromapurereturnperspective,theportfolioswithexposuretogoldwerelessvolatilethan

thosewithoutgold.However,thislowervolatilitycameatacost:therisk-adjustedreturns(returnperunitofrisk)wereslightlylower.Onthepositiveside,portfolioswithgoldexposurealsoexperienced

smallermaximumdrawdowns.

It’sworthnotingthattheidealallocationtogoldcandependonaninvestor’sobjectivesandrisk

tolerance.However,thereisastrongcasethatdiversifyingpartofthedefensiveallocationintogoldimprovesportfoliorobustness.

Thedownsidesofholdinggold

Valuationandthe“goldenconstant”

Oneconcernwithgoldisitscurrentpricelevel.Theyellowmetalhasefectivelypreserved

purchasingpoweroververylongperiods(the“goldenconstant”(Jastram1977)).Thissuggeststhatthelong-runrealreturnofgoldiszero:itneitherappreciatesnordepreciatesinpurchasingpower

overextremelylonghorizons.Ifthatistrue,thenperiodswhengolddeliverssubstantialpositiverealreturns(outpacingin~ation)willeventuallybefollowedbyperiodsofmeanreversionwheregold

underperformsin~ationtoreverttothemeanpurchasingpower.

Ifthe“goldenconstant”holds,gold’srealvaluemayeventuallyleveloutorrevert.Weillustratethisbyplotting10-yearreal(in~ation-adjusted)goldreturnsagainstrealgoldprices(i.e.,starting

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valuations)inFigure9.Thechartshowsquiteasigni}cantnegativerelationshipbetweenrealreturnsandrealgoldprices.

Figure9.Therealvalueofgoldandsubsequentreturns(January1975–July2025)

Source:Bloomberg,USBureauofLaborStatistics,ManGroup.The10-yearforwardrealgoldreturn(y-axis)istheannualisedin~ation-adjustedreturnoverthesubsequent10years.Pastperformanceisnotindicativeoffutureresults.

Volatilityandin~ationhedgereliability

Gold'shighvolatilityandimperfectcorrelationwithin~ationovershort-tomedium-termperiods

presentadditionalrisks.Ittendstoshinewhenin~ationishighandoutofcontrol,orwhenrealyieldscollapse,ratherthanhedgingsmall,predictableupticksinin~ation.Inaddition,thereisan

opportunitycosttoholdinggold,especiallyinarisingratesenvironment(whenyieldsonbondsandcasharehigh).

Gold’svolatilitycanintroducenotablemark-to-market~uctuationsinaportfolio.Whilethese

movementsareuncorrelatedwithequitiesorbonds,a10%allocationtogold,forinstance,couldaddorsubtract1.5%tooverallportfolioreturnsinayearjustfromgold’svolatility(10%*15%=1.5%).

Crucially,investorsmustmaintainthegoldallocationthroughtimetocaptureitsbene}tsduringdownturns.

Theupsidesofholdinggold

Centralbankdemandandreserveassetstatus

Oneofgold’sstrongesttailwindsisthesustaineddemandfromcentralbanksaroundtheworld.Goldisnotcontrolledbyanygovernment,andthisneutralityandlackofcreditriskmakeitafavoured

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reserveassetalongsidecurrenciesliketheUSdollar.Inrecentyears,centralbankshavebeennetbuyersofgoldatahistoricpaceasgeopoliticaltensionshaveintensi}ed.

ThisbuyinghasbeenledbyemergingmarketcentralbankssuchasChina,India,TurkeyandRussia.Manyemergingeconomiesholdarelativelylowpercentageoftheirreservesingoldcomparedto

developedcountries,suggestingsubstantialroomforfurtheraccumulation.Ifthesecentralbanks

deliberatelyraisethegoldpercentageofreserves,theimpactondemandcouldbesigni}cant.This

trendreinforcesgold’senduringroleasacriticalstoreofvalueintheinternationalmonetarysystem.

Institutionalandinvestoradoption

Thestrategicvalueofanallocationtogoldisgainingbroaderrecognitionamonginstitutional

investors.Theriseofhighlyliquidgold-backed}nancialproductsprovidedtheinitialimpetusforthis,whiletherecentgrowthingoldexposureinportfolioscanlikelybeattributedtoanincreasingdesireamonginstitutionalinvestorsforassetsthatprovidegreaterdiversi}cationandmoderatein~ation

protection.Amodest1-2%shiftintogoldbyevenasmallfractionofglobalinstitutionalassetscouldgeneratesubstantialdemandrelativetothegoldmarket'ssize.

Potentialregulatorychanges

AnotherpotentialupsidefactorexploredbyHarvey(2025b)isregulatorychangesthatcouldformallyelevategold’sstatusinthebankingsystem.UndercurrentBaselIIIbankingregulations,goldisnot

classi}edasaHigh-QualityLiquidAsset(HQLA)formeetingliquiditycoverageratios.IfregulatorsweretoreconsiderthisanddesignategoldasHQLA(evenatahaircut),itwouldefectively

encouragecommercialbankstoholdmoregoldontheirbalancesheetsforliquiditypurposes.

Harvey(2025b)showsthata3%allocationtogoldforbanks’HQLAswouldprovideademandshocksimilartothatoftheintroductionofgoldETFs.

Macroandgeopoliticaltailwinds(de-dollarisation)

Geopolitically,theUSdollar'sstatusastheworld'sdominantreservecurrencyfacesmounting

challenges.Tensionsbetweenmajorpowersmakerelianceonasinglecountry’scurrencypoliticallysensitive,andtheeventsof2022whenRussia’sdollarreserveswerefrozenunderscorethe

geopoliticalleverageembeddedinreserveassets.Incontrast,goldisseenasaneutralasset.Itisnotissuedbyanygovernment,soischallengingtoweaponiseorsanction.

Constrainedsupply

Finally,it’sworthmentioningthatgold’ssupplydynamicsnaturallysupportitsvalueovertime.Goldminingisaslowandincreasinglydi{cultprocess,andtheannualproductionofgoldaddsonly

around1.5%totheglobalabove-groundstock.Incontrast,thesupplyof}atmoney,orevengovernmentbonds,canexpandrapidlyifauthoritieschoose.

Conclusion

Whilegold’srecentperformancehasbeenremarkable,thecaseforincludinggoldinaportfoliorestsonitsenduringstrategicbene}tsratherthanmomentum.Goldservesavaluableroleinglobal

portfoliosasadiversi}erandriskmitigator,especiallyforinstitutionalinvestorsconcernedwithpreservingcapitalandreducingvolatility.

Theempiricalevidenceiscompelling.Evenrelativelymodestallocationstogoldhavehistoricallyimprovedportfoliooutcomes.Itslowcorrelationtotraditionalassets–steadyduringmarket

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extremes–meansgoldhasreliablyaddeddiversi}cationacrossmultipledecadesandeconomicregimes.

Intoday’senvironmentofeconomicuncertainty,evolvingin~ationdynamics,andgeopoliticalshifts,goldcanplayanimportantroleinboostingtheresilienceofportfolios.

1.Inthiscase,realestateandcommodities.

2.Hypotheticalperformanceresultshaveinherentlimitationsanddonotrepresentactualtradingresults.

Thismaterialisforinformationalpurposesonlyanddoesnotconstituteinvestmentadviceand

shouldnotberelieduponasthebasisforanyinvestmentdecision.Theanalysispresentedhereinisbasedonhistoricaldataandbacktestedresults.Historicalperformancedoesnotguaranteefutureresults,andactualperformancemaydizermateriallyfromthatshown.Allinvestmentsinvolverisk,includingthepotentiallossofprincipal.Investorsshouldconsultwiththeir}nancialadvisorsbeforemakinganyinvestmentdecisions.

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Formoreinformationonsomeofthekeytermsmentionedinthisarticle,ourGlossarymaybefoundhere:

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