Investment

A new report by the World Gold Council, “Central bank diversification strategies – rebalancing from the dollar and the euro”, examines the growing trend of central banks’ actively looking to diversify their reserve portfolios.  While the dollar is still the primary global currency, its long-term dominance is less certain.  In response, central banks are reducing allocations to US dollars and euros while increasing purchases of traditional assets such as gold and Japanese yen and new alternatives including Chinese renminbi.

24 pages, 1.0 MB

The World Gold Council has conducted extensive research on gold and has demonstrated in past submissions to the Basel Committee on Banking Supervision that gold meets the fundamental and market criteria required to be considered a high quality liquid asset for Basel III.

20 pages, 2.4 MB

This paper argues that using gold as collateral for highly distressed bonds would bring great benefits to the euro area in terms of reduced financing costs and bridge-financing. It is mindful of the legal issues that this will raise and that such a suggestion will be highly controversial. For this purpose, it brings gold into the debate and outlines the value of Europe’s gold reserves. It is also explains that gold has been used as collateral in the past and how a gold-backed bond might work and how it could lower yields in the context of the euro crisis. This move is then compared to the ECB’s now terminated Securities Market Programme (SMP) and its recently announced Outright Monetary Transactions (OMTs).
Namely, a central bank using its balance sheet to lower yields of highly distressed countries where the monetary policy transmission mechanism is no longer working. Beyond some similarities between the moves, the specific benefits of using gold in this manner vis-a-vis the SMP and the OMTs are highlighted. For instance, there is no transfer of credit risk between high risk/low risk countries, losses are borne by specific countries and not by the largest shareholders of the ECB, it would turn out to be more transparent, it would not be inflationary and would foster reforms.

37 pages, 0.4 MB

This report examines gold’s role within a sterling-denominated investment portfolio. It uses the respected Michaud et al.‘s unique Resampled Efficient Frontier™ optimisation technology to allow analysis of the statistical significance of gold for adding diversification value. The report shows how gold performs as a portfolio diversifier, a preserver of wealth and a risk management mechanism, which is particularly important during times of economic and market stress.

36 pages, 1.2 MB

As part of gold’s growing financial usage the World Gold Council conducted a case study to examine gold’s potential role on bank balance sheets as part of new liquidity buffers being discussed in global banking regulations within Basel III.  The following case study examines the effect of adding gold to the Basel III Liquidity Coverage Ratio (LCR) and finds that, by including gold as an eligible asset in bank liquidity buffers, commercial banks would reduce the volatility of their LCR portfolios, reduce the value-at-risk of their portfolios, and improve their risk-adjusted returns.

As part of gold’s growing financial usage the World Gold Council conducted a case study to examine gold’s potential role on bank balance sheets as part of new liquidity buffers being discussed in global banking regulations within Basel III. The case study examines the effect of adding gold to the Basel III Liquidity Coverage Ratio (LCR).

16 pages, 1.6 MB

During a period of extraordinarily serious economic uncertainty in the eurozone, continued concerns about economic growth in the US heading into an election year, and the possibility of an economic slowdown in China, we wanted to examine the relevance of gold as a strategic asset for euro-based investors to protect their portfolios and to mitigate the systemic risks being faced.

This report examines the relevance of gold as a strategic asset for euro-based investors to protect their portfolios and to mitigate the systemic risks being faced during a period of serious economic uncertainty in the Eurozone, continued concerns about economic growth in the US, and the possibility of an economic slowdown in China.  It uses the respected Michaud et al.‘s unique Resampled Efficient Frontier™ optimisation technology to allow analysis of the statistical significance of gold for adding diversification value.

32 pages, 0.5 MB

This report provides further support to the thesis that while alternative investments can be powerful tools in the quest for better risk adjusted returns in a portfolio, gold stands out as a foundation to a well-diversified portfolio.

40 pages, 1.1 MB

The World Gold Council commissioned Oxford Economics to conduct this independent, proprietary research study using their respected Global Model, to explore the performance of gold and other asset classes in various economic situations and to examine gold’s role within an efficient investment portfolio in divergent economic scenarios.

48 pages, 1.4 MB

This report investigates the nascent use for gold as collateral for central counterparty clearing in the Global OTC markets. It examines the unique characteristics of gold which make it an ideal form of collateral.

12 pages, 0.5 MB

This report examines gold’s role in the portfolio for diversified investors who may already have an allocation to commodities. It shows that gold’s physical attributes and functional characteristics set it apart from other commodities. This analysis shows that the effect of gold on a diversified portfolio cannot be replicated by a commodity basket alone.

20 pages, 2.7 MB

This report shows that gold does not only help to increase expected risk-adjusted returns in a portfolio but can also significantly mitigate the potential for wealth to be eroded by extreme events, as evidenced by statistical analysis of tail risk scenarios. Investors who do not hold gold or view it purely as a temporary safe haven asset are failing to harness its full potential to protect wealth.

20 pages, 2.6 MB

This report examines how gold can help a central bank meet its foreign reserve management objectives. It also explains how the gold market works, both in terms of the fundamentals of demand and supply, and the trading and vaulting of gold.

32 pages, 1.8 MB

This report examines the relative performance of four traditional inflation hedges, namely TIPs, real estate, commodities, and gold over three historical periods. In two of these three scenarios, gold proved more effective than commodities, real estate and TIPS. The report also finds a strategic case for gold in the portfolio of an investor that already holds TIPS, thanks to the additional diversification benefits gold brings to a portfolio.

12 pages, 0.7 MB

New Frontier Advisors and the World Gold council examine the case for gold as a long-term or strategic investment for US investors. From a long-term perspective, a fairly wide consensus exists that gold retains inflation hedging properties despite considerable fluctuations in the shorter term. Earlier studies that reported favourable evidence for the investment value of gold were generally limited by data availability and other methodological deficiencies. Using state-of-the-art statistical estimation technology based on Resampled Efficiency™ optimisation, this study shows that gold may have a comparable portfolio weight to asset classes such as small cap and emerging markets stocks due to its value as a diversifying asset. Gold may provide stability in poor markets and economic climates to long-term institutional strategic investors.

34 pages, 0.6 MB

April 2013 witnessed a significant drop in gold prices, from US$ 1,535.5/oz on Friday 12 to intraday lows of US$ 1,320/oz on Tuesday 16th before stabilising around US$ 1,390/oz. This Q2 market update analyses the price fall from a demand perspective and highlights its impacts on key physical and exchange traded gold markets.

This Q2 market update also examines the outlook for 2013, which is expected to remain positive due to the forecasts of gold demand in key markets reaching new records not only for the second quarter, but also for the full year.

6 pages, 1.5 MB

Demand for gold is likely to rise as the world heads towards a multi-currency reserve system under the impact of uncertainty about the stability of the dollar and the euro, the main official assets held by central banks and sovereign funds. This is the conclusion of a wide-ranging analysis of the world monetary system by Official Monetary and Financial Institutions Forum, (OMFIF), the global monetary think-tank, in a report commissioned by the World Gold Council, the gold industry’s market development body.

44 pages, 1.8 MB

This report – available for the European, German, UK, and US markets -  provides a summary of the:
- Dynamics of the gold market
- Rationale for investing in gold as part of a long-term portfolio strategy
- Ways in which to access gold
- Pension and taxation treatment of gold.

Download 60 pages, 0.7 MB

Download 54 pages, 0.7 MB

Download 72 pages, 0.7 MB

Download 76 pages, 0.7 MB

During a period of extraordinarily serious economic uncertainty in the eurozone, continued concerns about economic growth in the US heading into an election year, and the possibility of an economic slowdown in China, we wanted to examine the relevance of gold as a strategic asset for euro-based investors to protect their portfolios and to mitigate the systemic risks being faced.

This report examines the relevance of gold as a strategic asset for euro-based investors to protect their portfolios and to mitigate the systemic risks being faced during a period of serious economic uncertainty in the Eurozone, continued concerns about economic growth in the US, and the possibility of an economic slowdown in China.  It uses the respected Michaud et al.‘s unique Resampled Efficient Frontier™ optimisation technology to allow analysis of the statistical significance of gold for adding diversification value.

32 pages, 0.5 MB

A snapshot from the start of each decade since 1970 reveals that gold market fundamentals have experienced dramatic change. We discuss the drivers for and the implications of these changes.

11 pages, 1.4 MB

The World Gold Council commissioned Oxford Economics to conduct this independent, proprietary research study using their respected Global Model, to explore the performance of gold and other asset classes in various economic situations and to examine gold’s role within an efficient investment portfolio in divergent economic scenarios.

48 pages, 1.4 MB

This report looks at the future of the gold market in India. It puts in context the market for gold, and examines the strategic outlook for the Indian economy and gold demand over the next decade. There is short discourse on the mythological and cultural significance of gold in India as well as detailed econometric analysis of Indian gold demand from 1980 to 2009.

40 pages, 2.2 MB

This report sets out to explain the workings of the gold market with a particular focus on its size and liquidity. Given that central banks invest a majority of their reserves in sovereign debt markets, we compare gold to sovereign debt markets from both of these perspectives.

20 pages, 1.0 MB

This report is the first of a new series on the Indian gold market. The first report in the series provides an analysis of the history, recent developments and the revival of Indian demand during 2010. Further reports will analyse the unique
attributes of the Indian jewellery market as well as the strategic outlook for Indian gold demand over the next few decades.

This report is the first of a new series on the Indian gold market; it provides an analysis of the history, recent developments, and the revival of Indian gold demand during 2010. It details Indian jewellery consumption, investment demand, decorative and industrial demand, gold imports, seasonality and monsoon rains, central bank activity, and recycled gold supply.

24 pages, 1.0 MB

Reserve managers and investors are increasingly
recognising the strategic case for including gold
in a portfolio due to its diversification benefits and
the protection it can afford against macroeconomic
risks.

Successive new records in the gold price have increased concerns that gold may be overvalued vis-à-vis other assets. Some investors and market commentators even question whether the gold market is in a “bubble.” This report takes a statistical approach to these concerns and examines the prospects for future gold demand.

16 pages, 0.6 MB

This paper takes a detailed look at supply and demand trends in the Chinese gold market and concludes that the balance will continue to be in disequilibrium for some time, and therefore the outlook for gold in China remains positive. The report argues that, in the longer term, if China continues to grow at near to the current rate in economic and wealth terms, gold consumption in China will continue to expand and has the potential to double during the next decade.

This report explores the outlook for gold demand and supply in China. The Chinese economic growth story is common knowledge; however what is new here, is the clarification of the impact of China’s GDP growth trajectory on the outlook for the Chinese gold market.

76 pages, 2.1 MB

45 pages, 0.4 MB

This paper, the first in a series examining trends in central bank activity, looks at some recent developments in the official sector, and places them in the context of the sector’s history over the past 40 years.

12 pages, 0.7 MB

中央銀行は、代替資産への選好性が高まり、外貨準備における米ドル・ユーロへの配分比率を引き下げ始めた。本レポートでは、中央銀行が配分比率の調整にどう取り組むべきか検証する。日本円、英国ポンド、金などの伝統的資産に加え、中国、カナダ、オーストラリア、スイス、デンマークの各通貨建て資産などの代替的な資産について分析する。

24 pages, 0.5 MB

新興国の中央銀行は金の保有比率を増やし始めた。本レポートでは、彼らの準備預金ポートフォリオにおける金の最適保有比率の範囲を、ドルベースで評価した場合とローカル通貨ベースで評価した場合について分析した。インドルピー、シンガポールドル、ブラジルレアル、タイバーツなど9つの新興国通貨で分析を行っている。

新興国の中央銀行は金の保有比率を増やし始めた。本レポートでは、彼らの準備預金ポートフォリオにおける金の最適保有比率の範囲を、ドルベースで評価した場合とローカル通貨ベースで評価した場合について分析した。インドルピー、シンガポールドル、ブラジルレアル、タイバーツなど9つの新興国通貨で分析を行っている。

16 pages, 0.3 MB

日本市場において過去発生したテールイベント時に、5%金をポートフォリオの中に組み入れて保有することで、ほぼ全てのテールイベントの期間で損失抑制効果が確認できた。為替ヘッジ（対ドル）を付けて金を保有する場合と、為替ヘッジせずに円ベースで保有する場合の２通りについて分析。
また、将来発生するかもしれないテールリスクのシナリオを3つ想定し、ある最適化ポートフォリオが被る損失を推計、金を組み入れることによる損失抑制効果についても試算。テールイベント時のヘッジツールとしての可能性を示唆する結果となった。

テールイベント時における金投資の効果を日本の投資家の視点から検証する。前半では、日本市場における過去のテールイベントについての分析とそれぞれの時期における金保有の効果を分析。後半では、将来起こるかもしれないテールリスクのシナリオを想定し、伝統的資産が被る資産損失と金の組み入れによる損失抑制効果について分析した。

20 pages, 0.4 MB

グローバルな銀行規制としてバーゼルⅢでは、新たな流動性バッファーについて議論されていますが、その一部としての銀行のバランスシートにおける金の潜在的利用に関するケーススタディを行いました。本レポートでは、金を加えた場合のバーゼルⅢの流動性カバレッジ比率（LCR）への影響を分析しています。

18 pages, 0.4 MB

最適化の結果、最適資産配分のポートフォリオの中には金がひとつの資産として選択され、その比率は投資家のリスク許容度やポートフォリオに含まれる資産の種類によっても異なるが、2.1％から9.4％である。これは金の期待リターンを実質ベース０%という保守的な仮定のもとでの結果であり、金が資産分散化のツールであることを裏付けるものである。

金は分散効果や資産保全、ポートフォリオの効率的なリスク管理のためのツールを提供する。戦略的資産配分（政策アセットミックス）における金の最適配分比率を求め、金の分散投資の効果について検証する。株や債券等の伝統的資産に加え代替資産を含むポートフォリオにおける金の最適比率を算出する。

20 pages, 0.5 MB

金は実物資産であり、富の保全効果を有している。金本位制における役割を失った後、1970年代インフレや地政学リスクを背景に注目を浴び、現在再び新たな局面を迎えている。ひとつの宝飾品を超えて、インフレヘッジや有事に備える資産、通貨や資産分散効果、ポートフォリオの中におけるリスクヘッジ資産という役割が期待されている。

金・ドル本位制が崩壊した1971年から現在まで、過去40年間における変貌する経済的・財政的な状況下における金の動きを分析している。近年では、文化的背景から来るインド・中国での強い需要、多くの中央銀行が金の買い手から売り手に変わったこと、金ETFの急激な成長という要因により、資産クラスとしての金の重要性が増している。

20 pages, 0.5 MB

過去約11年間円ベースでの金価格は４倍となり他の伝統的資産と比較して圧倒的に有意なパフォーマンスを実現している。金のボラティリティは、円ベースでもドルベースでもほぼ同水準であり日本株程度である。金は日本債券とは相関がなく、株式との相関もかなり弱い。企業年金を例にとりシミュレーションを行った結果、伝統的資産に変えて金を３%あるいは５%組み入れることで、リスク・リターンが改善されることが確認できた。

日本の機関投資家が金の役割を評価し、金投資をひとつの資産クラスとして考えて投資をするための基本的情報を提供する。円ベースでの金価格、リスクおよびリターンの特性、株式や債券等の主要な資産クラスと対比した分析を行っている。また、ポートフォリオに金を組み込んだ場合の効果、ポートフォリオにおける金の役割について考察する。

20 pages, 0.5 MB

28 pages, 0.6 MB

金は、投資家および中央清算機関の双方にとって理想的な形態の担保である。金はソブリン債務のように信用リスクが存在せず、金の日々の価格は世界の中でも最も良く知られ透明性の高いもののひとつである。また厚みもあり流動性の高い市場であり、金は需要源が分散されているため純粋な金融資産より多様性がある。

本レポートでは、世界の店頭市場において、中央清算機関による始まったばかりの金の担保として利用法について調査する。理想的な担保資産になる金の際立った特徴について論じる。

12 pages, 0.4 MB

本レポートは、規模と流動性に焦点をあてて金市場について論じる。世界の各中央銀行は外貨準備資産のほとんどをソブリン債市場に投資していることから、この２つの面で金とソブリン債市場を比較する。

20 pages, 0.5 MB

分析の結果、2.5％から9％の比較的な小さな金の構成でもポートフォリオに良い影響を与えることが明らかになった。1987年1月から2010年7月までのデータを使い分析した8つのポートフォリオにおいて、1％と2.5％のVaRは0.1％から18.5％の範囲で低下した。さらに金を組み入れたポートフォリオが組み入れないもののパフォーマンスを上回った。

金は、ポートフォリオのリスク調整後リターンを上昇させるのに役立つだけでなく、テールイベント時に富が損なわれる可能性を和らげることができる。これをテールリスクの統計的分析によって示している。金を保有していない投資家、あるいは金を単に一時的な安全資産として見ている投資家は、富を保全する潜在的可能性を利用することができない。

20 pages, 0.7 MB

分析の結果、今回の金価格の推移は過去のバブル期の統計的特性とは類似点がない。株式指数や原油のような他の実物資産と比較すると、金価格は長期的な平均価格と同水準にあることがわかる。さらに、とりわけ新興国市場の力強い成長や中央銀行の行動の変化、金の産業用需要の回復・新たな進展などによって金の需要が引き続き堅調に推移することを示した。

金価格の高値更新が続き、金は他の資産と比較して過大評価されているのではないかという懸念が高まっている。一部の投資家やコメンテーターから、金市場は「バブル」ではないかという疑問の声も上がっている。本レポートでは統計的手法でこれらの懸念を分析し将来の金需要の見通しを検証する。

16 pages, 0.5 MB