Enhanced portfolio performance

20 January, 2022

Long-term returns, liquidity and effective diversification all benefit overall portfolio performance. In combination, they suggest that the addition of gold can materially enhance a portfolio’s risk-adjusted returns. 

Our analysis of investment performance over the past two, five, 10 and 20 years underlines gold’s positive impact on an institutional portfolio. It shows that the average US portfolio would have achieved higher risk-adjusted returns and lower drawdowns if 2.5%, 5% or 10% were allocated to gold (Chart 13 and Table 1). This positive impact has been particularly marked since the GFC.

Table 1: Gold has increased risk-adjusted returns while reducing portfolio volatility and maximum drawdowns

Comparison of a hypothetical US average portfolio and an equivalent portfolio with 5% gold over the past 1, 5, 10 and 20 years based on US-dollar returns*

  20-year 10-year 5-year

1-year

  No gold 5% gold No gold 5% gold No gold 5% gold No gold 5% gold
Annualised return 8.29% 8.46% 10.54% 10.16% 11.96% 11.92% 14.56% 14.43%
Annualised volatility 11.57% 11.12% 9.77% 9.42% 11.47% 10.96% 15.58% 14.88%
Risk-adjusted return 0.72 0.76 1.08 1.08 1.04 1.09 0.93 0.97
Maximum drawdown -45.5% -43.1% -17.6% -16.6% -17.6% -16.6% -17.6% -16.6%

*As of 31 December 2021. The hypothetical average portfolio was created with market data from JP Morgan Asset Management and Coalition Greenwich (formerly Greenwich Associates) as well as data from Blackrock. and as described in Chart 13. Risk-adjusted returns are calculated as the annualised return/annualised volatility. Maximum drawdown is calculated as the largest fall in a portfolio before the total value reaches a previous peak.

Source: Bloomberg, ICE Benchmark Administration, World Gold Council

Table 1: Gold has increased risk-adjusted returns while reducing portfolio volatility and maximum drawdowns

Comparison of a hypothetical UK average portfolio and an equivalent portfolio with 5% gold over the past 1, 5, 10 and 20 years based on pound sterling returns*

  20-year 10-year 5-year

1-year

  No gold 5% gold No gold 5% gold No gold 5% gold No gold 5% gold
Annualised return 7.49% 7.71% 10.19% 9.90% 8.77% 8.78% 12.53% 11.71%
Annualised volatility 9.38% 9.07% 7.83% 7.66% 8.46% 8.04% 5.77% 5.49%
Risk-adjusted return 0.80 0.85 1.30 1.29 1.04 1.09 2.17 2.13
Maximum drawdown 60.25% 64.66% -11.24% -10.11% -11.24% -10.11% -1.17% -1.20%

*Based on monthly pound sterling total returns from 31 December 2001 to 31 December 2021 for Bloomberg UK Govt All Bonds, S&P U.K. Investment Grade Corporate Bond, MSCI World and Emerging Markets gross indices, Bloomberg EM USD Aggregate, FTSE EPRA Nareit Developed Europe, Hedge Fund Research HFRI Fund of Funds Composite, Barclays Benchmark Overnight GBP Cash, and spot returns of LBMA Gold Price PM. Each hypothetical portfolio composition reflects a percentage in equity (“Eqty”), alternative assets (“Alts”), cash and bonds (“FI”). For example: ‘Average pension allocation’ is a portfolio with 54% in equities, 33% in REITs, hedge funds, and growth fixed income, and 13% in cash and bonds. Risk-adjusted returns are calculated as the annualised return/annualised volatility. Maximum drawdown is calculated as the largest fall in a portfolio before the total value reaches a previous peak.

Source: Bloomberg, ICE Benchmark Administration, World Gold Council

Table 1: Gold has increased risk-adjusted returns while reducing portfolio volatility and maximum drawdowns

Comparison of a hypothetical average European investment portfolio and an equivalent portfolio with 5% gold over the past 1, 5, 10 and 20 years based on euros returns*

  20-year 10-year 5-year

1-year

  No gold 5% gold No gold 5% gold No gold 5% gold No gold 5% gold
Annualised return 6.18% 6.36% 7.65% 7.47% 6.76% 6.86% 8.59% 8.37%
Annualised volatility 6.72% 6.44% 6.18% 6.00% 6.79% 6.48% 4.07% 3.98%
Risk-adjusted return 0.92 0.99 1.24 1.24 1.00 1.06 2.11 2.10
Maximum drawdown 76.65% 82.69% -11.45% -10.71% -11.45% -10.71% -2.08% -2.07%

*Based on monthly euro total returns from 31 December 2001 and 31 December 2021 of Bloomberg EuroAgg Treasury, Bloomberg Global Agg Credit, Bloomberg EM Hard Currency Aggregate, MSCI Europe, World ex Europe Gross indices, and Emerging Markets Gross indices, FTSE EPRA Nareit Developed Europe, Barclays Benchmark Overnight EUR Cash, and spot returns of LBMA Gold Price PM. Each hypothetical portfolio composition reflects a percentage in equity (“Eqty”), alternative assets (“Alts”), cash and bonds (“FI”). For example: ‘Average pension allocation’ is a portfolio with 38% in equities, 5% in REITs, hedge funds, private equity and commodities, and 57% in cash and bonds. Risk-adjusted returns are calculated as the annualised return/annualised volatility. Maximum drawdown is calculated as the largest fall in a portfolio before the total value reaches a previous peak.

Source: Bloomberg, ICE Benchmark Administration, World Gold Council

Table 1: Gold has increased risk-adjusted returns while reducing portfolio volatility and maximum drawdowns

Comparison of a hypothetical Japanese pension fund (PF) average portfolio and an equivalent portfolio with 7.5% gold over the past 1, 5, 10 and 20 years based on yen returns*

  20-year 10-year 5-year

1-year

  No gold 7.5% gold No gold 7.5% gold No gold 7.5% gold No gold 7.5% gold
Annualised return 4.67% 5.08% 7.89% 8.06% 5.71% 6.19% 10.88% 10.58%
Annualised volatility 7.60% 7.63% 7.03% 6.98% 5.81% 5.67% 3.96% 4.28%
Risk-adjusted return 0.61 0.67 1.12 1.15 0.98 1.09 2.75 2.47
Maximum drawdown -28.12% -27.37% -10.31% -10.22% -7.91% -6.91% -1.15% -0.89%

*Based on monthly pound sterling total returns from November 2001 to November 2021 for TOPIX TR Index, MSCI Kokusai JPY, Japanese Aggregate, Global Aggregate ex-JPY, TOPIX Real Estate, HFRI Hedge Fund Index, LBMA Gold Price PM, JPY Cash. Each hypothetical portfolio composition reflects a percentage in equity (“Eqty”), alternative assets (“Alts”), cash and bonds (“FI”). For example: an average portfolio is a portfolio with 40% in equities, 10% in alternative and 50% in cash and bonds. Risk-adjusted returns are calculated as the annualised return/annualised volatility. See important disclaimers and disclosures at the end of this report.

Source: Bloomberg, ICE Benchmark Administration, World Gold Council

Table 1: Gold has increased risk-adjusted returns while reducing portfolio volatility and maximum drawdowns

Comparison of a hypothetical Singapore average portfolio and an equivalent portfolio with 5% gold over the past 1, 5, 10 and 20 years based on US dollar returns*

  20-year 10-year 5-year

1-year

  No gold 5% gold No gold 5% gold No gold 5% gold No gold 5% gold
Annualised return 11.57% 11.81% 10.81% 10.37% 13.14% 13.20% 8.67% 8.48%
Annualised volatility 10.12% 9.84% 8.70% 8.49% 9.44% 9.20% 7.44% 7.26%
Risk-adjusted return 0.77 0.81 0.80 0.79 0.86 0.89 0.81 0.81
Maximum drawdown -43.28% -40.98% -25.47% -24.38% -25.47% -24.38% -4.69% -4.63%

*As of 31 December 2021. The composition of the hypothetical average portfolio is based on a survey conducted by the Monetary Authority of Singapore for FY 2020.

Source: Bloomberg, ICE Benchmark Administration, World Gold Council

Table 1: Gold has increased risk-adjusted returns while reducing portfolio volatility and maximum drawdowns

Comparison of a hypothetical Chinese insurance fund average portfolio and an equivalent portfolio with 5% gold over the past 2, 5, 10 and 15 years based on RMB returns*

  15-year 10-year 5-year

2-year

  No gold 5% gold No gold 5% gold No gold 5% gold No gold 5% gold
Annualised return 4.70% 4.76% 5.47% 5.20% 5.47% 5.54% 5.57% 5.48%
Annualised volatility 12.02% 11.58% 8.61% 8.30% 6.23% 6.04% 6.64% 6.60%
Risk-adjusted return 0.39 0.41 0.64 0.63 0.88 0.92 0.84 0.83
Maximum drawdown -39.57% -38.65% -16.75% -15.70% -8.61% -8.01% -3.61% -3.56%

*As of 31 December 2021. Each hypothetical portfolio composition reflects a percentage in stocks, cash equivalent assets, bonds and gold as described in Chart 13. Risk-adjusted returns are calculated as the annualised return/annualised volatility. Maximum drawdown is calculated as the largest fall in a portfolio before the total value reaches a previous peak. And asset weights’ adjustments are subjected by China Banking and Insurance Regulatory Commission’s investment restrictions on insurance funds.

Source: Bloomberg, Shanghai Gold Exchange, ChinaBond Pricing Center, China Securities Index, ICE Benchmark Administration, World Gold Council

Table 1: Gold has increased risk-adjusted returns while reducing portfolio volatility and maximum drawdowns

Comparison of a hypothetical Indian pension fund (PF) average portfolio and an equivalent portfolio with 5% gold over the past 1, 5, and 10 years based on rupee returns*

  10-year 5-year 1-year
  No gold 5% gold No gold 5% gold No gold 5% gold
Annualised return 10.18% 9.66% 9.15% 9.25% 8.03% 7.59%
Annualised volatility 3.81% 3.18% 3.57% 3.49% 2.66% 2.70%
Risk-adjusted return 2.67 3.04 2.57 2.65 3.02 2.81
Maximum drawdown -5.70% -3.74% -2.43% -2.22% -0.53% -0.86%

*Based on performance between 30 November 2011 and 30 November 2021 in rupees. The hypothetical Indian average pension fund portfolio is based on the allocation to various assets as per SBI Pension Fund for Central Government Scheme as of December 2019. Allocation is based on the investment guidelines of the Pension Fund Regulatory and Development Authority (PFRDA). It includes 14% allocation to stocks (BSE Sensex), 53% allocation to India Government Bond (S&P BSE India Government Bond Index), 28% allocation to corporate bond (CRISIL Corporate Bond Index) and 5% to cash (Bloomberg Barclays 1-3 year Indian Treasury Unhedged Index). The allocation to gold comes from proportionally reducing all assets. Risk-adjusted returns are calculated as the annualised return/annualised volatility. See important disclaimers and disclosures at the end of this report.    

Source: Bloomberg, ICE Benchmark Administration, World Gold Council

Table 1: Gold has increased risk-adjusted returns while reducing portfolio volatility and maximum drawdowns

Comparison of a hypothetical Australian superfund portfolio and an equivalent portfolio with 5% gold over the past 1, 5, 10 and 20 years based on Australian dollar returns*

  20-year 10-year 5-year

1-year

  No gold 5% gold No gold 5% gold No gold 5% gold No gold 5% gold
Annualised return 5.95% 6.07% 8.17% 7.92% 7.59% 7.72% 9.74% 9.22%
Annualised volatility 8.60% 7.64% 8.16% 7.33% 9.68% 8.57% 13.49% 11.83%
Risk-adjusted return 0.69 0.80 1.00 1.08 0.78 0.90 0.72 0.78
Maximum drawdown -36.81% -31.80% -16.93% -14.78% -16.93% -14.78% -16.93% -14.78%

* Based on performance between 31 December 2001 and 31 December 2021. The hypothetical average Australian superannuation fund portfolio is based on the Australian Prudential Regulation Authority’s superannuation asset allocation update in 2021

Source: Bloomberg, ICE Benchmark Administration, Australian Prudential Regulation Authority, World Gold Council

In addition to traditional back-testing, a more robust optimisation analysis based on ‘re-sampled efficiency’1 suggests that an allocation to gold may result in a material enhancement to portfolio performance. For example, gold allocations between 6% and 10% across well-diversified US dollar-based portfolios with varying levels of risk could result in higher risk-adjusted returns (Chart 14).

The ‘optimal’ amount of gold varies according to individual asset allocation decisions. Broadly speaking, the analysis suggests that the higher the risk in the portfolio – whether in terms of volatility, illiquidity or concentration of assets – the larger the required allocation to gold, within the range in consideration, to offset that risk (Chart 14).

Our analysis also shows that gold’s optimal weight in these hypothetical portfolios can be statistically significant even if investors assume an annual return for gold of 4.5% (Chart 14).– less than half its performance over the past 20 years. This works equally for investors who already hold other inflation-hedging assets, such as inflation-linked bonds,2 and for investors who hold alternative assets, such as real estate, private equity, and hedge funds.3

 

Chart 13: Adding gold over the past 20 years would have increased risk-adjusted returns of a hypothetical US pension fund portfolio

Adding gold over the past 20 years would have increased risk-adjusted returns of a hypothetical US pension fund portfolio

Performance of a hypothetical US pension fund (PF) average portfolio with and without gold*

Adding gold over the past 20 years would have increased risk-adjusted returns of a hypothetical US pension fund portfolio
Performance of a hypothetical US pension fund (PF) average portfolio with and without gold*
*Based on US dollar performance between 31 December 2001 and 31 December 2021. The hypothetical average portfolio was created with market data from JP Morgan Asset Management and Coalition Greenwich (formerly Greenwich Associates) as well as data from Blackrock. It includes quarterly-rebalanced total returns of a 48% allocation to equities (30% Russell 3000 Total Return Index, 18% MSCI ACWI ex US), 28% allocation to fixed income (20% Barclays US Aggregate, 3% Bloomberg US Corporate High Yield Total Return Index Value Unhedged USD, 5% S&P/LSTA Leveraged Loan Total Return Index), and 24% alternative assets (9% FTSE REITs Index, 4% HFRI Hedge Fund Index, 10% S&P Private Equity Index and 1%Bloomberg Commodity Index). The allocation to gold comes from proportionally reducing all assets. Risk-adjusted returns are calculated as the annualised return/annualised volatility. See important disclaimers and disclosures at the end of this report. Sources: Bloomberg, ICE Benchmark Administration, World Gold Council

Sources: Bloomberg, ICE Benchmark Administration, World Gold Council; Disclaimer

*Based on US dollar performance between 31 December 2001 and 31 December 2021. The hypothetical average portfolio was created with market data from JP Morgan Asset Management and Coalition Greenwich (formerly Greenwich Associates) as well as data from Blackrock. It includes quarterly-rebalanced total returns of a 48% allocation to equities (30% Russell 3000 Total Return Index, 18% MSCI ACWI ex US), 28% allocation to fixed income (20% Barclays US Aggregate, 3% Bloomberg US Corporate High Yield Total Return Index Value Unhedged USD, 5% S&P/LSTA Leveraged Loan Total Return Index), and 24% alternative assets (9% FTSE REITs Index, 4% HFRI Hedge Fund Index, 10% S&P Private Equity Index and 1%Bloomberg Commodity Index). The allocation to gold comes from proportionally reducing all assets. Risk-adjusted returns are calculated as the annualised return/annualised volatility. See important disclaimers and disclosures at the end of this report.

 

Chart 13: Adding gold over the past 20 years would have increased risk-adjusted returns of a hypothetical UK pension fund portfolio

Adding gold over the past 20 years would have increased risk-adjusted returns of a hypothetical UK pension fund portfolio

Performance of a hypothetical UK pension fund (PF) average portfolio with and without gold*

Adding gold over the past 20 years would have increased risk-adjusted returns of a hypothetical UK pension fund portfolio
Performance of a hypothetical UK pension fund (PF) average portfolio with and without gold*
*Based on monthly pound sterling total returns from 31 December 2001 to 31 December 2021 for Bloomberg UK Govt All Bonds, S&P U.K. Investment Grade Corporate Bond, MSCI World and Emerging Markets gross indices, Bloomberg EM USD Aggregate, FTSE EPRA Nareit Developed Europe, Hedge Fund Research HFRI Fund of Funds Composite, Barclays Benchmark Overnight GBP Cash, and spot returns of LBMA Gold Price PM. Each hypothetical portfolio composition reflects a percentage in equity (“Eqty”), alternative assets (“Alts”), cash and bonds (“FI”). For example: ‘Average pension allocation’ is a portfolio with 54% in equities, 33% in REITs, hedge funds, and growth fixed income, and 13% in cash and bonds. Risk-adjusted returns are calculated as the annualised return/annualised volatility. See important disclaimers and disclosures at the end of this report. Sources: Bloomberg, ICE Benchmark Administration, World Gold Council

Sources: Bloomberg, ICE Benchmark Administration, World Gold Council; Disclaimer

*Based on monthly pound sterling total returns from 31 December 2001 to 31 December 2021 for Bloomberg UK Govt All Bonds, S&P U.K. Investment Grade Corporate Bond, MSCI World and Emerging Markets gross indices, Bloomberg EM USD Aggregate, FTSE EPRA Nareit Developed Europe, Hedge Fund Research HFRI Fund of Funds Composite, Barclays Benchmark Overnight GBP Cash, and spot returns of LBMA Gold Price PM. Each hypothetical portfolio composition reflects a percentage in equity (“Eqty”), alternative assets (“Alts”), cash and bonds (“FI”). For example: ‘Average pension allocation’ is a portfolio with 54% in equities, 33% in REITs, hedge funds, and growth fixed income, and 13% in cash and bonds. Risk-adjusted returns are calculated as the annualised return/annualised volatility. See important disclaimers and disclosures at the end of this report.

 

Chart 13: Adding gold over the past 20 years would have increased risk-adjusted returns of a hypothetical European pension fund portfolio

Adding gold over the past 20 years would have increased risk-adjusted returns of a hypothetical European pension fund portfolio

Performance of a hypothetical European pension fund (PF) average portfolio with and without gold*

Adding gold over the past 20 years would have increased risk-adjusted returns of a hypothetical European pension fund portfolio
Performance of a hypothetical European pension fund (PF) average portfolio with and without gold*
*Based on monthly euro total returns from 31 December 2001 and 31 December 2021 of Bloomberg EuroAgg Treasury, Bloomberg Global Agg Credit, Bloomberg EM Hard Currency Aggregate, MSCI Europe, World ex Europe Gross indices, and Emerging Markets Gross indices, FTSE EPRA Nareit Developed Europe, Barclays Benchmark Overnight EUR Cash, and spot returns of LBMA Gold Price PM. Each hypothetical portfolio composition reflects a percentage in equity (“Eqty”), alternative assets (“Alts”), cash and bonds (“FI”). For example: an average portfolio is a portfolio with 15% in equities, 26% in REITs, hedge funds, private equity and commodities, and 59% in cash and bonds. Risk-adjusted returns are calculated as the annualised return/annualised volatility. See important disclaimers and disclosures at the end of this report. Sources: Bloomberg, ICE Benchmark Administration, World Gold Council

Sources: Bloomberg, ICE Benchmark Administration, World Gold Council; Disclaimer

*Based on monthly euro total returns from 31 December 2001 and 31 December 2021 of Bloomberg EuroAgg Treasury, Bloomberg Global Agg Credit, Bloomberg EM Hard Currency Aggregate, MSCI Europe, World ex Europe Gross indices, and Emerging Markets Gross indices, FTSE EPRA Nareit Developed Europe, Barclays Benchmark Overnight EUR Cash, and spot returns of LBMA Gold Price PM. Each hypothetical portfolio composition reflects a percentage in equity (“Eqty”), alternative assets (“Alts”), cash and bonds (“FI”). For example: an average portfolio is a portfolio with 15% in equities, 26% in REITs, hedge funds, private equity and commodities, and 59% in cash and bonds. Risk-adjusted returns are calculated as the annualised return/annualised volatility. See important disclaimers and disclosures at the end of this report.

 

Chart 13: Adding gold over the past 20 years would have increased risk-adjusted returns of a hypothetical Japanese pension fund portfolio

Adding gold over the past 20 years would have increased risk-adjusted returns of a hypothetical Japanese pension fund portfolio

Performance of a hypothetical Japanese pension fund (PF) average portfolio with and without gold*

Adding gold over the past 20 years would have increased risk-adjusted returns of a hypothetical Japanese pension fund portfolio
Performance of a hypothetical Japanese pension fund (PF) average portfolio with and without gold*
*Based on monthly pound sterling total returns from November 2001 to November 2021 for TOPIX TR Index, MSCI Kokusai JPY, Japanese Aggregate, Global Aggregate ex-JPY, TOPIX Real Estate, HFRI Hedge Fund Index, LBMA Gold Price PM, JPY Cash. Each hypothetical portfolio composition reflects a percentage in equity (“Eqty”), alternative assets (“Alts”), cash and bonds (“FI”). For example: an average portfolio is a portfolio with 40% in equities, 10% in alternative and 50% in cash and bonds. Risk-adjusted returns are calculated as the annualised return/annualised volatility. See important disclaimers and disclosures at the end of this report. Sources: Bloomberg, ICE Benchmark Administration, World Gold Council

Sources: Bloomberg, ICE Benchmark Administration, World Gold Council; Disclaimer

*Based on monthly pound sterling total returns from November 2001 to November 2021 for TOPIX TR Index, MSCI Kokusai JPY, Japanese Aggregate, Global Aggregate ex-JPY, TOPIX Real Estate, HFRI Hedge Fund Index, LBMA Gold Price PM, JPY Cash. Each hypothetical portfolio composition reflects a percentage in equity (“Eqty”), alternative assets (“Alts”), cash and bonds (“FI”). For example: an average portfolio is a portfolio with 40% in equities, 10% in alternative and 50% in cash and bonds. Risk-adjusted returns are calculated as the annualised return/annualised volatility. See important disclaimers and disclosures at the end of this report.

 

Chart 13: Adding gold over the past 20 years would have increased risk-adjusted returns of a hypothetical Singaporean pension fund portfolio

Adding gold over the past 20 years would have increased risk-adjusted returns of a hypothetical Singaporean pension fund portfolio

Performance of a hypothetical Singaporean pension fund (PF) average portfolio with and without gold*

Adding gold over the past 20 years would have increased risk-adjusted returns of a hypothetical Singaporean pension fund portfolio
Performance of a hypothetical Singaporean pension fund (PF) average portfolio with and without gold*
*Based on the total return indices in US dollars of benchmarks listed below from 31 December 2001 – 31 December 2021 with monthly rebalancing. **Risk adjusted return defined as portfolio return divided by annualised volatility. The composition of the hypothetical average portfolio is based on a survey conducted by the Monetary Authority of Singapore for FY 2020. It includes total returns in USD for a 32% allocation to MSCI APAC Index, 6.2% to MSCI North America Index, 4.7% to MSCI Europe Index, 4.3% to MSCI Emerging Index, 17.6% to Bloomberg APAC Aggregate Bond Index, 3.4% to Bloomberg US Aggregate Bond Index, 2.6% to Bloomberg Pan-Europe Aggregate Bond Index, 2.3% to Bloomberg Emerging Aggregate Bond Index, 9.8% to Refinitiv Private Equity Buyout Index, 5.2% to HFRI Hedge Fund Weighted Composite Index, 7.9% to MSCI APAC Real Estate Index, 1.5% to FTSE NAREIT All Equity REITS Index and 2.3% to ICE BofA US 3-month Treasury Bill Index. Gold’s performance is based on the LBMA Gold price in USD and the respective 2%, 5%, 7.5% and 10% portfolio allocations come from proportionally reducing all assets. Sources: Bloomberg, FTSE Russell, ICE Benchmark Administration, S&P Dow Jones Indices, World Gold Council

Sources: Bloomberg, FTSE Russell, ICE Benchmark Administration, S&P Dow Jones Indices, World Gold Council; Disclaimer

*Based on the total return indices in US dollars of benchmarks listed below from 31 December 2001 – 31 December 2021 with monthly rebalancing.
**Risk adjusted return defined as portfolio return divided by annualised volatility.
The composition of the hypothetical average portfolio is based on a survey conducted by the Monetary Authority of Singapore for FY 2020. It includes total returns in USD for a 32% allocation to MSCI APAC Index, 6.2% to MSCI North America Index, 4.7% to MSCI Europe Index, 4.3% to MSCI Emerging Index, 17.6% to Bloomberg APAC Aggregate Bond Index, 3.4% to Bloomberg US Aggregate Bond Index, 2.6% to Bloomberg Pan-Europe Aggregate Bond Index, 2.3% to Bloomberg Emerging Aggregate Bond Index, 9.8% to Refinitiv Private Equity Buyout Index, 5.2% to HFRI Hedge Fund Weighted Composite Index, 7.9% to MSCI APAC Real Estate Index, 1.5% to FTSE NAREIT All Equity REITS Index and 2.3% to ICE BofA US 3-month Treasury Bill Index. Gold’s performance is based on the LBMA Gold price in USD and the respective 2%, 5%, 7.5% and 10% portfolio allocations come from proportionally reducing all assets.

 

Chart 13: Adding gold over the past 20 years would have increased risk-adjusted returns of a hypothetical Chinese pension fund portfolio

Adding gold over the past 20 years would have increased risk-adjusted returns of a hypothetical Chinese pension fund portfolio

Performance of a hypothetical Chinese pension fund (PF) average portfolio with and without gold*

Adding gold over the past 20 years would have increased risk-adjusted returns of a hypothetical Chinese pension fund portfolio
Performance of a hypothetical Chinese pension fund (PF) average portfolio with and without gold*
Based on performance between 31 December 2011 and 31 December 2021. The hypothetical average Chinese insurance fund portfolio is based on China Banking and Insurance Regulatory Commission’s published information and regulations on asset investment restrictions. It includes annually-rebalanced total returns of a 20% allocation to stocks (Shanghai Stock Composite Index as a proxy), 70% allocation to fixed income (ChinaBond New Composite Index – Total Return as a proxy), and 10% cash (CSI Money Market Fund Index as a proxy).. The allocation to gold comes from proportionally reducing all assets. Risk-adjusted returns are calculated as the annualised return/annualised volatility. See important disclaimers and disclosures at the end of this report. Sources: China Banking and Insurance Regulatory Commission, ChinaBond Pricing Center, China Securities Co., Shanghai Stock Exchange, World Gold Council

Sources: China Banking and Insurance Regulatory Commission, ChinaBond Pricing Center, China Securities Co., Shanghai Stock Exchange, World Gold Council; Disclaimer

Based on performance between 31 December 2011 and 31 December 2021. The hypothetical average Chinese insurance fund portfolio is based on China Banking and Insurance Regulatory Commission’s published information and regulations on asset investment restrictions. It includes annually-rebalanced total returns of a 20% allocation to stocks (Shanghai Stock Composite Index as a proxy), 70% allocation to fixed income (ChinaBond New Composite Index – Total Return as a proxy), and 10% cash (CSI Money Market Fund Index as a proxy).. The allocation to gold comes from proportionally reducing all assets. Risk-adjusted returns are calculated as the annualised return/annualised volatility. See important disclaimers and disclosures at the end of this report.

 

Chart 13: Adding gold over the past 20 years would have increased risk-adjusted returns of a hypothetical Indian pension fund portfolio

Adding gold over the past 20 years would have increased risk-adjusted returns of a hypothetical Indian pension fund portfolio

Performance of a hypothetical Indian pension fund (PF) average portfolio with and without gold*

Adding gold over the past 20 years would have increased risk-adjusted returns of a hypothetical Indian pension fund portfolio
Performance of a hypothetical Indian pension fund (PF) average portfolio with and without gold*
*Based on monthly total returns in rupees from December 2011 to December 2021 of Bloomberg Barclays 1-3 year Indian Treasury Unhedged Index, S&P BSE India Government Bond Index, BSE Sensex, CRISIL Corporate Bond Index, Bloomberg Commodity Index (INR) and MCX India Gold Spot Index. Each hypothetical portfolio composition reflects a percentage in fixed income (bonds and cash) relative to stock, alternatives and gold. For example: 60% Fixed Income is a portfolio with 60% in bonds and cash, 40% in stocks, alternatives and gold. Analysis based on New Frontier Advisors Resampled Efficiency. For more information see Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation, Oxford University Press, January 2008. See important disclaimers and disclosures at the end of this report. Sources: Bloomberg, ICE Benchmark Administration, World Gold Council

Sources: Bloomberg, ICE Benchmark Administration, World Gold Council; Disclaimer

*Based on monthly total returns in rupees from December 2011 to December 2021 of Bloomberg Barclays 1-3 year Indian Treasury Unhedged Index, S&P BSE India Government Bond Index, BSE Sensex, CRISIL Corporate Bond Index, Bloomberg Commodity Index (INR) and MCX India Gold Spot Index. Each hypothetical portfolio composition reflects a percentage in fixed income (bonds and cash) relative to stock, alternatives and gold. For example: 60% Fixed Income is a portfolio with 60% in bonds and cash, 40% in stocks, alternatives and gold. Analysis based on New Frontier Advisors Resampled Efficiency. For more information see Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation, Oxford University Press, January 2008. See important disclaimers and disclosures at the end of this report.

 

Chart 13: Adding gold over the past 20 years would have increased risk-adjusted returns of a hypothetical Australian pension fund portfolio

Adding gold over the past 20 years would have increased risk-adjusted returns of a hypothetical Australian pension fund portfolio

Performance of a hypothetical Australian pension fund (PF) average portfolio with and without gold*

Adding gold over the past 20 years would have increased risk-adjusted returns of a hypothetical Australian pension fund portfolio
Performance of a hypothetical Australian pension fund (PF) average portfolio with and without gold*
*Based on monthly total returns from 31 December 2011 and 31 December 2021. The hypothetical average Australian superannuation fund portfolio and reference indicies are based on the Australian Prudential Regulation Authority’s superannuation asset allocation update in 2021. It includes annually-rebalanced total returns in AUD of a 54% allocation to equities (25% S&P/ASX 300 Total Return, 29% MSCI World ex Australia Net 100% Hedged to AUD AUD Index), 19% allocation to fixed income (11% Bloomberg AusBond 0+ Year Index and 8% Bloomberg Barclays Global Aggregate Total Return Index Unhedged USD), 10% allocation to cash (Bloomberg AusBond Bank Bill Index) , 8% to properties (S&P/ASX 300 A-REIT Index), 6% to infrastructure (MSCI Australia Infrastructure Net Total Return Local Index) and 3% to "others" (1.5% of MSCI World ex Australia Net 100% Hedged to AUD AUD Index and 1.5% of Bloomberg Barclays Global Aggregate Total Return Index Unhedged USD). The allocation to gold comes from proportionally reducing all assets. Risk-adjusted returns are calculated as the annualised return/annualised volatility. See important disclaimers and disclosures at the end of this report. Sources: Australian Prudential Regulation Authority, Bloomberg, ICE Benchmark Administration, World Gold Council

Sources: Australian Prudential Regulation Authority, Bloomberg, ICE Benchmark Administration, World Gold Council; Disclaimer

*Based on monthly total returns from 31 December 2011 and 31 December 2021. The hypothetical average Australian superannuation fund portfolio and reference indicies are based on the Australian Prudential Regulation Authority’s superannuation asset allocation update in 2021. It includes annually-rebalanced total returns in AUD of a 54% allocation to equities (25% S&P/ASX 300 Total Return, 29% MSCI World ex Australia Net 100% Hedged to AUD AUD Index), 19% allocation to fixed income (11% Bloomberg AusBond 0+ Year Index and 8% Bloomberg Barclays Global Aggregate Total Return Index Unhedged USD), 10% allocation to cash (Bloomberg AusBond Bank Bill Index) , 8% to properties (S&P/ASX 300 A-REIT Index), 6% to infrastructure (MSCI Australia Infrastructure Net Total Return Local Index) and 3% to "others"  (1.5% of MSCI World ex Australia Net 100% Hedged to AUD AUD Index and 1.5% of Bloomberg Barclays Global Aggregate Total Return Index Unhedged USD). The allocation to gold comes from proportionally reducing all assets. Risk-adjusted returns are calculated as the annualised return/annualised volatility. See important disclaimers and disclosures at the end of this report.

 

Chart 14a: Gold could significantly improve risk-adjusted portfolio returns across various levels of risk particularly when compared to non-gold portfolios of equivalent expected returns

Gold could significantly improve risk-adjusted portfolio returns across various levels of risk particularly when compared to non-gold portfolios of equivalent expected returns

(a) Efficient frontier of a hypothetical average US portfolio *

Gold could significantly improve risk-adjusted portfolio returns across various levels of risk particularly when compared to non-gold portfolios of equivalent expected returns
(a) Efficient frontier of a hypothetical average US portfolio *
*Based on monthly US dollar total returns from January 2001 to December 2021 ‘Highest risk-adjusted returns’ represents the highest risk-adjusted returns for a given portfolio. ‘Equivalent return %’ represents the portfolio anticipated volatility for a portfolio with the same expected return of a current US pension fund. ‘Current average portfolio is the current weightings resampled with no gold exposure. See Chart 13 for details on portfolio composition. Analysis based on New Frontier Advisors Resampled Efficiency. For more information see Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation, Oxford University Press, January 2008. See important disclaimers and disclosures at the end of this report. Sources: World Gold Council

Sources: World Gold Council; Disclaimer

*Based on monthly US dollar total returns from January 2001 to December 2021 
‘Highest risk-adjusted returns’ represents the highest risk-adjusted returns for a given portfolio.
‘Equivalent return %’ represents the portfolio anticipated volatility for a portfolio with the same expected return of a current US pension fund.
‘Current average portfolio is the current weightings resampled with no gold exposure.
See Chart 13 for details on portfolio composition.
Analysis based on New Frontier Advisors Resampled Efficiency. For more information see Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation, Oxford University Press, January 2008. 
See important disclaimers and disclosures at the end of this report.

 

Chart 14a: Gold could significantly improve risk-adjusted portfolio returns across various levels of risk particularly when compared to non-gold portfolios of equivalent expected returns

Gold could significantly improve risk-adjusted portfolio returns across various levels of risk particularly when compared to non-gold portfolios of equivalent expected returns

Gold could significantly improve risk-adjusted portfolio returns across various levels of risk particularly when compared to non-gold portfolios of equivalent expected returns
*Based on monthly pound sterling total returns from January 2001 to December 2021 ‘Highest risk-adjusted returns’ represents the highest risk-adjusted returns for a given portfolio. ‘Equivalent return %’ represents the portfolio anticipated volatility for a portfolio with the same expected return of a current US pension fund. ‘Current average portfolio is the current weightings resampled with no gold exposure. See Chart 13 for details on portfolio composition. Analysis based on New Frontier Advisors Resampled Efficiency. For more information see Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation, Oxford University Press, January 2008. See important disclaimers and disclosures at the end of this report. Sources: World Gold Council

Sources: World Gold Council; Disclaimer

*Based on monthly pound sterling total returns from January 2001 to December 2021 
‘Highest risk-adjusted returns’ represents the highest risk-adjusted returns for a given portfolio.
‘Equivalent return %’ represents the portfolio anticipated volatility for a portfolio with the same expected return of a current US pension fund.
‘Current average portfolio is the current weightings resampled with no gold exposure.
See Chart 13 for details on portfolio composition.
Analysis based on New Frontier Advisors Resampled Efficiency. For more information see Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation, Oxford University Press, January 2008. 
See important disclaimers and disclosures at the end of this report.

 

Chart 14a: Gold could significantly improve risk-adjusted portfolio returns across various levels of risk particularly when compared to non-gold portfolios of equivalent expected returns

Gold could significantly improve risk-adjusted portfolio returns across various levels of risk particularly when compared to non-gold portfolios of equivalent expected returns

Gold could significantly improve risk-adjusted portfolio returns across various levels of risk particularly when compared to non-gold portfolios of equivalent expected returns
*Based on monthly euro total returns from January 2001 to December 2021 ‘Highest risk-adjusted returns’ represents the highest risk-adjusted returns for a given portfolio. ‘Equivalent return %’ represents the portfolio anticipated volatility for a portfolio with the same expected return of a current US pension fund. ‘Current average portfolio is the current weightings resampled with no gold exposure. See Chart 13 for details on portfolio composition. Analysis based on New Frontier Advisors Resampled Efficiency. For more information see Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation, Oxford University Press, January 2008. See important disclaimers and disclosures at the end of this report. Sources: World Gold Council

Sources: World Gold Council; Disclaimer

*Based on monthly euro total returns from January 2001 to December 2021 
‘Highest risk-adjusted returns’ represents the highest risk-adjusted returns for a given portfolio.
‘Equivalent return %’ represents the portfolio anticipated volatility for a portfolio with the same expected return of a current US pension fund.
‘Current average portfolio is the current weightings resampled with no gold exposure.
See Chart 13 for details on portfolio composition.
Analysis based on New Frontier Advisors Resampled Efficiency. For more information see Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation, Oxford University Press, January 2008. 
See important disclaimers and disclosures at the end of this report.

 

Chart 14a: Gold could significantly improve risk-adjusted portfolio returns across various levels of risk particularly when compared to non-gold portfolios of equivalent expected returns

Gold could significantly improve risk-adjusted portfolio returns across various levels of risk particularly when compared to non-gold portfolios of equivalent expected returns

Gold could significantly improve risk-adjusted portfolio returns across various levels of risk particularly when compared to non-gold portfolios of equivalent expected returns
*Based on monthly US dollar total returns from January 2001 to December 2021 ‘Highest risk-adjusted returns’ represents the highest risk-adjusted returns for a given portfolio. ‘Equivalent return %’ represents the portfolio anticipated volatility for a portfolio with the same expected return of a current US pension fund. ‘Current average portfolio is the current weightings resampled with no gold exposure. See Chart 13 for details on portfolio composition. Analysis based on New Frontier Advisors Resampled Efficiency. For more information see Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation, Oxford University Press, January 2008. See important disclaimers and disclosures at the end of this report. Sources: World Gold Council

Sources: World Gold Council; Disclaimer

*Based on monthly US dollar total returns from January 2001 to December 2021 
‘Highest risk-adjusted returns’ represents the highest risk-adjusted returns for a given portfolio.
‘Equivalent return %’ represents the portfolio anticipated volatility for a portfolio with the same expected return of a current US pension fund.
‘Current average portfolio is the current weightings resampled with no gold exposure.
See Chart 13 for details on portfolio composition.
Analysis based on New Frontier Advisors Resampled Efficiency. For more information see Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation, Oxford University Press, January 2008. 
See important disclaimers and disclosures at the end of this report.

 

Chart 14a: Gold could significantly improve risk-adjusted portfolio returns across various levels of risk particularly when compared to non-gold portfolios of equivalent expected returns

Gold could significantly improve risk-adjusted portfolio returns across various levels of risk particularly when compared to non-gold portfolios of equivalent expected returns

Gold could significantly improve risk-adjusted portfolio returns across various levels of risk particularly when compared to non-gold portfolios of equivalent expected returns
*Based on monthly US dollar total returns from January 2001 to December 2021 ‘Highest risk-adjusted returns’ represents the highest risk-adjusted returns for a given portfolio. ‘Equivalent return %’ represents the portfolio anticipated volatility for a portfolio with the same expected return of a current US pension fund. ‘Current average portfolio is the current weightings resampled with no gold exposure. See Chart 13 for details on portfolio composition. Analysis based on New Frontier Advisors Resampled Efficiency. For more information see Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation, Oxford University Press, January 2008. See important disclaimers and disclosures at the end of this report. Sources: World Gold Council

Sources: World Gold Council; Disclaimer

*Based on monthly US dollar total returns from January 2001 to December 2021 
‘Highest risk-adjusted returns’ represents the highest risk-adjusted returns for a given portfolio.
‘Equivalent return %’ represents the portfolio anticipated volatility for a portfolio with the same expected return of a current US pension fund.
‘Current average portfolio is the current weightings resampled with no gold exposure.
See Chart 13 for details on portfolio composition.
Analysis based on New Frontier Advisors Resampled Efficiency. For more information see Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation, Oxford University Press, January 2008. 
See important disclaimers and disclosures at the end of this report.

 

Chart 14a: Gold could significantly improve risk-adjusted portfolio returns across various levels of risk particularly when compared to non-gold portfolios of equivalent expected returns

Gold could significantly improve risk-adjusted portfolio returns across various levels of risk particularly when compared to non-gold portfolios of equivalent expected returns

Gold could significantly improve risk-adjusted portfolio returns across various levels of risk particularly when compared to non-gold portfolios of equivalent expected returns
*Based on monthly RMB total returns from December 2006 to December 2021 ‘Highest risk-adjusted returns’ represents the highest risk-adjusted returns for a given portfolio. ‘Equivalent return %’ represents the portfolio anticipated volatility for a portfolio with the same expected return of an average hypothetical Chinese insurance fund. Sources: World Gold Council

Sources: World Gold Council; Disclaimer

*Based on monthly RMB total returns from December 2006 to December 2021
‘Highest risk-adjusted returns’ represents the highest risk-adjusted returns for a given portfolio.
‘Equivalent return %’ represents the portfolio anticipated volatility for a portfolio with the same expected return of an average hypothetical Chinese insurance fund.

 

Chart 14a: Gold could significantly improve risk-adjusted portfolio returns across various levels of risk particularly when compared to non-gold portfolios of equivalent expected returns

Gold could significantly improve risk-adjusted portfolio returns across various levels of risk particularly when compared to non-gold portfolios of equivalent expected returns

Gold could significantly improve risk-adjusted portfolio returns across various levels of risk particularly when compared to non-gold portfolios of equivalent expected returns
*Based on monthly monthly INR total returns from January 2011 to December 2021 ‘Highest risk-adjusted returns’ represents the highest risk-adjusted returns for a given portfolio. ‘Equivalent return %’ represents the portfolio anticipated volatility for a portfolio with the same expected return of a hypothetical portfolio of average Indian institutional investor. ‘Current average portfolio is the current weightings resampled with no gold exposure. See Chart 13 for details on portfolio composition. Analysis based on New Frontier Advisors Resampled Efficiency. For more information see Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation, Oxford University Press, January 2008. See important disclaimers and disclosures at the end of this report. Sources: World Gold Council

Sources: World Gold Council; Disclaimer

*Based on monthly monthly INR total returns from January 2011 to December 2021
‘Highest risk-adjusted returns’ represents the highest risk-adjusted returns for a given portfolio.
‘Equivalent return %’ represents the portfolio anticipated volatility for a portfolio with the same expected return of a hypothetical portfolio of average Indian institutional investor.
‘Current average portfolio is the current weightings resampled with no gold exposure.
See Chart 13 for details on portfolio composition.
Analysis based on New Frontier Advisors Resampled Efficiency. For more information see Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation, Oxford University Press, January 2008. 
See important disclaimers and disclosures at the end of this report.

 

Chart 14a: Gold could significantly improve risk-adjusted portfolio returns across various levels of risk particularly when compared to non-gold portfolios of equivalent expected returns

Gold could significantly improve risk-adjusted portfolio returns across various levels of risk particularly when compared to non-gold portfolios of equivalent expected returns

Gold could significantly improve risk-adjusted portfolio returns across various levels of risk particularly when compared to non-gold portfolios of equivalent expected returns
*Based on monthly Australian dollars total returns from January 2001 to December 2021 ‘Highest risk-adjusted returns’ represents the highest risk-adjusted returns for a given portfolio. ‘Equivalent return %’ represents the portfolio anticipated volatility for a portfolio with the same expected return of a current US pension fund. ‘Current average portfolio is the current weightings resampled with no gold exposure. See Chart 13 for details on portfolio composition. Analysis based on New Frontier Advisors Resampled Efficiency. For more information see Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation, Oxford University Press, January 2008. See important disclaimers and disclosures at the end of this report. Sources: World Gold Council

Sources: World Gold Council; Disclaimer

*Based on monthly Australian dollars total returns from January 2001 to December 2021 
‘Highest risk-adjusted returns’ represents the highest risk-adjusted returns for a given portfolio.
‘Equivalent return %’ represents the portfolio anticipated volatility for a portfolio with the same expected return of a current US pension fund.
‘Current average portfolio is the current weightings resampled with no gold exposure.
See Chart 13 for details on portfolio composition.
Analysis based on New Frontier Advisors Resampled Efficiency. For more information see Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation, Oxford University Press, January 2008. 
See important disclaimers and disclosures at the end of this report.

 

Chart 14b: Gold could significantly improve risk-adjusted portfolio returns across various levels of risk particularly when compared to non-gold portfolios of equivalent expected returns

Gold could significantly improve risk-adjusted portfolio returns across various levels of risk particularly when compared to non-gold portfolios of equivalent expected returns

(b) Range of gold allocations and the allocation that delivers the maximum risk-adjusted return for each hypothetical portfolio mix*

Gold could significantly improve risk-adjusted portfolio returns across various levels of risk particularly when compared to non-gold portfolios of equivalent expected returns
(b) Range of gold allocations and the allocation that delivers the maximum risk-adjusted return for each hypothetical portfolio mix*
As of December 2021. ‘Highest risk-adjusted returns’ represents the highest risk-adjusted returns for a given portfolio. ‘Equivalent return %’ represents the portfolio anticipated volatility for a portfolio with the same expected return of a current hypothetical portfolio. ‘Current average portfolio is the current weightings resampled with no gold exposure. The gold bar on Chart 14b represents the optimal range of gold in the respective portfolio with the dot within the bar representing the weight with the highest risk-adjusted return. The lower dots represent the highest risk-adjusted adjusted return gold weight when reducing gold’s average return in half to 4.5% to highlight the importance of gold in a lower expected gold return environment. See Chart 13 (p9) for details on portfolio composition. Analysis based on New Frontier Advisors Resampled Efficiency. For more information see Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation, Oxford University Press, January 2008. Sources: World Gold Council

Sources: World Gold Council; Disclaimer

As of December 2021. ‘Highest risk-adjusted returns’ represents the highest risk-adjusted returns for a given portfolio. ‘Equivalent return %’ represents the portfolio anticipated volatility for a portfolio with the same expected return of a current hypothetical portfolio. ‘Current average portfolio is the current weightings resampled with no gold exposure. The gold bar on Chart 14b represents the optimal range of gold in the respective portfolio with the dot within the bar representing the weight with the highest risk-adjusted return. The lower dots represent the highest risk-adjusted adjusted return gold weight when reducing gold’s average return in half to 4.5% to highlight the importance of gold in a lower expected gold return environment. See Chart 13 (p9) for details on portfolio composition. Analysis based on New Frontier Advisors Resampled Efficiency. For more information see Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation, Oxford University Press, January 2008.

 

Chart 14b: Gold could significantly improve risk-adjusted portfolio returns across various levels of risk particularly when compared to non-gold portfolios of equivalent expected returns

Gold could significantly improve risk-adjusted portfolio returns across various levels of risk particularly when compared to non-gold portfolios of equivalent expected returns

(b) Range of gold allocations and the allocation that delivers the maximum risk-adjusted return for each hypothetical portfolio mix*

Gold could significantly improve risk-adjusted portfolio returns across various levels of risk particularly when compared to non-gold portfolios of equivalent expected returns
(b) Range of gold allocations and the allocation that delivers the maximum risk-adjusted return for each hypothetical portfolio mix*
2021. ‘Highest risk-adjusted returns’ represents the highest risk-adjusted returns for a given portfolio. ‘Equivalent return %’ represents the portfolio anticipated volatility for a portfolio with the same expected return of a current hypothetical portfolio. ‘Current average portfolio is the current weightings resampled with no gold exposure. The gold bar on Chart 14b represents the optimal range of gold in the respective portfolio with the dot within the bar representing the weight with the highest risk-adjusted return. The lower dots represent the highest risk-adjusted adjusted return gold weight when reducing gold’s average return in half to 4.5% to highlight the importance of gold in a lower expected gold return environment. See Chart 13 (p9) for details on portfolio composition. Analysis based on New Frontier Advisors Resampled Efficiency. For more information see Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation, Oxford University Press, January 2008. Sources: World Gold Council

Sources: World Gold Council; Disclaimer

2021. ‘Highest risk-adjusted returns’ represents the highest risk-adjusted returns for a given portfolio. ‘Equivalent return %’ represents the portfolio anticipated volatility for a portfolio with the same expected return of a current hypothetical portfolio. ‘Current average portfolio is the current weightings resampled with no gold exposure. The gold bar on Chart 14b represents the optimal range of gold in the respective portfolio with the dot within the bar representing the weight with the highest risk-adjusted return. The lower dots represent the highest risk-adjusted adjusted return gold weight when reducing gold’s average return in half to 4.5% to highlight the importance of gold in a lower expected gold return environment. See Chart 13 (p9) for details on portfolio composition. Analysis based on New Frontier Advisors Resampled Efficiency. For more information see Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation, Oxford University Press, January 2008.

 

Chart 14b: Gold could significantly improve risk-adjusted portfolio returns across various levels of risk particularly when compared to non-gold portfolios of equivalent expected returns

Gold could significantly improve risk-adjusted portfolio returns across various levels of risk particularly when compared to non-gold portfolios of equivalent expected returns

(b) Range of gold allocations and the allocation that delivers the maximum risk-adjusted return for each hypothetical portfolio mix*

Gold could significantly improve risk-adjusted portfolio returns across various levels of risk particularly when compared to non-gold portfolios of equivalent expected returns
(b) Range of gold allocations and the allocation that delivers the maximum risk-adjusted return for each hypothetical portfolio mix*
2021. ‘Highest risk-adjusted returns’ represents the highest risk-adjusted returns for a given portfolio. ‘Equivalent return %’ represents the portfolio anticipated volatility for a portfolio with the same expected return of a current hypothetical portfolio. ‘Current average portfolio is the current weightings resampled with no gold exposure. The gold bar on Chart 14b represents the optimal range of gold in the respective portfolio with the dot within the bar representing the weight with the highest risk-adjusted return. The lower dots represent the highest risk-adjusted adjusted return gold weight when reducing gold’s average return in half to 4.5% to highlight the importance of gold in a lower expected gold return environment. See Chart 13 (p9) for details on portfolio composition. Analysis based on New Frontier Advisors Resampled Efficiency. For more information see Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation, Oxford University Press, January 2008. Sources: World Gold Council

Sources: World Gold Council; Disclaimer

2021. ‘Highest risk-adjusted returns’ represents the highest risk-adjusted returns for a given portfolio. ‘Equivalent return %’ represents the portfolio anticipated volatility for a portfolio with the same expected return of a current hypothetical portfolio. ‘Current average portfolio is the current weightings resampled with no gold exposure. The gold bar on Chart 14b represents the optimal range of gold in the respective portfolio with the dot within the bar representing the weight with the highest risk-adjusted return. The lower dots represent the highest risk-adjusted adjusted return gold weight when reducing gold’s average return in half to 4.5% to highlight the importance of gold in a lower expected gold return environment. See Chart 13 (p9) for details on portfolio composition. Analysis based on New Frontier Advisors Resampled Efficiency. For more information see Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation, Oxford University Press, January 2008.

 

Chart 14b: Gold could significantly improve risk-adjusted portfolio returns across various levels of risk particularly when compared to non-gold portfolios of equivalent expected returns

Gold could significantly improve risk-adjusted portfolio returns across various levels of risk particularly when compared to non-gold portfolios of equivalent expected returns

(b) Range of gold allocations and the allocation that delivers the maximum risk-adjusted return for each hypothetical portfolio mix*

Gold could significantly improve risk-adjusted portfolio returns across various levels of risk particularly when compared to non-gold portfolios of equivalent expected returns
(b) Range of gold allocations and the allocation that delivers the maximum risk-adjusted return for each hypothetical portfolio mix*
2021. ‘Highest risk-adjusted returns’ represents the highest risk-adjusted returns for a given portfolio. ‘Equivalent return %’ represents the portfolio anticipated volatility for a portfolio with the same expected return of a current hypothetical portfolio. ‘Current average portfolio is the current weightings resampled with no gold exposure. The gold bar on Chart 14b represents the optimal range of gold in the respective portfolio with the dot within the bar representing the weight with the highest risk-adjusted return. The lower dots represent the highest risk-adjusted adjusted return gold weight when reducing gold’s average return in half to 4.5% to highlight the importance of gold in a lower expected gold return environment. See Chart 13 (p9) for details on portfolio composition. Analysis based on New Frontier Advisors Resampled Efficiency. For more information see Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation, Oxford University Press, January 2008. Sources: World Gold Council

Sources: World Gold Council; Disclaimer

2021. ‘Highest risk-adjusted returns’ represents the highest risk-adjusted returns for a given portfolio. ‘Equivalent return %’ represents the portfolio anticipated volatility for a portfolio with the same expected return of a current hypothetical portfolio. ‘Current average portfolio is the current weightings resampled with no gold exposure. The gold bar on Chart 14b represents the optimal range of gold in the respective portfolio with the dot within the bar representing the weight with the highest risk-adjusted return. The lower dots represent the highest risk-adjusted adjusted return gold weight when reducing gold’s average return in half to 4.5% to highlight the importance of gold in a lower expected gold return environment. See Chart 13 (p9) for details on portfolio composition. Analysis based on New Frontier Advisors Resampled Efficiency. For more information see Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation, Oxford University Press, January 2008.

 

Chart 14b: Gold could significantly improve risk-adjusted portfolio returns across various levels of risk particularly when compared to non-gold portfolios of equivalent expected returns

Gold could significantly improve risk-adjusted portfolio returns across various levels of risk particularly when compared to non-gold portfolios of equivalent expected returns

(b) Range of gold allocations and the allocation that delivers the maximum risk-adjusted return for each hypothetical portfolio mix*

Gold could significantly improve risk-adjusted portfolio returns across various levels of risk particularly when compared to non-gold portfolios of equivalent expected returns
(b) Range of gold allocations and the allocation that delivers the maximum risk-adjusted return for each hypothetical portfolio mix*
2021. ‘Highest risk-adjusted returns’ represents the highest risk-adjusted returns for a given portfolio. ‘Equivalent return %’ represents the portfolio anticipated volatility for a portfolio with the same expected return of a current hypothetical portfolio. ‘Current average portfolio is the current weightings resampled with no gold exposure. The gold bar on Chart 14b represents the optimal range of gold in the respective portfolio with the dot within the bar representing the weight with the highest risk-adjusted return. The lower dots represent the highest risk-adjusted adjusted return gold weight when reducing gold’s average return in half to 4.5% to highlight the importance of gold in a lower expected gold return environment. See Chart 13 (p9) for details on portfolio composition. Analysis based on New Frontier Advisors Resampled Efficiency. For more information see Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation, Oxford University Press, January 2008. Sources: World Gold Council

Sources: World Gold Council; Disclaimer

2021. ‘Highest risk-adjusted returns’ represents the highest risk-adjusted returns for a given portfolio. ‘Equivalent return %’ represents the portfolio anticipated volatility for a portfolio with the same expected return of a current hypothetical portfolio. ‘Current average portfolio is the current weightings resampled with no gold exposure. The gold bar on Chart 14b represents the optimal range of gold in the respective portfolio with the dot within the bar representing the weight with the highest risk-adjusted return. The lower dots represent the highest risk-adjusted adjusted return gold weight when reducing gold’s average return in half to 4.5% to highlight the importance of gold in a lower expected gold return environment. See Chart 13 (p9) for details on portfolio composition. Analysis based on New Frontier Advisors Resampled Efficiency. For more information see Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation, Oxford University Press, January 2008.

 

Chart 14b: Gold could significantly improve risk-adjusted portfolio returns across various levels of risk particularly when compared to non-gold portfolios of equivalent expected returns

Gold could significantly improve risk-adjusted portfolio returns across various levels of risk particularly when compared to non-gold portfolios of equivalent expected returns

(b) Range of gold allocations and the allocation that delivers the maximum risk-adjusted return for each hypothetical portfolio mix*

Gold could significantly improve risk-adjusted portfolio returns across various levels of risk particularly when compared to non-gold portfolios of equivalent expected returns
(b) Range of gold allocations and the allocation that delivers the maximum risk-adjusted return for each hypothetical portfolio mix*
*Based on monthly RMB total returns from December 2006 to December 2021 ‘Highest risk-adjusted returns’ represents the highest risk-adjusted returns for a given portfolio. ‘Equivalent return %’ represents the portfolio anticipated volatility for a portfolio with the same expected return of an average hypothetical Chinese insurance fund. Sources: World Gold Council

Sources: World Gold Council; Disclaimer

*Based on monthly RMB total returns from December 2006 to December 2021
‘Highest risk-adjusted returns’ represents the highest risk-adjusted returns for a given portfolio.
‘Equivalent return %’ represents the portfolio anticipated volatility for a portfolio with the same expected return of an average hypothetical Chinese insurance fund.

 

Chart 14b: Gold could significantly improve risk-adjusted portfolio returns across various levels of risk particularly when compared to non-gold portfolios of equivalent expected returns

Gold could significantly improve risk-adjusted portfolio returns across various levels of risk particularly when compared to non-gold portfolios of equivalent expected returns

(b) Range of gold allocations and the allocation that delivers the maximum risk-adjusted return for each hypothetical portfolio mix*

Gold could significantly improve risk-adjusted portfolio returns across various levels of risk particularly when compared to non-gold portfolios of equivalent expected returns
(b) Range of gold allocations and the allocation that delivers the maximum risk-adjusted return for each hypothetical portfolio mix*
2021. ‘Highest risk-adjusted returns’ represents the highest risk-adjusted returns for a given portfolio. ‘Equivalent return %’ represents the portfolio anticipated volatility for a portfolio with the same expected return of a current hypothetical portfolio. ‘Current average portfolio is the current weightings resampled with no gold exposure. The gold bar on Chart 14b represents the optimal range of gold in the respective portfolio with the dot within the bar representing the weight with the highest risk-adjusted return. The lower dots represent the highest risk-adjusted adjusted return gold weight when reducing gold’s average return in half to 4.5% to highlight the importance of gold in a lower expected gold return environment. See Chart 13 (p9) for details on portfolio composition. Analysis based on New Frontier Advisors Resampled Efficiency. For more information see Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation, Oxford University Press, January 2008. Sources: World Gold Council

Sources: World Gold Council; Disclaimer

2021. ‘Highest risk-adjusted returns’ represents the highest risk-adjusted returns for a given portfolio. ‘Equivalent return %’ represents the portfolio anticipated volatility for a portfolio with the same expected return of a current hypothetical portfolio. ‘Current average portfolio is the current weightings resampled with no gold exposure. The gold bar on Chart 14b represents the optimal range of gold in the respective portfolio with the dot within the bar representing the weight with the highest risk-adjusted return. The lower dots represent the highest risk-adjusted adjusted return gold weight when reducing gold’s average return in half to 4.5% to highlight the importance of gold in a lower expected gold return environment. See Chart 13 (p9) for details on portfolio composition. Analysis based on New Frontier Advisors Resampled Efficiency. For more information see Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation, Oxford University Press, January 2008.

 

Chart 14b: Gold could significantly improve risk-adjusted portfolio returns across various levels of risk particularly when compared to non-gold portfolios of equivalent expected returns

Gold could significantly improve risk-adjusted portfolio returns across various levels of risk particularly when compared to non-gold portfolios of equivalent expected returns

(b) Range of gold allocations and the allocation that delivers the maximum risk-adjusted return for each hypothetical portfolio mix*

Gold could significantly improve risk-adjusted portfolio returns across various levels of risk particularly when compared to non-gold portfolios of equivalent expected returns
(b) Range of gold allocations and the allocation that delivers the maximum risk-adjusted return for each hypothetical portfolio mix*
2021. ‘Highest risk-adjusted returns’ represents the highest risk-adjusted returns for a given portfolio. ‘Equivalent return %’ represents the portfolio anticipated volatility for a portfolio with the same expected return of a current hypothetical portfolio. ‘Current average portfolio is the current weightings resampled with no gold exposure. The gold bar on Chart 14b represents the optimal range of gold in the respective portfolio with the dot within the bar representing the weight with the highest risk-adjusted return. The lower dots represent the highest risk-adjusted adjusted return gold weight when reducing gold’s average return in half to 4.5% to highlight the importance of gold in a lower expected gold return environment. See Chart 13 (p9) for details on portfolio composition. Analysis based on New Frontier Advisors Resampled Efficiency. For more information see Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation, Oxford University Press, January 2008. Sources: World Gold Council

Sources: World Gold Council; Disclaimer

2021. ‘Highest risk-adjusted returns’ represents the highest risk-adjusted returns for a given portfolio. ‘Equivalent return %’ represents the portfolio anticipated volatility for a portfolio with the same expected return of a current hypothetical portfolio. ‘Current average portfolio is the current weightings resampled with no gold exposure. The gold bar on Chart 14b represents the optimal range of gold in the respective portfolio with the dot within the bar representing the weight with the highest risk-adjusted return. The lower dots represent the highest risk-adjusted adjusted return gold weight when reducing gold’s average return in half to 4.5% to highlight the importance of gold in a lower expected gold return environment. See Chart 13 (p9) for details on portfolio composition. Analysis based on New Frontier Advisors Resampled Efficiency. For more information see Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation, Oxford University Press, January 2008.

Footnotes

  1. Re-sampled efficiency is a method developed by Richard and Robert Michaud and praised as a robust alternative to traditional mean-variance optimisation. See Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation, Oxford University Press, January 2008. 

Important disclaimers and disclosures [+]Important disclaimers and disclosures [-]