Gold's key attributes – 2. Diversification

31 March, 2023

Diversification that works

Effective diversifiers are sometimes hard to find. Many assets become increasingly correlated as market uncertainty rises and volatility is more pronounced, driven in part by risk-on/risk-off investment decisions. As a result, many so-called diversifiers fail to protect portfolios when investors need them most.

Gold is different in that its negative correlation to equities and other risk assets increases as these assets sell off (Chart 6). The GFC is a case in point. Equities and other risk assets tumbled in value, as did hedge funds, real estate, and most commodities, which were long deemed portfolio diversifiers. Gold, by contrast, held its own and increased in price, rising 21% in US dollars from December 2007 to February 2009. And in the most recent sharp equity market pullbacks of 2020 and 2022, gold’s performance remained positive.

 

Chart 6: Gold becomes more negatively correlated with stocks in extreme market selloffs

Gold becomes more negatively correlated with stocks in extreme market selloffs

Correlation of US stocks versus gold and US stocks versus US treasuries in various environments of US stock market performance since 1994*

Gold becomes more negatively correlated with stocks in extreme market selloffs
Correlation of US stocks versus gold and US stocks versus US treasuries in various environments of US stock market performance since 1994*
Sources: Bloomberg, ICE Benchmark Administration, World Gold Council; Disclaimer *As of 31 December 2022. Correlations based on weekly returns in US dollars for ‘US equities’: S&P 500 Index; ‘US treasuries’: Bloomberg Barclays US Treasury Index and ‘gold’ LBMA Gold Price PM since January 1994 due to US treasury availability of data. The top bar corresponds to the respective correlations when the S&P 500 weekly returns rise by more than two standard deviations. The middle bar corresponds to the respective correlations when the S&P 500 weekly returns are between two standard deviations (or ‘σ’), while the bottom bar corresponds to the respective correlation when the S&P 500 weekly returns fall by more than two standard deviations. The standard deviation for the S&P 500 is calculated using weekly returns over the full period

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

*As of 31 December 2022. Correlations based on weekly returns in US dollars for ‘US equities’: S&P 500 Index; ‘US treasuries’: Bloomberg Barclays US Treasury Index and ‘gold’ LBMA Gold Price PM since January 1994 due to US treasury availability of data. The top bar corresponds to the respective correlations when the S&P 500 weekly returns rise by more than two standard deviations. The middle bar corresponds to the respective correlations when the S&P 500 weekly returns are between two standard deviations (or ‘σ’), while the bottom bar corresponds to the respective correlation when the S&P 500 weekly returns fall by more than two standard deviations. The standard deviation for the S&P 500 is calculated using weekly returns over the full period.

 

Chart 6: Gold becomes more negatively correlated with stocks in extreme market selloffs

Gold becomes more negatively correlated with stocks in extreme market selloffs

Correlation of global stocks versus gold and global stocks versus UK Gilts in various environments of global stock market performance since 1994*

Gold becomes more negatively correlated with stocks in extreme market selloffs
Correlation of US stocks versus gold and US stocks versus US treasuries in various environments of US stock market performance since 1994*
Sources: Bloomberg, ICE Benchmark Administration, World Gold Council; Disclaimer *As of 31 December 2022. Correlations based on weekly returns in US dollars for ‘US equities’: S&P 500 Index; ‘US treasuries’: Bloomberg Barclays US Treasury Index and ‘gold’ LBMA Gold Price PM since January 1994 due to US treasury availability of data. The top bar corresponds to the respective correlations when the S&P 500 weekly returns rise by more than two standard deviations. The middle bar corresponds to the respective correlations when the S&P 500 weekly returns are between two standard deviations (or ‘σ’), while the bottom bar corresponds to the respective correlation when the S&P 500 weekly returns fall by more than two standard deviations. The standard deviation for the S&P 500 is calculated using weekly returns over the full period

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

*As of 31 December 2022. Correlations based on weekly returns in GBP for FTSE Developed Total Return Index; ICE BofA UK Glit Index and LBMA Gold Price PM since January 1994 due to data availability. The top bar corresponds to the respective correlations when the equity weekly returns rise by more than two standard deviations. The middle bar corresponds to the respective correlations when the equity weekly returns are between two standard deviations (or ‘σ’), while the bottom bar corresponds to the respective correlation when the equity weekly returns fall by more than two standard deviations. The standard deviation for the FTSE Developed Total Return Index is calculated using weekly returns over the full period.

 

Chart 6: Gold becomes more negatively correlated with stocks in extreme market selloffs

Gold becomes more negatively correlated with stocks in extreme market selloffs

Correlation of global stocks versus gold and global stocks versus German Bunds in various environments of global stock market performance since 1994*

Gold becomes more negatively correlated with stocks in extreme market selloffs
Correlation of US stocks versus gold and US stocks versus US treasuries in various environments of US stock market performance since 1994*
Sources: Bloomberg, ICE Benchmark Administration, World Gold Council; Disclaimer *As of 31 December 2022. Correlations based on weekly returns in US dollars for ‘US equities’: S&P 500 Index; ‘US treasuries’: Bloomberg Barclays US Treasury Index and ‘gold’ LBMA Gold Price PM since January 1994 due to US treasury availability of data. The top bar corresponds to the respective correlations when the S&P 500 weekly returns rise by more than two standard deviations. The middle bar corresponds to the respective correlations when the S&P 500 weekly returns are between two standard deviations (or ‘σ’), while the bottom bar corresponds to the respective correlation when the S&P 500 weekly returns fall by more than two standard deviations. The standard deviation for the S&P 500 is calculated using weekly returns over the full period

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

*As of 31 December 2022. Correlations based on weekly returns in EUR for FTSE Developed Total Return Index; ICE BofA German Government Index and LBMA Gold Price PM since January 1994 due to data availability. The top bar corresponds to the respective correlations when the equity weekly returns rise by more than two standard deviations. The middle bar corresponds to the respective correlations when the equity weekly returns are between two standard deviations (or ‘σ’), while the bottom bar corresponds to the respective correlation when the equity weekly returns fall by more than two standard deviations. The standard deviation for the FTSE Developed Total Return Index is calculated using weekly returns over the full period.

 

Chart 6: Gold becomes more negatively correlated with stocks in extreme market selloffs

Gold becomes more negatively correlated with stocks in extreme market selloffs

JPY: correlation of Nikkei 225 versus gold and Nikkei 225 versus Japanese Government Bond in various environments of Nikkei 225 performance since 2000

Gold becomes more negatively correlated with stocks in extreme market selloffs
Correlation of US stocks versus gold and US stocks versus US treasuries in various environments of US stock market performance since 1994*
Sources: Bloomberg, ICE Benchmark Administration, World Gold Council; Disclaimer *As of 31 December 2022. Correlations based on weekly returns in US dollars for ‘US equities’: S&P 500 Index; ‘US treasuries’: Bloomberg Barclays US Treasury Index and ‘gold’ LBMA Gold Price PM since January 1994 due to US treasury availability of data. The top bar corresponds to the respective correlations when the S&P 500 weekly returns rise by more than two standard deviations. The middle bar corresponds to the respective correlations when the S&P 500 weekly returns are between two standard deviations (or ‘σ’), while the bottom bar corresponds to the respective correlation when the S&P 500 weekly returns fall by more than two standard deviations. The standard deviation for the S&P 500 is calculated using weekly returns over the full period

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

*As of 31 December 2022. Correlations based on weekly returns in yen for Nikkei 225 Index; "JGB" :BPI JGB Index and ‘gold’ LBMA Gold Price PM since January 2000 due to JGB availability of data. The top bar corresponds to the respective correlations when the Nikkei 225 weekly returns rise by more than two standard deviations. The middle bar corresponds to the respective correlations when the Nikkei 225 weekly returns are between two standard deviations (or ‘σ’), while the bottom bar corresponds to the respective correlation when the Nikkei 225 weekly returns fall by more than two standard deviations. The standard deviation for the Nikkei 225 is calculated using weekly returns over the full period.

 

Chart 6: Gold becomes more negatively correlated with stocks in extreme market selloffs

Gold becomes more negatively correlated with stocks in extreme market selloffs

AUD: correlation of ASX 200 versus gold and ASX 200 versus Australian Bond in various environments of ASX 200 performance since 2000

Gold becomes more negatively correlated with stocks in extreme market selloffs
Correlation of US stocks versus gold and US stocks versus US treasuries in various environments of US stock market performance since 1994*
Sources: Bloomberg, ICE Benchmark Administration, World Gold Council; Disclaimer *As of 31 December 2022. Correlations based on weekly returns in US dollars for ‘US equities’: S&P 500 Index; ‘US treasuries’: Bloomberg Barclays US Treasury Index and ‘gold’ LBMA Gold Price PM since January 1994 due to US treasury availability of data. The top bar corresponds to the respective correlations when the S&P 500 weekly returns rise by more than two standard deviations. The middle bar corresponds to the respective correlations when the S&P 500 weekly returns are between two standard deviations (or ‘σ’), while the bottom bar corresponds to the respective correlation when the S&P 500 weekly returns fall by more than two standard deviations. The standard deviation for the S&P 500 is calculated using weekly returns over the full period

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

*As of 31 December 2022. Correlations based on weekly returns in Australian dollars for ‘ASX’: ASX 200 Index; ‘AusBond’: Bloomberg AusBond Composite Index and ‘gold’ LBMA Gold Price PM since January 2000 due to data availability. The top bar corresponds to the respective correlations when the ASX 200 weekly returns rise by more than two standard deviations. The middle bar corresponds to the respective correlations when the ASX 200 weekly returns are between two standard deviations (or ‘σ’), while the bottom bar corresponds to the respective correlation when the ASX 200 weekly returns fall by more than two standard deviations. The standard deviation for the ASX 200 is calculated using weekly returns over the full period.

 

Chart 6: Gold becomes more negatively correlated with stocks in extreme market selloffs

Gold becomes more negatively correlated with stocks in extreme market selloffs

CNY: correlation of CSI 300 versus gold and CSI 300 versus Chinese Bond in various environments of CSI 300 performance since 2000

Gold becomes more negatively correlated with stocks in extreme market selloffs
Correlation of US stocks versus gold and US stocks versus US treasuries in various environments of US stock market performance since 1994*
Sources: Bloomberg, ICE Benchmark Administration, World Gold Council; Disclaimer *As of 31 December 2022. Correlations based on weekly returns in US dollars for ‘US equities’: S&P 500 Index; ‘US treasuries’: Bloomberg Barclays US Treasury Index and ‘gold’ LBMA Gold Price PM since January 1994 due to US treasury availability of data. The top bar corresponds to the respective correlations when the S&P 500 weekly returns rise by more than two standard deviations. The middle bar corresponds to the respective correlations when the S&P 500 weekly returns are between two standard deviations (or ‘σ’), while the bottom bar corresponds to the respective correlation when the S&P 500 weekly returns fall by more than two standard deviations. The standard deviation for the S&P 500 is calculated using weekly returns over the full period

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

As of 31 December 2022. Correlations computed using weekly returns in RMB based on the CSI China Agg Bond Index and Au9999 since December 2002 due to availability of data. The top bar corresponds to the correlation conditional on the CSI300 Stock Index weekly return rising by more than one standard deviation (or ‘σ’) over the full period. The middle bar corresponds to the correlation conditional on CSI300 Stock Index weekly return moving between +1 σ and -1 σ, while the bottom bar corresponds to the CSI300 Stock Index weekly return decreasing by more than one standard deviation. The standard deviation is based on the same weekly returns over the full period.

This robust performance is not surprising. With few exceptions, gold has been particularly effective during times of systemic risk, delivering positive returns and reducing overall portfolio losses (Chart 7).

 

Chart 7:  The gold price tends to increase in periods of systemic risk

The gold price tends to increase in periods of systemic risk

Stocks, bonds and gold during various crises

The gold price tends to increase in periods of systemic risk
Global stocks, US treasuries and gold during various crises
Sources: Bloomberg, ICE Benchmark Administration, World Gold Council; Disclaimer *As of 31 December 2022. Return computations in US dollars for ‘Global equities’: FTSE All World Index; ‘US treasuries’: Bloomberg Barclays US Treasury Index; ‘gold’: LBMA Gold Price PM. Dates used: Black Monday: 9/1987 - 11/1987; LTCM: 8/1998; Dot-com: 3/2000 - 3/2001; September 11: 9/2001; 2002 recession: 3/2002 - 7/2002; global financial crisis (GFC): 10/2007 - 2/2009; Sovereign debt crisis I: 1/2010 - 6/2010; Sovereign debt crisis II: 2/2011-10/2011; Brexit: 23/6/2016 - 27/6/ 2016; 2018 pullback: 10/2018 - 12/2018; 2020 pullback: 31/1/2020 - 31/3/2020; 2022 pullback: 1/2022 – 12/2022

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

*As of 31 December 2022. Return computations in US dollars for ‘Global equities’: FTSE All World Index; ‘US treasuries’: Bloomberg Barclays US Treasury Index; ‘gold’: LBMA Gold Price PM. Dates used: Black Monday: 9/1987 - 11/1987; LTCM: 8/1998; Dot-com: 3/2000 - 3/2001; September 11: 9/2001; 2002 recession: 3/2002 - 7/2002; global financial crisis (GFC): 10/2007 - 2/2009; Sovereign debt crisis I: 1/2010 - 6/2010; Sovereign debt crisis II: 2/2011-10/2011; Brexit: 23/6/2016 - 27/6/ 2016; 2018 pullback: 10/2018 - 12/2018; 2020 pullback: 31/1/2020 - 31/3/2020; 2022 pullback: 1/2022 – 12/2022

 

Chart 7:  The gold price tends to increase in periods of systemic risk

The gold price tends to increase in periods of systemic risk

Stocks, bonds and gold during various crises

The gold price tends to increase in periods of systemic risk
Global stocks, US treasuries and gold during various crises
Sources: Bloomberg, ICE Benchmark Administration, World Gold Council; Disclaimer *As of 31 December 2022. Return computations in US dollars for ‘Global equities’: FTSE All World Index; ‘US treasuries’: Bloomberg Barclays US Treasury Index; ‘gold’: LBMA Gold Price PM. Dates used: Black Monday: 9/1987 - 11/1987; LTCM: 8/1998; Dot-com: 3/2000 - 3/2001; September 11: 9/2001; 2002 recession: 3/2002 - 7/2002; global financial crisis (GFC): 10/2007 - 2/2009; Sovereign debt crisis I: 1/2010 - 6/2010; Sovereign debt crisis II: 2/2011-10/2011; Brexit: 23/6/2016 - 27/6/ 2016; 2018 pullback: 10/2018 - 12/2018; 2020 pullback: 31/1/2020 - 31/3/2020; 2022 pullback: 1/2022 – 12/2022

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

*As of 31 December 2022. Return computations in GBP for ‘Global equities’: FTSE All World Index; ‘UK Gilts’: ICE BofA UK Gilts Index; ‘gold’: LBMA Gold Price PM. Dates used: Black Monday: 9/1987 - 11/1987; LTCM: 8/1998; Dot-com: 3/2000 - 3/2001; September 11: 9/2001; 2002 recession: 3/2002 - 7/2002; global financial crisis (GFC): 10/2007 - 2/2009; Sovereign debt crisis I: 1/2010 - 6/2010; Sovereign debt crisis II: 2/2011-10/2011; Brexit: 23/6/2016 - 27/6/ 2016; 2018 pullback: 10/2018 - 12/2018; 2020 pullback: 31/1/2020 - 31/3/2020; 2022 pullback: 1/2022 – 12/2022

 

Chart 7:  The gold price tends to increase in periods of systemic risk

The gold price tends to increase in periods of systemic risk

Stocks, bonds and gold during various crises

The gold price tends to increase in periods of systemic risk
Global stocks, US treasuries and gold during various crises
Sources: Bloomberg, ICE Benchmark Administration, World Gold Council; Disclaimer *As of 31 December 2022. Return computations in US dollars for ‘Global equities’: FTSE All World Index; ‘US treasuries’: Bloomberg Barclays US Treasury Index; ‘gold’: LBMA Gold Price PM. Dates used: Black Monday: 9/1987 - 11/1987; LTCM: 8/1998; Dot-com: 3/2000 - 3/2001; September 11: 9/2001; 2002 recession: 3/2002 - 7/2002; global financial crisis (GFC): 10/2007 - 2/2009; Sovereign debt crisis I: 1/2010 - 6/2010; Sovereign debt crisis II: 2/2011-10/2011; Brexit: 23/6/2016 - 27/6/ 2016; 2018 pullback: 10/2018 - 12/2018; 2020 pullback: 31/1/2020 - 31/3/2020; 2022 pullback: 1/2022 – 12/2022

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

*As of 31 December 2022. Return computations in EUR for ‘Global equities’: FTSE All World Index; ‘Euro Treasuries: Bloomberg EuroAgg Treasury Total Return Index; ‘gold’: LBMA Gold Price PM. Dates used: Black Monday: 9/1987 - 11/1987; LTCM: 8/1998; Dot-com: 3/2000 - 3/2001; September 11: 9/2001; 2002 recession: 3/2002 - 7/2002; global financial crisis (GFC): 10/2007 - 2/2009; Sovereign debt crisis I: 1/2010 - 6/2010; Sovereign debt crisis II: 2/2011-10/2011; Brexit: 23/6/2016 - 27/6/ 2016; 2018 pullback: 10/2018 - 12/2018; 2020 pullback: 31/1/2020 - 31/3/2020; 2022 pullback: 1/2022 – 12/2022

 

Chart 7:  The gold price tends to increase in periods of systemic risk

The gold price tends to increase in periods of systemic risk

Stocks, bonds and gold during various crises

The gold price tends to increase in periods of systemic risk
Global stocks, US treasuries and gold during various crises
Sources: Bloomberg, ICE Benchmark Administration, World Gold Council; Disclaimer *As of 31 December 2022. Return computations in US dollars for ‘Global equities’: FTSE All World Index; ‘US treasuries’: Bloomberg Barclays US Treasury Index; ‘gold’: LBMA Gold Price PM. Dates used: Black Monday: 9/1987 - 11/1987; LTCM: 8/1998; Dot-com: 3/2000 - 3/2001; September 11: 9/2001; 2002 recession: 3/2002 - 7/2002; global financial crisis (GFC): 10/2007 - 2/2009; Sovereign debt crisis I: 1/2010 - 6/2010; Sovereign debt crisis II: 2/2011-10/2011; Brexit: 23/6/2016 - 27/6/ 2016; 2018 pullback: 10/2018 - 12/2018; 2020 pullback: 31/1/2020 - 31/3/2020; 2022 pullback: 1/2022 – 12/2022

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

*As of 31 December 2022. Return computations in Yen for ‘Global equities’: FTSE All World Index; ‘Japanese government bonds’: BPI JGB Index; ‘Gold’: LBMA Gold Price PM. Dates used: Dot-com: 3/2000 - 3/2001; September 11: 9/2001; 2002 recession: 3/2002 - 7/2002; global financial crisis (GFC): 10/2007 - 2/2009; Sovereign debt crisis I: 1/2010 - 6/2010; Sovereign debt crisis II: 2/2011-10/2011; Brexit: 23/6/2016 - 27/6/ 2016; 2018 pullback: 10/2018 - 12/2018; 2020 pullback: 31/1/2020 - 31/3/2020; 2022 pullback: 1/2022 – 12/2022

 

Chart 7:  The gold price tends to increase in periods of systemic risk

The gold price tends to increase in periods of systemic risk

Stocks, bonds and gold during various crises

The gold price tends to increase in periods of systemic risk
Global stocks, US treasuries and gold during various crises
Sources: Bloomberg, ICE Benchmark Administration, World Gold Council; Disclaimer *As of 31 December 2022. Return computations in US dollars for ‘Global equities’: FTSE All World Index; ‘US treasuries’: Bloomberg Barclays US Treasury Index; ‘gold’: LBMA Gold Price PM. Dates used: Black Monday: 9/1987 - 11/1987; LTCM: 8/1998; Dot-com: 3/2000 - 3/2001; September 11: 9/2001; 2002 recession: 3/2002 - 7/2002; global financial crisis (GFC): 10/2007 - 2/2009; Sovereign debt crisis I: 1/2010 - 6/2010; Sovereign debt crisis II: 2/2011-10/2011; Brexit: 23/6/2016 - 27/6/ 2016; 2018 pullback: 10/2018 - 12/2018; 2020 pullback: 31/1/2020 - 31/3/2020; 2022 pullback: 1/2022 – 12/2022

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

*As of 31 December 2022. Return computations in Australian dollars for ASX200 Index; Bloomberg Barclays AusBond Composite Index and LBMA Gold Price PM. Dates used: Dot-com: 3/2000 - 3/2001; September 11: 9/2001; 2002 recession: 3/2002 - 7/2002; global financial crisis (GFC): 10/2007 - 2/2009; Sovereign debt crisis I: 1/2010 - 6/2010; Sovereign debt crisis II: 2/2011-10/2011; Brexit: 23/6/2016 - 27/6/ 2016; 2018 pullback: 10/2018 - 12/2018; 2020 pullback: 31/1/2020 - 31/3/2020; 2022 pullback: 1/2022 – 12/2022

 

Chart 7:  The gold price tends to increase in periods of systemic risk

The gold price tends to increase in periods of systemic risk

Global stocks, US treasuries and gold during various crises

The gold price tends to increase in periods of systemic risk
Global stocks, US treasuries and gold during various crises
Sources: Bloomberg, ICE Benchmark Administration, World Gold Council; Disclaimer *As of 31 December 2022. Return computations in US dollars for ‘Global equities’: FTSE All World Index; ‘US treasuries’: Bloomberg Barclays US Treasury Index; ‘gold’: LBMA Gold Price PM. Dates used: Black Monday: 9/1987 - 11/1987; LTCM: 8/1998; Dot-com: 3/2000 - 3/2001; September 11: 9/2001; 2002 recession: 3/2002 - 7/2002; global financial crisis (GFC): 10/2007 - 2/2009; Sovereign debt crisis I: 1/2010 - 6/2010; Sovereign debt crisis II: 2/2011-10/2011; Brexit: 23/6/2016 - 27/6/ 2016; 2018 pullback: 10/2018 - 12/2018; 2020 pullback: 31/1/2020 - 31/3/2020; 2022 pullback: 1/2022 – 12/2022

Sources: Bloomberg, China Securities Co., Shanghai Gold Exchange, Shanghai Stock Exchange, World Gold Council; Disclaimer

*As of 31 December 2022. Return computations in RMB for CSI300 Stock Index; CSI China Aggregate Bond Index and Au9999. Dates used: SARS: 11/2002–7/2003; Policy adjustment pullback: 4/2004–12/2004; Great Recession: 10/2007–2/2009; Sovereign debt crisis I: 1/2010–6/2010; Sovereign debt crisis II: 2/2011–10/2011; 2015 deleverage: 6/2015–9/2015; 2018 pullback: 10/2018-12/2018; 2020 pullback: 1/2020-3/2020; 2022 pullback: 1/2022 – 12/2022

But gold’s correlation does not just work for investors during periods of turmoil. It can also deliver positive correlation with equities and other risk assets in positive markets, making gold a well-rounded efficient hedge (Chart 8).

This benefit arises from gold’s dual nature: as both an investment and a consumer good. As such, the long-term performance of gold is supported by income growth. Our analysis bears this out, showing that when equities rally strongly, their correlation to gold can increase. This is driven by a wealth-effect supporting gold consumer demand, as well as demand from investors seeking protection against higher inflation expectations.

 

Chart 8: Gold performs well in the recovery periods following a systemic selloff

Gold performs well in the recovery periods following a systemic selloff

Performance of gold and treasuries from the market trough (bottom) to the market recovery point (stock market levels before the systemic selloff)

Gold performs well in the recovery periods following a systemic selloff
Performance of gold and treasuries from the market trough (bottom) to the market recovery point (stock market levels before the systemic selloff)
Sources: Bloomberg, ICE Benchmark Administration, World Gold Council; Disclaimer * As of 31 December 2022. Return computations in US dollars for ‘US treasuries’: Bloomberg Barclays US Treasury Index; ‘gold’: LBMA Gold Price PM. Dates used are based off the end dates of Chart 7. Post Black Monday: 11/1987 - 6/1989; Post LTCM: 8/1998 - 11/1998; Post dot-com: 3/2001 - 5/2007; Post 9/11: 9/2001-11/2001; Post 2002 recession: 7/2002 - 11/2004; Post GFC: 2/2009 - 1/2013; Post sovereign debt crisis I: 6/2010 - 10/2010; Post sovereign debt crisis II: 10/2011 - 2/2012; Post Brexit: 6/2016 - 7/2016; Post 2018 pullback: 12/2018 - 6/2019; Post 2020 pullback: 3/2020 - 7/2020. ** The bar is truncated for the Dot-com bubble recovery due to its extreme differential between others and visibility

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

* As of 31 December 2022. Return computations in US dollars for ‘US treasuries’: Bloomberg Barclays US Treasury Index; ‘gold’: LBMA Gold Price PM. Dates used are based off the end dates of Chart 7. Post Black Monday: 11/1987 - 6/1989; Post LTCM: 8/1998 - 11/1998; Post dot-com: 3/2001 - 5/2007; Post 9/11: 9/2001-11/2001; Post 2002 recession: 7/2002 - 11/2004; Post GFC: 2/2009 - 1/2013; Post sovereign debt crisis I: 6/2010 - 10/2010; Post sovereign debt crisis II: 10/2011 - 2/2012; Post Brexit: 6/2016 - 7/2016; Post 2018 pullback: 12/2018 - 6/2019; Post 2020 pullback: 3/2020 - 7/2020.
** The bar is truncated for the Dot-com bubble recovery due to its extreme differential between others and visibility

 

Chart 8: Gold performs well in the recovery periods following a systemic selloff

Gold performs well in the recovery periods following a systemic selloff

Performance of gold and treasuries from the market trough (bottom) to the market recovery point (stock market levels before the systemic selloff)

Gold performs well in the recovery periods following a systemic selloff
Performance of gold and treasuries from the market trough (bottom) to the market recovery point (stock market levels before the systemic selloff)
Sources: Bloomberg, ICE Benchmark Administration, World Gold Council; Disclaimer * As of 31 December 2022. Return computations in US dollars for ‘US treasuries’: Bloomberg Barclays US Treasury Index; ‘gold’: LBMA Gold Price PM. Dates used are based off the end dates of Chart 7. Post Black Monday: 11/1987 - 6/1989; Post LTCM: 8/1998 - 11/1998; Post dot-com: 3/2001 - 5/2007; Post 9/11: 9/2001-11/2001; Post 2002 recession: 7/2002 - 11/2004; Post GFC: 2/2009 - 1/2013; Post sovereign debt crisis I: 6/2010 - 10/2010; Post sovereign debt crisis II: 10/2011 - 2/2012; Post Brexit: 6/2016 - 7/2016; Post 2018 pullback: 12/2018 - 6/2019; Post 2020 pullback: 3/2020 - 7/2020. ** The bar is truncated for the Dot-com bubble recovery due to its extreme differential between others and visibility

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

* As of 31 December 2022. Return computations in GBP for ‘UK Gilts’: ICE BofA UK Gilts Index; ‘gold’: LBMA Gold Price PM. Dates used are based off the end dates of Chart 7. Post Black Monday: 11/1987 - 6/1989; Post LTCM: 8/1998 - 11/1998; Post dot-com: 3/2001 - 5/2007; Post 9/11: 9/2001-11/2001; Post 2002 recession: 7/2002 - 11/2004; Post GFC: 2/2009 - 1/2013; Post sovereign debt crisis I: 6/2010 - 10/2010; Post sovereign debt crisis II: 10/2011 - 2/2012; Post Brexit: 6/2016 - 7/2016; Post 2018 pullback: 12/2018 - 6/2019; Post 2020 pullback: 3/2020 - 7/2020.

 

Chart 8: Gold performs well in the recovery periods following a systemic selloff

Gold performs well in the recovery periods following a systemic selloff

Performance of gold and treasuries from the market trough (bottom) to the market recovery point (stock market levels before the systemic selloff)

Gold performs well in the recovery periods following a systemic selloff
Performance of gold and treasuries from the market trough (bottom) to the market recovery point (stock market levels before the systemic selloff)
Sources: Bloomberg, ICE Benchmark Administration, World Gold Council; Disclaimer * As of 31 December 2022. Return computations in US dollars for ‘US treasuries’: Bloomberg Barclays US Treasury Index; ‘gold’: LBMA Gold Price PM. Dates used are based off the end dates of Chart 7. Post Black Monday: 11/1987 - 6/1989; Post LTCM: 8/1998 - 11/1998; Post dot-com: 3/2001 - 5/2007; Post 9/11: 9/2001-11/2001; Post 2002 recession: 7/2002 - 11/2004; Post GFC: 2/2009 - 1/2013; Post sovereign debt crisis I: 6/2010 - 10/2010; Post sovereign debt crisis II: 10/2011 - 2/2012; Post Brexit: 6/2016 - 7/2016; Post 2018 pullback: 12/2018 - 6/2019; Post 2020 pullback: 3/2020 - 7/2020. ** The bar is truncated for the Dot-com bubble recovery due to its extreme differential between others and visibility

* As of 31 December 2022. Return computations in EUR for ‘Euro Treasuries: Bloomberg EuroAgg Treasury Total Return Index; ‘gold’: LBMA Gold Price PM. Dates used are based off the end dates of Chart 7. Post Black Monday: 11/1987 - 6/1989; Post LTCM: 8/1998 - 11/1998; Post dot-com: 3/2001 - 5/2007; Post 9/11: 9/2001-11/2001; Post 2002 recession: 7/2002 - 11/2004; Post GFC: 2/2009 - 1/2013; Post sovereign debt crisis I: 6/2010 - 10/2010; Post sovereign debt crisis II: 10/2011 - 2/2012; Post Brexit: 6/2016 - 7/2016; Post 2018 pullback: 12/2018 - 6/2019; Post 2020 pullback: 3/2020 - 7/2020.

 

Chart 8: Gold performs well in the recovery periods following a systemic selloff

Gold performs well in the recovery periods following a systemic selloff

Performance of gold and treasuries from the market trough (bottom) to the market recovery point (stock market levels before the systemic selloff)

Gold performs well in the recovery periods following a systemic selloff
Performance of gold and treasuries from the market trough (bottom) to the market recovery point (stock market levels before the systemic selloff)
Sources: Bloomberg, ICE Benchmark Administration, World Gold Council; Disclaimer * As of 31 December 2022. Return computations in US dollars for ‘US treasuries’: Bloomberg Barclays US Treasury Index; ‘gold’: LBMA Gold Price PM. Dates used are based off the end dates of Chart 7. Post Black Monday: 11/1987 - 6/1989; Post LTCM: 8/1998 - 11/1998; Post dot-com: 3/2001 - 5/2007; Post 9/11: 9/2001-11/2001; Post 2002 recession: 7/2002 - 11/2004; Post GFC: 2/2009 - 1/2013; Post sovereign debt crisis I: 6/2010 - 10/2010; Post sovereign debt crisis II: 10/2011 - 2/2012; Post Brexit: 6/2016 - 7/2016; Post 2018 pullback: 12/2018 - 6/2019; Post 2020 pullback: 3/2020 - 7/2020. ** The bar is truncated for the Dot-com bubble recovery due to its extreme differential between others and visibility

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

* As of 31 December 2022. Return computations in US dollars for ‘US treasuries’: Bloomberg Barclays US Treasury Index; ‘gold’: LBMA Gold Price PM. Dates used are based off the end dates of Chart 7. Post Black Monday: 11/1987 - 6/1989; Post LTCM: 8/1998 - 11/1998; Post dot-com: 3/2001 - 5/2007; Post 9/11: 9/2001-11/2001; Post 2002 recession: 7/2002 - 11/2004; Post GFC: 2/2009 - 1/2013; Post sovereign debt crisis I: 6/2010 - 10/2010; Post sovereign debt crisis II: 10/2011 - 2/2012; Post Brexit: 6/2016 - 7/2016; Post 2018 pullback: 12/2018 - 6/2019; Post 2020 pullback: 3/2020 - 7/2020.

** The bar is truncated for the Dot-com bubble recovery due to its extreme differential between others and visibility

 

Chart 8: Gold performs well in the recovery periods following a systemic selloff

Gold performs well in the recovery periods following a systemic selloff

Performance of gold and treasuries from the market trough (bottom) to the market recovery point (stock market levels before the systemic selloff)

Gold performs well in the recovery periods following a systemic selloff
Performance of gold and treasuries from the market trough (bottom) to the market recovery point (stock market levels before the systemic selloff)
Sources: Bloomberg, ICE Benchmark Administration, World Gold Council; Disclaimer * As of 31 December 2022. Return computations in US dollars for ‘US treasuries’: Bloomberg Barclays US Treasury Index; ‘gold’: LBMA Gold Price PM. Dates used are based off the end dates of Chart 7. Post Black Monday: 11/1987 - 6/1989; Post LTCM: 8/1998 - 11/1998; Post dot-com: 3/2001 - 5/2007; Post 9/11: 9/2001-11/2001; Post 2002 recession: 7/2002 - 11/2004; Post GFC: 2/2009 - 1/2013; Post sovereign debt crisis I: 6/2010 - 10/2010; Post sovereign debt crisis II: 10/2011 - 2/2012; Post Brexit: 6/2016 - 7/2016; Post 2018 pullback: 12/2018 - 6/2019; Post 2020 pullback: 3/2020 - 7/2020. ** The bar is truncated for the Dot-com bubble recovery due to its extreme differential between others and visibility

* As of 31 December 2022. Return computations in US dollars for ‘US treasuries’: Bloomberg Barclays US Treasury Index; ‘gold’: LBMA Gold Price PM. Dates used are based off the end dates of Chart 7. Post Black Monday: 11/1987 - 6/1989; Post LTCM: 8/1998 - 11/1998; Post dot-com: 3/2001 - 5/2007; Post 9/11: 9/2001-11/2001; Post 2002 recession: 7/2002 - 11/2004; Post GFC: 2/2009 - 1/2013; Post sovereign debt crisis I: 6/2010 - 10/2010; Post sovereign debt crisis II: 10/2011 - 2/2012; Post Brexit: 6/2016 - 7/2016; Post 2018 pullback: 12/2018 - 6/2019; Post 2020 pullback: 3/2020 - 7/2020.

 

Chart 8: Gold performs well in the recovery periods following a systemic selloff

Gold performs well in the recovery periods following a systemic selloff

Performance of gold and treasuries from the market trough (bottom) to the market recovery point (stock market levels before the systemic selloff)

Gold performs well in the recovery periods following a systemic selloff
Performance of gold and treasuries from the market trough (bottom) to the market recovery point (stock market levels before the systemic selloff)
Sources: Bloomberg, ICE Benchmark Administration, World Gold Council; Disclaimer * As of 31 December 2022. Return computations in US dollars for ‘US treasuries’: Bloomberg Barclays US Treasury Index; ‘gold’: LBMA Gold Price PM. Dates used are based off the end dates of Chart 7. Post Black Monday: 11/1987 - 6/1989; Post LTCM: 8/1998 - 11/1998; Post dot-com: 3/2001 - 5/2007; Post 9/11: 9/2001-11/2001; Post 2002 recession: 7/2002 - 11/2004; Post GFC: 2/2009 - 1/2013; Post sovereign debt crisis I: 6/2010 - 10/2010; Post sovereign debt crisis II: 10/2011 - 2/2012; Post Brexit: 6/2016 - 7/2016; Post 2018 pullback: 12/2018 - 6/2019; Post 2020 pullback: 3/2020 - 7/2020. ** The bar is truncated for the Dot-com bubble recovery due to its extreme differential between others and visibility

Sources: Bloomberg, China Securities Co., Shanghai Gold Exchange, Shanghai Stock Exchange, World Gold Council; Disclaimer

*As of 31 December 2022. Return computations in RMB for CSI300 Stock Index; CSI China Aggregate Bond Index and Au9999. Dates used: Post SARS: 2003/7-2004/3; Post Policy adjustment led pullback: 2004/12-2007/10; Post Great Recession: 2/2009 – 1/2013; Post Sovereign debt crisis I: 6/2010 – 10/2010; Post Sovereign debt crisis II: 10/2011 – 2/2012; Post 2015 deleverage: 2015/9-2015/12; Post 2018 pullback: 12/2018 – 6/2019; Post 2020 pullback: 3/2020 – 7/2020

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