Should gold be included in institutional investment portfolios?

Emmrich, Ole and McGroarty, Frank (2013) Should gold be included in institutional investment portfolios? Applied Financial Economics


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After many years in the investment wilderness, gold investing has come back into fashion. We explore whether including gold does indeed improve institutional investment portfolios and which form of gold performs best. We do this by updating and extending Jaffe (1989), who found clear evidence in favour of including a small allocation to gold. We show that data from the 1980s and 1990s would have suggested avoiding gold investing completely. However, data from the 2000s once again provides evidence for including some gold in investment portfolios. Our analysis shows that the case for gold investing has become especially strong since the financial crisis in 2007. We attribute this shift primarily to changes in inflation expectations. We find that gold bullion almost always produces better portfolio risk-adjusted returns than alternative forms of gold investment.

Item Type: Article
ISSNs: 0960-3107 (print)
Organisations: Centre for Digital, Interactive & Data Driven Marketing
ePrint ID: 343124
Date :
Date Event
25 August 2013Accepted/In Press
Date Deposited: 24 Sep 2012 15:30
Last Modified: 17 Apr 2017 16:35
Further Information:Google Scholar

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