The University of Southampton
University of Southampton Institutional Repository

Should gold be included in institutional investment portfolios?

Should gold be included in institutional investment portfolios?
Should gold be included in institutional investment portfolios?
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.
0960-3107
Emmrich, Ole
157bb2ae-690d-4035-9aaa-db35e2cc409c
McGroarty, Frank
693a5396-8e01-4d68-8973-d74184c03072
Emmrich, Ole
157bb2ae-690d-4035-9aaa-db35e2cc409c
McGroarty, Frank
693a5396-8e01-4d68-8973-d74184c03072

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

Record type: Article

Abstract

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.

This record has no associated files available for download.

More information

Accepted/In Press date: 25 August 2013
Organisations: Centre for Digital, Interactive & Data Driven Marketing

Identifiers

Local EPrints ID: 343124
URI: http://eprints.soton.ac.uk/id/eprint/343124
ISSN: 0960-3107
PURE UUID: 9771bda0-e6af-4d40-ab42-ff70b1c8916e
ORCID for Frank McGroarty: ORCID iD orcid.org/0000-0003-2962-0927

Catalogue record

Date deposited: 24 Sep 2012 15:30
Last modified: 11 Dec 2021 03:53

Export record

Contributors

Author: Ole Emmrich
Author: Frank McGroarty ORCID iD

Download statistics

Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.

View more statistics

Atom RSS 1.0 RSS 2.0

Contact ePrints Soton: eprints@soton.ac.uk

ePrints Soton supports OAI 2.0 with a base URL of http://eprints.soton.ac.uk/cgi/oai2

This repository has been built using EPrints software, developed at the University of Southampton, but available to everyone to use.

We use cookies to ensure that we give you the best experience on our website. If you continue without changing your settings, we will assume that you are happy to receive cookies on the University of Southampton website.

×