Should gold be included in institutional investment portfolios?

Ole Emmrich and Francis Joseph McGroarty

Applied Financial Economics, 2013, vol. 23, issue 19, 1553-1565

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.

Date: 2013
References: View complete reference list from CitEc
Citations: View citations in EconPapers (37)

Downloads: (external link)
http://hdl.handle.net/10.1080/09603107.2013.839858 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apfiec:v:23:y:2013:i:19:p:1553-1565

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20

DOI: 10.1080/09603107.2013.839858

Access Statistics for this article

Applied Financial Economics is currently edited by Anita Phillips

More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().