Mycket läsvärd artikel av Larry Swedroe. Några höjdpunkter:
For example, in their 2019 update to “The Golden Constant,” they presented historical evidence that the wage of a Roman centurion (in gold) was approximately the same as the pay a U.S. Army captain earned today. They also showed that the price of bread (again in gold) thousands of years ago was about the same as we would pay today at an upscale bakery.
Men kanske viktigare:
Following is a summary of their key findings:
Equities and gold jointly declined in 17 percent of the months. Conversely, equities were down, and gold was up in 19 percent of the months, roughly resonating with a 50/50 chance for gold to show negative returns in a given negative equity month—gold is not a perfect safe haven when evaluated at a one-month horizon.
At the three-year horizon, gold would have served as a safe haven in about three-quarters of down markets for equities—again, not a perfect safe haven. In addition, the somewhat limited protection came at a clear cost because gold was down half of the times when equities were up.
Van Vliet and Lohre next examined the effectiveness of gold in lowering downside risk over the period 1975-2022. They found:
The real returns for equities (CRSP total market), bonds (10-year Treasuries), and gold were 8.0 percent, 3.3 percent, and 1.5 percent, respectively.
The risk of gold was high on a stand-alone basis—its downside volatility was 11.3 percent compared to 7.9 percent for equities and 5.3 percent for bonds.
The Sortino ratio, which measures the return per unit of downside volatility, was 1.01 for equities, 0.62 for bonds, and only 0.13 for gold.
Judging by the loss probability over a one-year horizon, gold was riskier (49.7 percent chance of loss) than both equities (24.9 percent chance of loss) and bonds (34.6 percent chance of loss). Notably, bonds had a greater probability of loss than equities, though lower than that of gold.
Judging by the expected loss over a one-year horizon, gold was riskier (-6.1 percent) than both equities (-3.1 percent) and bonds (-2.5 percent).
Judging by the minimum return over a one-year horizon, gold was riskier (-46.1 percent) than both equities (-42.2 percent) and bonds (-25.3 percent).
Kanske den viktigaste slutsatsen utifrån portföljperspektiv:
When van Vliet and Lohre examined adding an increasing allocation of gold to a traditional stock and bond portfolio (with annual rebalancing), they found very little evidence of any real net benefits.
For example, while adding a small allocation to gold (5-10 percent)
- slightly reduced downside volatility (from 3.9 percent to 3.7 percent),
- slightly improved the Sortino ratio (from 1.56 to 1.61),
- reduced the probability of loss (from 26.6 percent to 22.4 percent) and
- reduced the expected loss (from 1.6 percent to 1.3 percent),
- it also reduced the real return from 6.1 percent to 5.9 percent.
They also found that increasing the gold allocation to above 10 percent generally led to even lower real returns and increased downside risk as well.
Deras slutsats:
Their findings led van Vliet and Lohre to conclude: “Our empirical study corroborates that a portfolio’s loss probability, its expected loss, and downside volatility can be brought down with modest allocations (5-10%) to gold. However, hedging downside risk via gold investing comes at the cost of lower return.”