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Title:Gold in the investment portfolio PDF Logo
Authors:Demidova-Menzel, Nadeshda
Heidorn, Thomas
Issue Date:2007
Series/Report no.:Working paper series // Frankfurt School of Finance & Management 87
Abstract:The paper examines the key drivers of gold investment. Since 2000 the gold price has risen drastically, making gold an interesting add-on to a portfolio. As gold futures have negative roll returns, gold pool accounts are characterized by high credit risk and physical possession of gold means high transaction costs, Xetra-Gold might be the most efficient way to enter the market. Xetra-Gold is a product created by the Deutsche Börse in 2007, which is handled like a security but can be exchanged into physical gold any time. In the portfolio context gold has had a positive impact on Euro and USD portfolios between 2000 and 2006 due to considerable returns and low correlation to other assets. However, this has not been true for almost all other periods, the correlation was always low but the returns of gold were almost zero, overriding the positive diversification effect.
Subjects:Investing in gold
gold in the portfolio
correlation of gold
returns of gold
Xetra-Gold
JEL:G11
G15
G24
Persistent Identifier of the first edition:urn:nbn:de:101:1-2008082921
Document Type:Working Paper
Appears in Collections:Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management

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