1Q2012 Gold Report: Price, Volatility Rise; Correlation to Equity Prices Insignificant (GLD)

Print Email

The World Gold Council has released its summary of the first quarter’s price performance for the yellow metal. The Council noted a few macroeconomic trends that had an impact on the price of gold higher, including better economic growth in the US, slowing growth in China, European Central Bank lending (long-term refinancing operation, or LTRO), and the potential for additional bailouts in the Eurozone.

The price of gold rose 8.6% sequentially, nearly double the 10-year average of 4.5%. Positive volatility came in at 21.8%, while negative volatility came in a 16.4%.

Perhaps most interesting is the lack of correlation between equity and gold prices:

Despite higher than average short-term correlations to equities and other risk assets during the quarter, gold’s performance remains independent of risk asset performance. Regression analysis shows that gold may, at times, move in the same direction as equities, but these moves are almost always related to other macro factors, such as, gold’s negative correlation to the US dollar.

The World Gold Council’s report is available here.

The SPDR Gold Shares ETF (AMEX: GLD) is down -0.5% today at $159.46. For the year, the fund is up about 4.9%.