Any Seasonality for Gold or Gold Miners?

Do gold and gold mining stocks exhibit seasonality? Since exchange-traded funds for gold and gold miners are very young, the spot price of gold and mining indexes offer more reliable inference. However, spot gold prices are informative only as far back as 1968, because: “On March 17, 1968, the price of gold on the private market was allowed to fluctuate [, and] in 1975 the price of gold was left to find its free-market level.” Using monthly levels of the spot price of gold in dollars per ounce and the S&P 500 Index during February 1968 through September 2011, PHLX Gold/Silver Sector (XAU) during December 1983 through September 2011, AMEX Gold Bugs Index (HUI) during June 1996 through September 2011 and SPDR Gold Shares (GLD) during November 2004 through September 2011, we find that:

The following chart compares average returns by calendar month for spot gold and the S&P 500 Index over the selected sample period. Gold does not reliably mirror stocks. The most pronounced similarities and differences in results are:

• Both gold and stocks are relatively strong during November-January.
• Both gold and stocks are relatively weak during June-August and October.
• Gold is weak relative to stocks in March and April.
• Gold is strong relative to stocks in February, May and (especially) September.

As a robustness test, we break the spot gold sample into halves.

The next chart compares average returns by calendar month for spot gold during two equal subperiods (with break point between 1989 and 1990). The many differences in results between subperiods undermine belief in reliable seasonality.

What about the sector indexes and GLD?

The final chart shows average monthly returns by calendar month for spot gold, XAU, HUI and GLD over their respective sample periods. The most apparent consistencies are:

• Strength in February, May, September and November.
• Weakness in March, June, July and October.

In summary, evidence from simple tests supports perhaps some belief that gold and gold mining stocks tend to have strong and weak months of the year, but subperiod analysis of the longest series (spot gold) undermines confidence.

Cautions regarding findings include:

• Sample periods for HUI and especially GLD are very short for calendar-based analysis.
• More detailed modeling is important in translating average results into portfolio-level outcomes.

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