Can investors/speculators use gold as a hedge for equities or as a general safe haven? Does it hedge against inflation? These blog entries relate to gold as an asset class.
Does bitcoin (BTC) return exhibit any exploitable leading or lagging roles with respect to gold (SPDR Gold Shares – GLD) return, change in the all-items consumer price index (CPI) or change in the effective federal funds rate (EFFR) for a monthly measurement interval? To investigate, we compute correlations between monthly BTC return and each of monthly GLD return, change in CPI and change in EFFR for various lead-lag relationships, ranging from BTC return leads other variables by six months (-6) to other variables lead BTC return by six months (6). Using monthly BTC, GLC, CPI and EFFR levels during September 2014 (limited by BTC) through July 2026, we find that:Keep Reading
How do returns of different asset classes recently interact with inflation as measured by monthly change in the not seasonally adjusted, all-items consumer price index (CPI) from the U.S. Bureau of Labor Statistics? To investigate, we look at lead-lag relationships between change in CPI and returns for each of the following 10 exchange-traded fund (ETF) asset class proxies:
Using monthly total CPI values and monthly dividend-adjusted prices for the 10 specified ETFs during December 2007 (limited by EMB) through mid-August 2026, we find that:Keep Reading
A subscriber suggested adding a simple 1-month or 3-month momentum filter to the BGSV portfolio, which each month rebalances to equal weight the following three very risky assets:
We choose a momentum filter requiring that an asset must have a positive return the prior month, or its allocation goes to cash. Initial allocations to each of the three assets is $10,000. Cash earns the 3-month U.S. Treasury bill (T-bill) yield. We very conservatively assume monthly portfolio reformation frictions of 1% of month-end portfolio value. Using monthly prices of GBTC, GLD and SVXY adjusted for splits/dividends and monthly T-bill yield during May 2015 (limited by GBTC) through July 2026, we find that:
Second, capturing upside volatility and managing drawdown of this portfolio via gain-skimming to a cash position.
We assume equal initial allocations of $10,000 to each of the three assets. We perform a monthly skim as follows: (1) if the risky assets have month-end combined value less than combined initial allocations ($30,000), we rebalance to equal weights for next month; or, (2) if the risky assets have combined month-end value greater than combined initial allocations, we rebalance to initial allocations and move the excess permanently (skim) to cash. We very conservatively assume monthly portfolio reformation frictions of 1% of month-end combined value of risky assets. We assume accrued skimmed cash earns the 3-month U.S. Treasury bill (T-bill) yield. Using monthly prices of GBTC, GLD and SVXY adjusted for splits/dividends and monthly T-bill yield during May 2015 (limited by GBTC) through July 2026, we find that:
A subscriber asked which exchange-traded fund (ETF) asset class proxies make the best safe havens for the U.S. stock market as proxied by the S&P 500 Index. To investigate, we test 16 ETFs/funds as potential safe havens:
State Street Utilities Select Sector SPDR (XLU)
iShares 20+ Year Treasury Bond (TLT)
iShares 7-10 Year Treasury Bond (IEF)
iShares 1-3 Year Treasury Bond (SHY)
State Street SPDR Bloomberg 1-3 Month T-Bill (BIL)
iShares iBoxx $ Investment Grade Corporate Bond (LQD)
iShares Core US Aggregate Bond (AGG)
iShares TIPS Bond (TIP)
Vanguard Short-Term Inflation-Protected Securities Index Fund (VTIP)
Vanguard Real Estate Index Fund (VNQ)
SPDR Gold Shares (GLD)
iShares Silver Trust (SLV)
Invesco DB Commodity Index Tracking Fund (DBC)
United States Oil Fund, LP (USO)
Invesco DB US Dollar Index Bullish Fund (UUP)
Grayscale Bitcoin Trust (GBTC)
We consider three ways to find safe havens for the U.S. stock market based on daily or monthly returns:
Contemporaneous return correlation with the S&P 500 Index during all market conditions at daily and monthly frequencies.
Performance during S&P 500 Index bear markets as defined by the index being below its 10-month simple moving average (SMA10) at the end of the prior month.
Performance during S&P 500 Index bear markets as defined by the index being -20%, -15% or -10% below its most recent peak at the end of the prior month.
Using daily and monthly dividend-adjusted closing prices for the above 16 funds since their respective inceptions, and contemporaneous daily and monthly levels of the S&P 500 Index since 10 months before the earliest inception, all through April 2026, we find that:Keep Reading
What is the interplay among exchange-traded fund (ETF) proxies for the U.S. dollar, gold and crude oil? Do changes in the value of the dollar lead or lag those in hard assets? To investigate, we relate returns of Invesco DB US Dollar Index Bullish Fund (UUP) to those for each of:
We look at contemporaneous and lead-lag relationships. Using monthly dividend-adjusted prices for these funds during March 2007 (limited by UUP) through February 2026, we find that:Keep Reading
How do returns of different asset classes recently interact with inflation as measured by monthly change in the not seasonally adjusted, all-commodities producer price index (PPI) from the U.S. Bureau of Labor Statistics? To investigate, we look at lead-lag relationships between change in PPI and returns for each of the following 10 exchange-traded fund (ETF) asset class proxies:
Using monthly total PPI values and monthly dividend-adjusted prices for the 10 specified ETFs during December 2007 (limited by EMB) through January 2026, we find that:Keep Reading
Can investors holding gold as inflation hedge/equity crash protection improve performance of this position by holding gold (silver) when the gold-to-silver ratio is relatively low (high)? To investigate, we track the ratio of SPDR Gold Shares (GLD) price to iShares Silver Trust (SLV) price and switch from GLD to SLV (SLV to GLD) when GLD is overvalued (undervalued) relative to SLV. Using end-of-month prices of GLD and SLV during April 2006 (limited by inception of SLV) through November 2025, we find that:Keep Reading
A reader requested a test of the following hypothesis from the article “Gold’s Bluff – Is a 30 Percent Drop Next?” [no longer available]: “Ironically, gold is more than just a hedge against market turmoil. Gold is actually one of the most accurate indicators of the stock market’s long-term direction. The Dow Jones measured in gold is a forward looking indicator.” To test this assertion, we examine relationships between the spot price of gold and the level of the Dow Jones Industrial Average (DJIA). Using monthly data for the spot price of gold in dollars per ounce and DJIA over the period January 1971 through September 2025, we find that:Keep Reading
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