The key themes for gold during Q1 2012 were:
Rising price in all major currencies with yen investors
benefiting most:Gold prices climbed 8.6% QoQ in US$/oz on the London PM fix, despite a number of headwinds. Though the quarterly return was almost twice the ten-year average of 4.5%, similar gains in gold were seen across all major currencies with yen investors seeing a gain of 16.1% in local currency terms.
Positive volatility for gold in stark contrast to negative volatility for commodities:
While gold's price volatility was elevated, it continued to exhibit a positive (upside) skew. Gold's annualised volatility measured 20.4% during Q1, registering 21.8% on the upside and only 16.4% on the downside.
Long-term correlation of gold to equities remains statistically insignificant:
Despite higher than average short-term correlations to equities and other risk assets during the quarter, gold's performance remains independent of risk asset performance. Regression analysis shows that gold may, at times, move in the same direction as equities, but these moves are almost always related to other macro factors, such as, gold's negative correlation to the US dollar.
Chart 1: Performance of gold (US$/oz) price and volatility during Q1 2012
Chart 1: Performance of gold (US$/oz) price and volatility during Q1 2012 - click to enlarge
Gold’s long-term price trend is maintained during Q1 2012
Gold investment statistics commentary Investment World Gold Council
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