|
Quarterly
statistics commentary Q1 2012
Overview
This brief commentary
summarises gold’s price performance in various currencies, its volatility
statistics and correlation to other assets in the quarter. It provides
context to the investment statistics files published at the end of
each quarter.
The primary macroeconomic events that shaped Q1 2012 for gold were
broad-based US economic data strength, China slowdown concerns, ECB
(European Central Bank) bank loans and future European bailout potential.
In an eventful quarter for the global economy that saw increased
volatility in capital markets, gold finished the quarter materially
higher despite a number of headwinds.
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.
More...
Previous commentary -
Price, volatility and correlation performance during 2011
|
