投资组合连续体：重新思考另类投资中的黄金

ContentsExecutive SummaryIntroductionGold’s correlation dynamics with alternativesGold: a complementary assetGold and credit strategiesSigns of credit stressWhat lies aheadAppendix 34456789 Executive SummaryThe rise of alternative assets in institutional portfolios has been driven by the pursuit ofenhancedreturns, broader diversification, and insulation from traditional market cycles.Yet, these benefits often come with trade-offs–limited liquidity, delayed valuations, andexposure to economic shocks that may not be fully priced in real-time.Building on our previous research, this paper explores how gold can serve as acomplementary asset within alternative allocations. While not always classified as an‘alternative’, gold offers distinct advantages: it is highly liquid, lowly correlatedto otherasset classes, and tends to perform well during periods of systemic stress, with itsinclusion in a portfolio acting as a shock absorber.Wealso look into private credit,a fast-growing corner of alternatives.Whilefundamentals remain supportive and institutionalinvestorinterest strong, the assetclass still carries familiar challenges around liquidity and valuation lags.Gold enhancesdownside resilience andprovidescapital flexibilityacross alternative asset strategieswhen distributions slow or exit timelines extend.To investors, public and private markets exist along a continuum ofliquidity,returns,andvolatility. The difference is one of timing and access.Gold exists in this continuum,not because it mimics public or private assets, but because its attributesbridgeacrossboth. 03 04An asset class such as gold plays a role within thisframework. Its historical status as a safe-haven assetand store of value offers a layer of diversification. Overthe medium-to long-term horizon, gold tends tohavea lowcorrelation to alternative assets.(Chart1).Forhedge funds, we note an increasing correlation as theinvestment horizon increases.The reason for this,perhaps, is the liquidity profile of hedge funds. Hedgefunds, particularly those with liquid trading strategies,generallyhave allocations into assets that can bemanoeuvred as market conditions change.Within hedge funds, global macro and trend-followingcommoditytrading advisors(CTAs)increase goldexposure as its momentum strengthens.Private equity,listed real estate and private credit, on the contrary,haveaverydifferent return and liquidity profile to gold.Forexample,the performance of private credit isgenerally tied to yields and corporate health. Like mostprivateinvestments,it comes with a long-termcommitment and is less liquid.Correlations between public and private equities havebeen high andhave increasedover the medium to longtermdue to the fund lifecycle.As the fund cyclematures, private equity valuations tend toalign moreclosely with those ofpublic markets. The underlyingportfolio companies are revalued more frequently asexit strategies, such as IPOs, become clearer. As such,valuations align more with prevailing marketconditions,pushing correlation higher around the 10-year mark—before easing slightly at 15 years as funds wind downand remaining assets become less market-sensitive(Chart2)2Alternative diversifiers: Rethinking diversification in investment portfoliosChart1: Gold’s correlation with alternatives remain low over timeA consistent diversifier, gold exhibits low correlation to most alternative asset across 3-,5-and 15-year horizonsData as of 30 May 2025. Indices used S&P 500 Total Return Index, MSCI Emerging Markets Total Return Index, Refinitiv PrivateEquity Buyout Index, Bloomberg GlobalAggregate Total Return Index, Credit Suisse Hedge Fund Index, FTSE NAREIT Equity REITs TotalReturn Index, ICE BofA 3-Month US Treasury Bill Index, LBMA Gold Price PMListed Real EstatePrivate Credit15Y IntroductionAlternative assetshave reshaped modern portfolios.Assets under management (AUM) for alternative assetsis projected to reach close to $30 trillion by 2029,withprivate equity projected to double in AUM to $12 trillionby then.1The premise foranallocation into alternativeassets rests upon a few key ideas:•Diversification•Lower correlations to traditional assets•Enhanced returns of existing portfoliosBuilding on our previous researchthathighlights goldasafoundationaldiversifierportfolios,we continue the discussion on gold'sinterplaywith alternative strategies,including thegrowing role of private credit.Gold’scorrelationdynamicswith alternativesWhile equity-bond correlationshaveby and large beennegative over the past decade, it has turned positivesince 2022.2 Institutional investors have increasinglyshiftedtheir allocations into alternative assets tocomplement the traditional equity-bond framework fordiversification.1Alternatives AUM tipped to cross US$30 trillion by 2030 | The Asset(USD/oz), S&P/LSTA Leveraged Loan Total Return IndexSource: Bloomberg, World Gold Council0.000.050.100.150.200.25Private Equity withinalternativeHedge Funds3Y 10Y Periods of market stress–like the Global