黄金：多头、空头与迷思

November 2025 Author(s) Campbell R. HarveyInvestment Strategy Advisor, Man GroupEdward ColeHead of Multi-Strategy Equities, Solutions, Man GroupChris PyperManaging Director, Solutions, Man GroupPanashe BeraOMI Advisory Analyst, Solutions, Man GroupAlex PrestonHead of Advisory, Man Group Despite reaching record prices, gold can play a valuable role in global portfoliosas a diversier and risk mitigator. Key takeaways: Gold has historically been one of the few assets that performs well when both equitiesand bonds are struggling Today’s high prices strengthen the case for thinking about gold primarily as a riskmanagement asset rather than a return engine Even a relatively modest allocation to gold has historically improved portfolio outcomes Introduction Gold prices today are near record highs - even in real terms - implying that forward real returns maybe modest by historical standards (Figure 1). Yet gold's most compelling attribute remains itshistorically proven ability to enhance portfolio diversication over the long term. It is widelyperceived as a safe-haven asset: during periods of market stress or crisis, investors oftenock to gold for its stability and lack of credit risk. Central banks hold gold in their foreign exchange reservesprecisely for these benets and as a hedge against economic and geopolitical risks. These attributescan justify gold’s inclusion in an institutional portfolio, helping to reduce drawdowns and provideballast, without materially sacricing long-run performance. In this paper, we consider gold from the perspective of an institutional investor wishing to allocate tothe yellow metal within a traditional 60/40 portfolio (or variant thereof). We examine gold'sdiversication properties and assess its impact on portfolio risk and return characteristics. Quantifying diversication Gold and equities Perhaps surprisingly, gold’s annual volatility is roughly on par with that of the S&P 500. In a portfoliocontext, however, gold’s correlation with equities is near zero. Further, gold’s correlation to stockshas remained consistently low through time, with no evidence of sustained spikes during equitymarket drawdowns. This reliable lack of correlation (and occasional inverse correlation) in times ofstress underscores gold’s role as a diversier for equities – and as a potential risk mitigator for equityinvestors. Gold andxed income Gold’s correlation withxed income returns is also low on average, but the relationship is morenuanced than with equities. In general, gold shows nearly zero correlation with short-termgovernment bonds, and a low-to-moderate correlation with longer-duration bonds. However, thegold–bond correlation has not been as stable over time and has varied across dierent interest rateand ination regimes. Figure 2 plots real gold prices versus real bond yields, demonstrating that the correlation betweengold and bonds can shift from negative to positive depending on the macro environment. In periodsof rising ination and negative real interest rates, gold is often negatively correlated to bonds. Thistypically occurs because such periods hurt bond returns while boosting gold. On the other hand, during deationary regimes, gold can exhibit a mildly positive correlation withbonds. In such environments, both gold and high-quality bonds may serve as safe havens as theirprices rise together. Overall, gold’s correlation withxed income is low over the full cycle, but it is best characterised asregime-dependent: negative in stagationary or inationary scenarios, and slightly positive indeationary, “risk-o” scenarios. Importantly, gold’s low average correlation with both stocks andbonds means it can play a valuable diversifying role in a multi-asset portfolio – especially whentraditional asset relationships break down. Gold’s correlation with a 60/40 portfolio Most investor portfolios contain both equities andxed income – 60/40 or some variation on thattheme. Figure 3 compares the performance of gold and the 60/40 portfolio across periods ofpositive and negative stock-bond correlation. When stocks and bonds are negatively correlated, a60/40 portfolio is already somewhat hedged, and gold’s additional diversication benet, while stillpresent, is less dramatic. But when stocks and bonds become positively correlated – as tends tohappen in inationary scenarios – the 60/40 portfolio can suer concurrent losses, and this is whengold comes into its own. Indeed, gold has historically been one of the few assets that performs wellwhen both equities and bonds are struggling. A vivid example is 2022, which saw surging ination and rapidly rising interest rates, causing anunusual tandem selloin both US stocks and bonds (leading the 60/40 portfolio to have its worstyear in history). Gold, meanwhile, was approximatelyat in 2022 (in US dollar terms). Over longer time spans, incorporating gold has improved the risk-adjusted performance of a 60/40portfolio. Adding a third