https://www.deshaw.com/assets/articles/ ... 250827.pdfAs a non-productive store of value, gold presents unique modeling challenges. It doesn’t generate income or have widespread industrial uses, but its positive relationship with long-term growth—and independence from shorter-term economic cycles—make it a compelling asset in portfolio optimization. This is especially true during periods of inflationary shocks, geopolitical uncertainty, and positive stock-bond correlation.
Worth Its Weight? Assessing Gold’s Portfolio Utility - D. E. Shaw Group
Worth Its Weight? Assessing Gold’s Portfolio Utility - D. E. Shaw Group
Re: Worth Its Weight? Assessing Gold’s Portfolio Utility - D. E. Shaw Group
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"We argue that the end of history( Fukuyama ) has come to an end. The world is back in a superpower struggle; the US is retreating from free trade, alliances, and security provision; the Great Economic Moderation is behind us; and the dollar banking system has been weaponized. The “return of history” has big implications for gold and the dollar.
Contrary to conventional thinking, we argue that the share of gold in central bank reserves is not driven by the global monetary system, but by the global geopolitical environment. Gold’s decline as a share of reserves did not happen with the fall of Bretton Woods in the 1970s, but the fall of the Berlin Wall and the assertion of US hegemony in the 1990s. As tectonic geopolitical plates shift again, the share of US dollars in central bank reserves is once more in decline. It has fallen from over 60% to just 40%, while gold’s share has tripled from its lows to 30% today."
"To conclude, we find it notable that the value of above-ground gold exceeded the total value of marketable US Treasury debt last year for the first time in 40 years (Figure 22 overleaf). In other words, gold is now a bigger asset class than the world's main safe asset. The return of history is here. "
"We argue that the end of history( Fukuyama ) has come to an end. The world is back in a superpower struggle; the US is retreating from free trade, alliances, and security provision; the Great Economic Moderation is behind us; and the dollar banking system has been weaponized. The “return of history” has big implications for gold and the dollar.
Contrary to conventional thinking, we argue that the share of gold in central bank reserves is not driven by the global monetary system, but by the global geopolitical environment. Gold’s decline as a share of reserves did not happen with the fall of Bretton Woods in the 1970s, but the fall of the Berlin Wall and the assertion of US hegemony in the 1990s. As tectonic geopolitical plates shift again, the share of US dollars in central bank reserves is once more in decline. It has fallen from over 60% to just 40%, while gold’s share has tripled from its lows to 30% today."
"To conclude, we find it notable that the value of above-ground gold exceeded the total value of marketable US Treasury debt last year for the first time in 40 years (Figure 22 overleaf). In other words, gold is now a bigger asset class than the world's main safe asset. The return of history is here. "