The Gold Exposure of Institutional Investors

What is the optimal weight of gold in an investment portfolio? Suggestions range from 0% to more than 20%, but there is no study that systematically investigates this issue. We analyze the gold holdings (gold ETFs) of institutional investors based on 13-F filings and find that 30% of all institutions have at least some exposure to gold in their portfolio, with an average percentage holding of 1.7% with large differences across institutions and over time. The results further identify key determinants of gold holdings and demonstrate that gold holdings positively affect the performance of institutional investor portfolios.

Keywords: Gold, institutional investors, portfolio diversification, safe haven

JEL Classification: G01, G11, G41

Suggested Citation: Suggested Citation

Baur, Dirk G. and Hoang, Lai T. and Casavecchia, Lorenzo, The Gold Exposure of Institutional Investors (August 16, 2021). Available at SSRN: https://ssrn.com/abstract=3905635 or http://dx.doi.org/10.2139/ssrn.3905635