The Gold Exposure of Institutional Investors

51 Pages Posted: 17 Aug 2021

See all articles by Dirk G. Baur

Dirk G. Baur

University of Western Australia - Business School; Financial Research Network (FIRN)

Lai T. Hoang

Monash University - Monash Centre for Financial Studies

Lorenzo Casavecchia

University of Technology Sydney

Date Written: August 16, 2021

Abstract

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

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

Dirk G. Baur (Contact Author)

University of Western Australia - Business School ( email )

School of Business
35 Stirling Highway
Crawley, Western Australia 6009
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Lai T. Hoang

Monash University - Monash Centre for Financial Studies ( email )

13/f 30 Collin Street
Melbourne, 3000
Australia

Lorenzo Casavecchia

University of Technology Sydney ( email )

8 Ultimo Rd
Sydney, NSW 2007
Australia

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