This paper analyzes a large set of factors that potentially influence the price of gold using Bayesian Model Averaging and Ordinary Least Squares for comparison. We examine the evolution of the importance of factors through time, the role of the time horizon (daily versus monthly),...

We show that the statistical properties of gold are negatively correlated with equities and that including Gold in a portfolio will provide diversification benefits. As there is no consensus on the proportion of gold that should be included in a strategic portfolio allocation we propose a visual...