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  • Short Term Drivers

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    Aaron Xue
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    This document summarizes drivers of short-term gold returns on a monthly and quarterly basis from July 2019 to July 2020. It shows that risk and uncertainty had the largest positive contribution to gold returns, while economic expansion had a small positive impact. Momentum had a negative impact on returns each period. The residual, or other factors not captured in the model, also impacted gold prices significantly over this time frame.

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    Gold Price short term drivers

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    This document summarizes drivers of short-term gold returns on a monthly and quarterly basis from July 2019 to July 2020. It shows that risk and uncertainty had the largest positive contribution to gold returns, while economic expansion had a small positive impact. Momentum had a negative impact on returns each period. The residual, or other factors not captured in the model, also impacted gold prices significantly over this time frame.

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    © All Rights Reserved
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    8 views1 page

    Short Term Drivers

    Uploaded by

    Aaron Xue
    This document summarizes drivers of short-term gold returns on a monthly and quarterly basis from July 2019 to July 2020. It shows that risk and uncertainty had the largest positive contribution to gold returns, while economic expansion had a small positive impact. Momentum had a negative impact on returns each period. The residual, or other factors not captured in the model, also impacted gold prices significantly over this time frame.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Flag for inappropriate content
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    of 1

    Short term drivers

    Monthly Quarterly

    Gold return %

    20

    10

    -10

    -20

    Gold return % Gold Price, US$/oz

    20 1,800

    10 1,700

    0 1,600

    -10 1,500

    -20 1,400

    Jul 19 Aug 19 Sep 19 Oct 19 Nov 19 Dec 19 Jan 20 Feb 20 Mar 20 Apr 20 May 20 Jun 20 Jul 20

    Gold Return Modelled Return

    Economic Expansion Risk & Uncertainty Opportunity Cost (Interest Rates) Opportunity Cost (FX) Momentum Residual* Gold Price

    Contributions of gold price drivers to periodic gold returns


    Jul 20 Jul 20 Jun 20 Q2 20

    Economic Expansion 0.26 0.26 0.26 0.78


    +
    Risk & Uncertainty 4.42 4.42 6.96 31.73
    +
    Opportunity Cost (Interest Rates) 0.94 0.94 -0.11 3.10
    +
    Opportunity Cost (FX) 2.09 2.09 1.20 2.82
    +
    Momentum -2.12 -2.12 -0.73 -3.85

    Modelled Return 5.60 5.59 7.58 34.58


    +
    Residual* 4.79 4.79 -4.70 -22.43

    Gold Return 10.39 10.39 2.89 12.15

    Data as of 31 July, 2020

    Sources: Bloomberg, World Gold Council; Disclaimer

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