Gold Low Correlation (again) Evidenced last October as Portfolio Risk Management Tool

JURRIEN TIMMER, DIRECTOR OF GLOBAL MACRO STRATEGY AND CO-PORTFOLIO MANAGER OF FIDELITY DYNAMIC STRATEGIES FUND :
The grid below shows the rolling correlation of the monthly return of the S&P 500® Index for the 12 months through August 2010 against a host of other asset classes, from global equities to commodities to bonds. The darker red the boxes, the higher the correlation; the darker blue the boxes, the lower the correlation. As you can see, reading from left to right, there are only three blue (risk off) boxes for the S&P 500: T-bills, investment-grade bonds (dominated by Treasuries, mortgages, and agencies), and gold.

click on image to enlarge

This was originally published for Fidelity Account Holders in October 2010.  (prior to Fukushima)

"...gold is acting more like a currency than a commodity...", Shayne McGuire