1、 gold.org GLTER Golds long-term expected return GLTER Golds long-term expected return 02 Contents Golds real return greater than you thought 3 The challenge 5 The cube 5 Money no more 7 The long-term system 7 A building block approach for expected gold returns 9 Conclusion 10 Appendix 11 Appendix A:

2、Data 11 Appendix B:Robustness tests of OLS regressions 11 Appendix C:Why 1971?14 Appendix D:GDP as a driver of demand 14 Appendix E:Long-term capital market assumptions 15 Appendix F:References 15 gold.org GLTER Golds long-term expected return 03 1.For a discussion of this research see OConnor(2015)

3、.2.Prior to the closure of the gold window,gold was primarily a monetary asset that could only be bought and sold at its official price in most jurisdictions.3.The most commonly applied deflator to achieve real returns is the US consumer price index.Golds real return greater than you thought While g

4、olds contribution to managing portfolio risk is well established,While golds contribution to managing portfolio risk is well established,supported by a large body of work devoted to its hedging characteristics,1 its contribution to portfolio its contribution to portfolio return is not.return is not.

5、Frameworks for estimating golds long-term return exist but fall short of a robust approach that aligns with the capital market assumptions for other asset classes.This report sets out such a framework,accounting for golds unique dual nature as a real good and a financial asset.Publications tackling

6、golds expected return have generally concluded that golds primary function is as a store of value,implying a long-run co-movement of gold with the general price level(CPI).Alternative approaches using risk premia estimations or bond-like structures with embedded options produce similar results.And w