Revisiting the safe haven role of Gold across time and frequencies during the COVID-19 pandemic

This research empirically evaluates the potential diversification benefits of Gold during the COVID-19 pandemic period, when including it in equity-based asset allocation strategies. This study proposes minimum VaR portfolios, with monthly rebalance and different wavelet scales (short-run, mid-run and long-run), doing both an in-sample and out-of-sample analysis. We find much more unstable weights as the frequency of the decomposition becomes lower, and strong evidence of the outperformance of the mid-run decompositions over the rest of active management strategies and the passive management of buy and hold the variety of single equity indices. Thus, we may shed some light on the role of Gold as a safe haven when properly filtering aggregated data.

Automated summary

This research empirically evaluates the potential diversification benefits of including gold in equity-based asset allocation strategies during the COVID-19 pandemic. The study finds that the mid-run decomposition strategy outperforms other active management strategies and the passive management strategy of buying and holding single equity indices, indicating the role of gold as a safe haven when properly filtering aggregated data.