In a brief, Goldman Sachs said, gold has rallied along with other haven assets since Israel was attacked earlier this month, with the price of the precious metal recently rising two standard deviations as geopolitical tensions increased.
Market prices indicate a growing probability for higher gold returns (known as right-tail risk), but not to the degree that was seen in the first weeks after Russia invaded Ukraine in 2022, according to Goldman Sachs Research.
The latter may be in part because rising real (inflation-adjusted) Treasury yields have been a drag on gold this year (investors don’t receive yield from commodities like gold).
Goldman Sachs Research finds that the implied volatility (the market’s forecast for price fluctuations) for haven assets has risen alongside equity volatility, but it’s still low compared with recent highs when geopolitical or recession concerns were particularly acute.
That’s especially true for gold, whose volatility reached levels that were 1.8 times higher in March 2022.
