Alpha Exchange

Best known for his seminal work on the information content of the US Treasury yield curve nearly 4 decades ago, Campbell Harvey has produced meaningful academic research in all corners of empirical finance. In this episode of the Alpha Exchange, I caught up with Campbell, now a Professor of Finance at Duke and Partner at Research Affiliates, on his recent work on gold, an asset near and dear to me. We discuss his piece “Is There Still a Golden Dilemma?", with Claude Erb that updates work they did back in 2013 on the yellow metal.Our conversation explores the financial properties of gold, with emphasis on its capacity to hold its purchasing power and to help defend against equity market drawdowns. On the first, Campbell makes the point that over the past two decades, gold has easily outperformed inflation. He adds, however, that gold is considerably more volatile than inflation is. Thus, there are periods when gold can also underperform inflation. On the equity drawdown front, Campbell’s work shows that, while