GP12. What changes when you add gold to global stocks? Long-term verification of Tracers MSCI All Country Gold Plus

While holding global stocks, you also hold an equal investment amount in gold. Tracers MSCI All Country Gold Plus is a product that aims for an investment equivalent to 100% global stocks and 100% gold relative to net assets, for a total of 200%. It differs from a standard balanced fund with 50% global stocks and 50% gold in both the magnitude of price fluctuations and its underlying logic.

In our proprietary model from 2000 to September 2026, adding gold resulted in a higher long-term growth rate than global stocks alone. For 5-year and 10-year holding periods with staggered start months, there were no windows where the value was below the principal at the end.

The process of achieving these results is not smooth. Even with global diversification of stocks, this is a total investment of approximately 200% when adding 100% gold. Daily fluctuations are larger than those of global stocks alone, with a maximum drawdown reaching approximately 66%. We will examine the final performance and the ability to hold through the volatility separately.

Layering 100% gold onto 100% global stocks

The stock portion is based on the MSCI All Country World Index, which includes developed countries, emerging markets, and Japan. It uses a mother fund that holds physical stocks and stock index futures, while utilizing futures for gold. Although the investment amount is approximately twice the net assets, if both assets move in opposite directions, the profit and loss will partially offset each other. If they fall in the same direction, losses will compound.

It is also important to note that the purchase amount of gold futures itself is not considered “100% yen-denominated physical gold.” The asset management company’s simulation shows global stocks including after-tax dividends and converted to yen, and gold futures as US dollar-denominated excess returns. The impact of exchange rates remains on the valuation profit/loss of gold futures and foreign currency-denominated margin. For the overall mechanism, please refer to the series introductory article, and for product conditions, please refer to the asset management company’s special page and the prospectus.

The history of the actual product is short. We use a model for long-term verification

The inception date of this product is March 6, 2026. It has not experienced the stock market declines of the 2000s or the global financial crisis in its actual net asset value. Therefore, we constructed a daily model that invests 100% equivalent in stocks and gold, using the after-tax dividend-included stock index, exchange rates, and gold futures index.

For the initial year of 2000, since we could not directly obtain daily series including after-tax dividends, we used price indices and annual dividend contribution adjustments. The daily path for this period includes estimates. Additionally, while the model deducts an amount equivalent to the trust fee, it does not replicate actual trading or capital inflows and outflows.

The representative growth and volatility rates are generally close to the monthly simulations published by the asset management company, and the daily direction was linked to the actual NAV after inception. Since maximum drawdowns and daily differences from the actual NAV remain, we use this here as a tool to observe investment structures under past conditions. The verification method and errors are summarized in the technical report (GP11), so please refer to it if you wish to check the details.

Growth rates increased, but maximum drawdowns became deeper

The CAGR of Gold Plus was 16.66%, exceeding the 8.30% of global stocks alone in yen terms. A large difference has also emerged in the final value multiplier. This is the result of adding another source of return, gold, and compounding it daily. The gold-only series in the table is a US dollar-denominated futures index and is not the performance of yen-denominated physical gold.

There was a diversification effect because the price movements of global stocks and gold did not overlap much. Even so, the total investment amount is approximately 200%. The annualized volatility rose from 19.29% for global stocks alone to 25.41%, and the maximum drawdown also deepened by about 1 point. Improvement in growth rate and an increase in daily price fluctuations are occurring simultaneously.

5-year and 10-year end-of-period performance and interim drawdowns

When shifting the start month based on the end of the month, the windows where Gold Plus was at a loss at the end were 22.0% for 1 year and 11.2% for 3 years. It was not observed in 5-year and 10-year windows. The lowest CAGR for the 10-year window was also positive.

This does not mean that long holding periods avoided interim drawdowns. In more than half of the 10-year windows, there was a decline of over 50% from the high, and in the window starting in October 2007, while the principal approximately doubled after 10 years, it temporarily fell by about 65% from the principal. This is an observation based on the history of gold being strong over the long term and overlapping start months. Detailed distributions and losses based on principal will be shown in the detailed analysis edition (GP13).

In crises, there are days when gold provided support and days when it could not

During the stock market downturns of 2002 and the Global Financial Crisis, gold mitigated losses in global stocks during the periods it rose. However, looking only at the start and end points of a period does not reveal the bottom during the holding period. During the Global Financial Crisis, even in a fixed period where gold provided support, the maximum drawdown of Gold Plus itself from its peak was approximately 66%.

In periods where stocks and gold fall simultaneously, such as the interest rate hike phase of 2022, the loss-mitigation effect of gold is limited. We will separate the profit and loss of the fixed period from the maximum drawdown within the period and examine them in the detailed analysis section.

It is similar to the S&P 500 version. Is there still a point in using global stocks?

Both products share a design that adds the equivalent of 100% gold, with the difference lying in the equity portion. With global stocks, the investment target expands to include developed countries outside the U.S., emerging markets, and Japan. Compared to investing only in U.S. stocks, the regional and currency composition changes.

Comparison of 4 released products showed that the monthly return correlation between both models was 0.970 for the common period since 2013. The movements are quite similar. In a comparison of the common period extended to 2000 with data acquired later, the S&P 500 version had higher CAGR and annualized volatility, and the maximum drawdown of the ACWI version was not always shallower. While global diversification has the merit of broadening investment targets, the past model did not yield price movements completely different from the S&P 500 version.

The previous comparison of 4 products started in 2013, matching the dividend-inclusive series of ACWI that could be acquired at the time. This article goes back to 2000 to examine the path of decline and recovery, including the IT bubble burst and the Global Financial Crisis. Since the 2000 dividend-inclusive daily series is proxy data, we will present the value and limitations of this extension together. Detailed product superiority will be left to the comparison article for the same period.

Product evaluation

As a result of maintaining the investment amount in global stocks and adding gold, the compound annual growth rate and the ending performance of 5-year and 10-year holdings improved during this model period. There is merit in the global diversification of investment targets and the combination with gold, but the large price movements associated with a total investment amount of approximately 200% remain. It is best to understand this product by looking at long-term results and drawdowns during the holding period together.

For those who already hold a large amount of gold in their portfolio, adding this product will also increase the actual allocation of gold. This is a product to be considered based on the total exposure of gold and stocks, assuming that a decline of more than half is possible during the holding period and that actual products are affected by costs, implementation, and valuation times that differ from the model.

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*This is a past verification using a proprietary model. It does not guarantee future results and does not recommend the buying or selling of any specific product.