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Goldman Says Yen Offers a More Attractive Hedge Than Gold


© Bloomberg. One kilogram fine gold bars sit stacked in the precious metals vault at Pro Aurum KG in Munich, Germany, on Wednesday, July 10, 2019. Gold rose for a third day after the Federal Reserve indicated that it’s preparing to cut interest rates for the first time in a decade as the global economy slows.

(Bloomberg) — Investors looking at haven assets to protect against a risk-off shock should find the yen a cheaper option than gold, according to Goldman Sachs Group Inc (NYSE:).

An increase in gold-price volatility has made bullish options on the traditional haven more expensive than yen equivalents, wrote strategists including Alessio Rizzi in a note Monday.

“Implied volatility and options-call skew are expensive now for gold and buying calls on the yen appears attractive,” they said. “With gold positioning becoming more stretched, the yen might be a more attractive hedge tactically.”

Holdings in bullion-backed exchange-traded funds have hit the highest level since 2013 thanks to a combination of global-growth concerns, geopolitical concerns and plans by central banks to restart monetary stimulus. is up 11% this year. The yen has only risen 1.6% against the dollar — less than half the gain for the un-havenlike Canadian dollar.

Gold and the yen both might benefit in the case of a shock U.S. intervention to weaken the dollar, the Goldman strategists wrote.

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