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Yen offers a more attractive hedge than gold: Goldman

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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.

[TOKYO] 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.

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 on 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. Spot gold is up 11 per cent this year. The yen has only risen 1.6 per cent against the dollar - less than half the gain for the un-havenlike Canadian dollar.

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

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