Source: Bloomberg LP; Treesdale Partners calculations; past performance is no guarantee of future performance
The other way in which these correlations have impacted portfolio efficiency is through their effect on the realized volatility (standard deviation) of the gold price in yen versus the gold price in dollars. As might be expected, the divergence in performance between the two prices has resulted in a large fall in the standard deviation of gold in yen relative to the standard deviation of gold in dollars. The second chart above plots the rolling three month standard deviation of both and shows that the difference in variability of gold in yen terms versus gold in dollars is at near term lows of -7%.
In summary the two charts above should help to demonstrate how the strong trend in correlation between gold and the dollar and gold and the yen have driven the outperformance of gold in yen versus gold in dollars while at the same time resulting in lower realized volatility for the investor.