Gold or Bitcoin? Safe-Haven Characteristics and Portfolio Utility for Wealth Management Investors

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Title

Gold or Bitcoin? Safe-Haven Characteristics and Portfolio Utility for Wealth Management Investors

Authors

Francis Tan
Indosuez Wealth Management
Wing-Keung Wong
Department of Finance, Quantum AI Research Center, Fintech & Blockchain Research Center, and Big Data Research Center, Asia University, Taiwan
Department of Medical Research, China Medical University Hospital, Taiwan
Business, Economic and Public Policy Research Centre, Hong Kong Shue Yan University
The Economic Growth Centre, Nanyang Technological University, Singapore

Abstract

This paper re-examines the comparison between gold and Bitcoin as portfolio diversifiers and potential safe-haven assets using Bloomberg monthly data through 31 July 2025. The common sample contains 180 monthly returns from August 2010 to July 2025.
A conventional 60/40 equity-bond portfolio is compared with monthly-rebalanced alternatives containing 10% gold, 10% Bitcoin, or 5% gold and 5% Bitcoin. The analysis covers return and downside-risk measures, conditional equity-tail tests, a paired 5,000-replication moving-block bootstrap, allocation sweeps, economic subperiods, 36-month rolling statistics, a 60-month rolling out-of-sample exercise, later-Bitcoin samples, and quantile regressions.
Gold modestly lowers volatility and maximum drawdown. Bitcoin raises long-run return but also volatility and tail risk. The mixed portfolio produces the highest fixed-weight Sharpe ratio (1.248 versus 0.925 for 60/40), and its Sharpe improvement remains positive across the 95% bootstrap interval (0.076 to 0.556).
In the worst 10% of equity months, gold averages 0.45% while Bitcoin averages -9.62%. Later-sample and quantile-regression results support a functional distinction: gold is the more defensive diversifier; Bitcoin is a risk-budgeted return enhancer. The assets are complements at modest weights, not interchangeable safe havens.

Keywords

gold; Bitcoin; safe haven; portfolio diversification; wealth management; downside risk; asset allocation

Classification-JEL

G11, G12, G15

Pages

1-14

How to Cite

Tan, F., Wong, W. K. (2026). Gold or Bitcoin? Safe-Haven Characteristics and Portfolio Utility for Wealth Management Investors. International Journal of Wealth Management, 1, 1-14.