Movements in the price of gold tend to be unrelated to those of traditional asset classes such as equities, real estate and bonds. Importantly, the lack of correlation between gold and other assets appears to be maintained when equity markets fail. Statistical analysis shows that the diversification benefits of gold have proven reliable during periods of market stress, and may even become more pronounced under such conditions.

Correlation of weekly returns with key asset classes and gold (£),
December 2001 - December 2006

Gold (£) and FTSE 100 (total return)
52 week rolling correlations

The origins of gold’s independence lie in the very structure of the gold market: the factors that drive gold supply and demand are, for the most part, not the same as those that drive returns on other assets.  The diversification return on gold is sufficiently powerful that, even if you were to assume no real return on gold, research shows that a small strategic allocation to gold can add value to a diversified portfolio.

Other correlation statistics

 Why is gold different from other Assets: An empirical investigation

 United States and United Kingdom: Analysis of long-run correlation of returns on gold and equities, K.M. Pulvermacher, January 2004.

 Gold as a Strategic Asset , by Richard Michaud, Robert Michaud and Katharine Pulvermacher, September 2006