Beyond a Stock-Bond Portfolio: Gold and Bitcoin in Changing Stock-Bond Correlation Regimes

Sammanfattning

This study examines whether gold and Bitcoin improve mean-variance portfolio performance relative to a traditional stock-bond benchmark, and whether their contributions differ across negative and positive stock-bond correlation regimes. Using monthly U.S. data from December 2014 to December 2025, the analysis applied a rolling estimation framework, mean-variance optimization, Sharpe ratio tests, and mean-variance spanning tests. The results show that gold provides greater portfolio benefits in the positive stock-bond correlation regime, where the traditional diversification role of bonds is weakened. Although Sharpe ratio differences are not statistically significant in any regime, the mean-variance spanning results show that gold significantly expands the stock-bond investment opportunity set in both regimes, with the strongest evidence observed in the positive regime. Bitcoin, by contrast, expands the efficient frontier in the negative correlation regime but fails to do so in the positive regime. These findings suggest that gold and Bitcoin should not be treated as equivalent alternative assets. Bitcoin's contribution is more return-driven and concentrated in the negative correlation regime, while gold provides a greater portfolio improvement when stock-bond diversification breaks down. The study contributes to portfolio diversification literature by showing that the value of alternative assets depends not only on their standalone performance, but also on the prevailing stock-bond correlation environment.