1. FORECAST OF
THE GOLD FIXING
PRICE
(February 2015 – September 2015)
MLAMAR@SIUE.EDU
Lamar, Martin
ResearchAssistant

2. 1
Executive Summary
This report will provide a forecast of the monthly gold fixing price in the London Bullion Market for the
time period February 2015 through September 2015. The CME group owns and operates large
derivatives and futures exchanges in New York and Chicago. The exchange traded derivative
contracts they conduct business with include rare and precious metals. The most important
results are as follows:
 One year prior to our forecast, the price of gold was decreasing from Feb 2014 –
September 2014, during this same time period in 2015 our forecast for the monthly
benchmark price of gold shows an increasing price over the sample time frame.
 The following regression forecast model is used:
Gold_pricet = β1return_on_DIXt + β2return_on_s_pt + β3term_premiumt + Ɛt
Table 1: Previous Year Actual and Forecast Values For All Variables
(Feb 2014 – September 2015)
Previous
Year
Values
Gold
Price
Monthly
Return
on DIX
Monthly
Return
on S&P
Term
Premium
Forecast
Dates
Forecast
of the
Price of
Gold
Forecast
of
Monthly
Return
on DIX
Forecast
of
Monthly
Return
on S&P
Forecast
of Term
Premium
Feb-14 1300.98 -0.43% 0.69% 2.66 Feb-15 1251.96 1.88% 1.21% 1.86
Mar-14 1336.08 -0.32% 0.62% 2.67 Mar-15 1254.80 2.08% 1.21% 1.86
Apr-14 1299.00 -0.18% 2.10% 2.67 Apr-15 1257.05 2.09% 1.22% 1.87
May-14 1287.53 0.28% 1.91% 2.53 May-15 1259.29 2.10% 1.22% 1.88
Jun-14 1279.10 -0.17% -1.51% 2.56 Jun-15 1261.53 2.12% 1.22% 1.88
Jul-14 1310.97 1.60% 3.77% 2.51 Jul-15 1263.77 2.13% 1.23% 1.89
Aug-14 1295.99 2.64% -1.55% 2.39 Aug-15 1266.02 2.15% 1.23% 1.90
Sep-14 1238.82 1.55% 2.32% 2.51 Sep-15 1268.26 2.16% 1.23% 1.90
*Gold Price(monthly fixingpricein London Bullion Market) data is measured in U.S. dollarsper troy ounce and is
taken from London Bullion MarketAssociation, Gold Fixing Price 3:00 P.M. (London time) in London Bullion Market,
based in U.S. Dollars, retrieved from FRED, Federal Reserve Bank of St. Louis
https://research.stlouisfed.org/fred2/series/GOLDPMGBD228NLBM/, April 15, 2015.
*Monthly Return on DIX (monthly return on trade-weighted dollar index) is measured in monthly return
percentage of trade weighted dollars and istaken from Board of Governors of the Federal Reserve System
(US), Trade Weighted U.S. Dollar Index: Major Currencies, retrieved from FRED, Federal Reserve Bank of St. Louis
https://research.stlouisfed.org/fred2/series/DTWEXM/,April 16, 2015.
*Term Premium is measured in percentage yield and is representative of the spread between longterm
government bonds and T-bill rates and is taken from Organization for Economic Co-operation and
Development, Long-Term Government Bond Yields: 10-year: Main (Including Benchmark) for the United States©,
retrieved from FRED, Federal Reserve Bank of St. Louis
https://research.stlouisfed.org/fred2/series/IRLTLT01USM156N/, April 16, 2015.

3. 2
*Forecast values for predictor (RHS) variablescalculated usingHolt’s exponential smoothing.
*Charles C. Holt, “Forecasting Seasonals and Trends by Exponentially Weighted Moving Averages,” International
Journal of Forecasting, Vol. 20, No. 1, 2004, pp 5-10.
Figure 1: London Bullion Market Gold Fixing Price: Actual vs. Forecast
(Jan 1973 – September 2015)
*Actual gold fixingpricetaken from London Bullion Market Association, Gold Fixing Price 3:00 P.M. (London time)
in London Bullion Market, based in U.S. Dollars, retrieved from FRED, Federal Reserve Bank of St. Louis
https://research.stlouisfed.org/fred2/series/GOLDPMGBD228NLBM/, April 15, 2015.
*Forecast priceof gold fixingpriceis calculated usingthe regression model reported in table 10.
 During the period January 1973 – September 2015, the regression model has an average
of about plus or minus 17 U.S. dollars per troy ounce.
 During the period January 1973 – September 2015, the regression model has an average
of about plus or minus 4%.
 During the period January 1973 – September 2015, about 99% of the variation in the
monthly gold fixing price can be explained by the regression model found in table 10.
0.000
200.000
400.000
600.000
800.000
1000.000
1200.000
1400.000
1600.000
1800.000
2000.000
Jan-73
Jan-74
Jan-75
Jan-76
Jan-77
Jan-78
Jan-79
Jan-80
Jan-81
Jan-82
Jan-83
Jan-84
Jan-85
Jan-86
Jan-87
Jan-88
Jan-89
Jan-90
Jan-91
Jan-92
Jan-93
Jan-94
Jan-95
Jan-96
Jan-97
Jan-98
Jan-99
Jan-00
Jan-01
Jan-02
Jan-03
Jan-04
Jan-05
Jan-06
Jan-07
Jan-08
Jan-09
Jan-10
Jan-11
Jan-12
Jan-13
Jan-14
Jan-15
U.S.DollarsperTroyOunce
Month
gold forecast
gold actual

4. 3
Table 2: Gold Fixing Price Forecast
(Jan 1973 – September 2015)
Regression
Forecast Model
MAE 17.119
MAPE 3.566
RMSE 27.708
Thiel’s
U
0.022
 Gold fixing price is expected to have a negative relationship with the monthly return on
the trade-weighted dollar index. The trade weighted dollar index is a measure of the
value of the US dollar compared to other currencies. In the past, gold was used to value
the US dollar, as it tends to be more stable when compared to other currencies. The
price of gold in US dollars tends to reflect consumer confidence in the currency, thus
causing an inverse relationship.
 Based upon a hypothesis test from the data reported in table D-3, there is positive
relationship between the gold fixing price and the monthly return on the trade-
weighted dollar index. If the monthly return percentage increases by 1%, the gold fixing
price will increase by 331.84 U.S. dollars per troy ounce. Future values for this predictor
were calculated using Holt’s exponential smoothing.
 Gold fixing price is expected to have a negative relationship with the monthly return on
the index for the S&P 500. As previously stated, gold tends to retain its value in times of
economic stress. When equity returns are low, and there is general uneasiness in the
stock market, investors tend to put their money in gold as a hedge. Therefore, as
monthly returns on the S&P 500 rise, the demand for gold is more likely to drop,
therefore implying an inverse relationship.
 Based upon a hypothesis test from the data reported in table D-3, there is positive
relationship between the gold fixing price and the monthly return on the S&P 500 index.
If the monthly return percentage increases by 1%, the gold fixing price will increase by
38.09 U.S. dollars per troy ounce. Future values for this predictor were calculated using
Holt’s exponential smoothing.
 Gold fixing price is expected to have a positive relationship with the term premium. The
term premium is the return of long term government bonds minus short term bonds (T-
bills). The flow of risk-adverse money from “safe havens” like T-bills to government
bonds can have a significant impact on bond yields overall. Sequentially, this can have
an effect on the equity market, which as previously stated also affects the price of gold.

5. 4
 Based upon a hypothesis test from the data reported in table D-3, there is positive
relationship between the gold fixing price and the yield on term premiums. If the yield
percentage increases by 1%, the gold fixing price will increase by 5.88 U.S. dollars per
troy ounce. Future values for this predictor were calculated using Holt’s exponential
smoothing.
 Recommendation: Over the course of February 2015 – September 2015, the price of
gold is forecasted to increase over time. Based on this sample’s evidence, it is our
recommendation that the CME group buys shares in the gold equity market, or invest in
the physical commodity to maximize its return.

6. 5
Appendix
Figure A-1: London Bullion Market Gold Fixing Price
(Jan 1973 – Jan 2015)
*Data taken from London Bullion MarketAssociation,Gold Fixing Price 3:00 P.M. (London time) in London Bullion
Market, based in U.S. Dollars, retrieved from FRED, Federal Reserve Bank of St. Louis
https://research.stlouisfed.org/fred2/series/GOLDPMGBD228NLBM/, April 15, 2015.
Figure A-2: Monthly Return on Trade Weighted Dollar Index
(Jan 1973 – Jan 2015)
*Data taken from Board of Governors of the Federal Reserve System (US), Trade Weighted U.S. Dollar Index: Major
Currencies, retrieved from FRED, Federal Reserve Bank of St. Louis
https://research.stlouisfed.org/fred2/series/DTWEXM/,April 16, 2015.
0.000
200.000
400.000
600.000
800.000
1000.000
1200.000
1400.000
1600.000
1800.000
2000.000
Jan-73
Jan-74
Jan-75
Jan-76
Jan-77
Jan-78
Jan-79
Jan-80
Jan-81
Jan-82
Jan-83
Jan-84
Jan-85
Jan-86
Jan-87
Jan-88
Jan-89
Jan-90
Jan-91
Jan-92
Jan-93
Jan-94
Jan-95
Jan-96
Jan-97
Jan-98
Jan-99
Jan-00
Jan-01
Jan-02
Jan-03
Jan-04
Jan-05
Jan-06
Jan-07
Jan-08
Jan-09
Jan-10
Jan-11
Jan-12
Jan-13
Jan-14
Jan-15
U.S.DollarsperTroyOunce
Month
-6.00%
-4.00%
-2.00%
0.00%
2.00%
4.00%
6.00%
8.00%
Jan-73
Jan-74
Jan-75
Jan-76
Jan-77
Jan-78
Jan-79
Jan-80
Jan-81
Jan-82
Jan-83
Jan-84
Jan-85
Jan-86
Jan-87
Jan-88
Jan-89
Jan-90
Jan-91
Jan-92
Jan-93
Jan-94
Jan-95
Jan-96
Jan-97
Jan-98
Jan-99
Jan-00
Jan-01
Jan-02
Jan-03
Jan-04
Jan-05
Jan-06
Jan-07
Jan-08
Jan-09
Jan-10
Jan-11
Jan-12
Jan-13
Jan-14
Jan-15
Trade-weightedDollars
(monthlyreturn%)
Month

7. 6
Figure A-3: Monthly Return on S&P 500 Index
(Jan 1973 – Jan 2015)
*Data taken from S&P 500 (^GSPC) (2015).Profile,business summary. Yahoo!Finance. Retrieved from
https://finance.yahoo.com/q?s=^GSPC
Figure A-4: Term Premium
(Jan 1973 – Jan 2015)
*Data taken from Organization for Economic Co-operation and Development, Long-Term Government Bond Yields:
10-year: Main (Including Benchmark) for the United States©, retrieved from FRED, Federal Reserve Bank of St.
Louis https://research.stlouisfed.org/fred2/series/IRLTLT01USM156N/, April 16, 2015.
-25.00%
-20.00%
-15.00%
-10.00%
-5.00%
0.00%
5.00%
10.00%
15.00%
20.00%
Jan-73
Jan-74
Jan-75
Jan-76
Jan-77
Jan-78
Jan-79
Jan-80
Jan-81
Jan-82
Jan-83
Jan-84
Jan-85
Jan-86
Jan-87
Jan-88
Jan-89
Jan-90
Jan-91
Jan-92
Jan-93
Jan-94
Jan-95
Jan-96
Jan-97
Jan-98
Jan-99
Jan-00
Jan-01
Jan-02
Jan-03
Jan-04
Jan-05
Jan-06
Jan-07
Jan-08
Jan-09
Jan-10
Jan-11
Jan-12
Jan-13
Jan-14
Jan-15
IndexPoints
(monthlyreturn%)
Month
-4
-3
-2
-1
0
1
2
3
4
5
Jan-73
Jan-74
Jan-75
Jan-76
Jan-77
Jan-78
Jan-79
Jan-80
Jan-81
Jan-82
Jan-83
Jan-84
Jan-85
Jan-86
Jan-87
Jan-88
Jan-89
Jan-90
Jan-91
Jan-92
Jan-93
Jan-94
Jan-95
Jan-96
Jan-97
Jan-98
Jan-99
Jan-00
Jan-01
Jan-02
Jan-03
Jan-04
Jan-05
Jan-06
Jan-07
Jan-08
Jan-09
Jan-10
Jan-11
Jan-12
Jan-13
Jan-14
Jan-15
IndexPoints
(yield%)
Month

8. 7
Table B-1: Descriptive Statistics
(Jan 1973 – Jan 2015)
GOLD DIX RSP TP
Mean 507.29 -0.02% 0.68% 1.74
Median 381.36 0.05% 0.96% 1.94
Mode 299.1 N/A N/A 2.5
Standard
Deviation 387.81 1.71% 4.45% 1.30
Skewness 1.75 -1.96% -46.27% -0.64
Minimum 65.139 -5.25% -21.76% -2.8
Maximum 1771.85 6.68% 16.30% 4.34
Count 505 505 505 505
*GOLD (LondonBullionMarketGoldFixingPrice)dataismeasuredinU.S.dollarspertroyounce and is
takenfromLondon BullionMarketAssociation, Gold Fixing Price 3:00 P.M.(London time) in London
Bullion Market,based in U.S.Dollars,retrievedfromFRED,Federal Reserve Bankof St.Louis
https://research.stlouisfed.org/fred2/series/GOLDPMGBD228NLBM/,April 15, 2015.
*DIX (monthlyreturnonTrade weightedU.S.dollarindexformajorcurrencies) ismeasuredinmonthly
returnpercentage trade weighteddollarsandistakenfromBoardof Governorsof the Federal Reserve
System(US), TradeWeighted U.S.Dollar Index:Major Currencies,retrievedfromFRED,Federal Reserve
Bank of St. Louishttps://research.stlouisfed.org/fred2/series/DTWEXM/,April 16,2015
*RSP (monthlyreturnonthe s/p500) is measuredinmonthlyreturnpercentage forindexpointsandare
representative of the U.S.equitymarketandistakenfromS&P 500 (^GSPC) (2015). Profile,business
summary. Yahoo!Finance.Retrieved fromhttps://finance.yahoo.com/q?s=^GSPC
*TP (Termpremium) ismeasuredin percentageyield andisrepresentative of the spreadbetweenlong
termgovernmentbondsandT-bill ratesandistakenfrom OrganizationforEconomicCo-operationand
Development, Long-TermGovernmentBond Yields:10-year:Main (Including Benchmark) forthe United
States©,retrievedfromFRED,Federal Reserve Bankof St.Louis
https://research.stlouisfed.org/fred2/series/IRLTLT01USM156N/, April 16, 2015.

9. 8
Table B-2: London Bullion Market Gold Fixing Price
(Jan 1973 – Jan 2015)
*Data taken from London Bullion MarketAssociation, Gold Fixing Price 3:00 P.M. (London time) in London Bullion
Market, based in U.S. Dollars, retrieved from FRED, Federal Reserve Bank of St. Louis
https://research.stlouisfed.org/fred2/series/GOLDPMGBD228NLBM/, April 15, 2015.
Table B-3: Monthly Return on Trade Weighted Dollar Index
(Jan 1973 – Jan 2015)
*Data taken from Board of Governors of the Federal Reserve System (US), Trade Weighted U.S. Dollar Index: Major
Currencies, retrieved from FRED, Federal Reserve Bank of St. Louis
https://research.stlouisfed.org/fred2/series/DTWEXM/,April 16, 2015.
0
50
100
150
200
250
300
150 450 750 1050 1350 1650
Frequency
U.S. Dollars Per Troy Ounce
0
50
100
150
200
250
300
-4.5 -1.5 1.5 4.5 7.5
Frequency
Trade-weighted Dollars
(monthly return %)

10. 9
Table B-4: Monthly Return on S&P Index
(Jan 1973 – Jan 2015)
*Data takenfromS&P 500 (^GSPC) (2015). Profile,businesssummary. Yahoo!Finance.Retrievedfrom
https://finance.yahoo.com/q?s=^GSPC
Table B-5: Term Premium
(Jan 1973 – Jan 2015)
*Data takenfromOrganizationforEconomicCo-operationandDevelopment, Long-TermGovernment
Bond Yields: 10-year: Main (Including Benchmark) fortheUnited States©, retrievedfromFRED,Federal
Reserve Bankof St. Louishttps://research.stlouisfed.org/fred2/series/IRLTLT01USM156N/, April 16,
2015.
0
50
100
150
200
250
300
350
-25% -15% -5% 5% 15%
Frequency
Monthly Return %
0
50
100
150
200
250
-2.25 -0.75 0.75 2.25 3.75
Frequency
Spread Yield

11. 10
Figure C-1: London Bullion Market Gold Fixing Price & Trade Weighted Dollar Index
(Jan 1973 – Jan 2015)
*London BullionMarket GoldFixing prices are taken from LondonBullionMarket Association, Gold Fixing Price 3:00 P.M.
(London time) in London Bullion Market, based in U.S. Dollars, retrievedfrom FRED, Federal Reserve Bank of St. Louis
https://research.stlouisfed.org/fred2/series/GOLDPMGBD228NLBM/, April 15, 2015.
*Monthlyreturnpercentage data onTrade weighteddollar index is takenfrom Board ofGovernors of the Federal Reserve
System (US), Trade Weighted U.S. Dollar Index: Major Currencies, retrievedfromFRED, FederalReserve Bank ofSt. Louis
https://research.stlouisfed.org/fred2/series/DTWEXM/, April 16, 2015.
Figure C-2: London Bullion Market Gold Fixing Price & Monthly Return on S&P
Index
(Jan 1973 – Jan 2015)
*London BullionMarket GoldFixing prices are taken from LondonBullionMarket Association, Gold Fixing Price 3:00 P.M.
(London time) in London Bullion Market, based in U.S. Dollars, retrievedfrom FRED, Federal Reserve Bank of St. Louis
0.000
200.000
400.000
600.000
800.000
1000.000
1200.000
1400.000
1600.000
1800.000
2000.000
-6.00% -4.00% -2.00% 0.00% 2.00% 4.00% 6.00% 8.00%
LondonBullionMarket
(U.S.DollarsPerTroyOunce)
Monthly Return on Trade-weighted Dollar Index
(Monthly Return %)
0.000
200.000
400.000
600.000
800.000
1000.000
1200.000
1400.000
1600.000
1800.000
2000.000
-25.00%-20.00%-15.00%-10.00%-5.00% 0.00% 5.00% 10.00% 15.00% 20.00%
LondonBullionMarketGoldFixingPrice
(U.S.DollarsPerTroyOunce)
Monthly Return on S&P Index
(Monthly Return %)

12. 11
https://research.stlouisfed.org/fred2/series/GOLDPMGBD228NLBM/, April 15, 2015.
*Monthlyreturnpercentage data onthe S&P500 is takenfrom S&P500 (^GSPC) (2015). Profile, business
summary. Yahoo!Finance. Retrieved
from https://finance.yahoo.com/q?s=^GSPC
Figure C-3: London Bullion Market Gold Fixing Price & Term Premium
(Jan 1973 – Jan 2015)
*London Bullion Market Gold Fixingprices aretaken from London Bullion MarketAssociation, Gold Fixing Price
3:00 P.M. (London time) in London Bullion Market, based in U.S. Dollars, retrieved from FRED, Federal Reserve
Bank of St. Louis https://research.stlouisfed.org/fred2/series/GOLDPMGBD228NLBM/, April 15,2015.
*Term Premium data taken from Organization for Economic Co-operation and Development, Long-Term
Government Bond Yields: 10-year: Main (Including Benchmark) for the United States©, retrieved from FRED,
Federal Reserve Bank of St. Louis https://research.stlouisfed.org/fred2/series/IRLTLT01USM156N/, April 16,2015.
Table D-1: Correlation of Variables
(Jan 1973 – Jan 2015)
Gold Price Return on DIX Return on S&P Term Premium
Goldprice 1
Returnon DIX 0.07 1
Returnon
S&P 0.04 -0.15 1
Term
Premium 0.19 -0.05 0.04 1
*Correlations arecalculated based on actual values for the time period Jan 1973 – Jan 2015.
0.000
200.000
400.000
600.000
800.000
1000.000
1200.000
1400.000
1600.000
1800.000
2000.000
-4 -3 -2 -1 0 1 2 3 4 5
LondonBullionMarketGoldFixingPrice
(U.S.DollarsPerTroyOunce)
Term Premium
(Spread % yield)

13. 12
Table D-2: Hypothesis Test for Seasonality in the Monthly Gold Fixing Price
Wald Test of H0: β4 = β5 = …= β15 versus Ha: at leastone β is different. Based upon the regression model reported in
table D-3.
Table D-3: London Bullion Market Gold Fixing Price
(January 1973 – September 2015)
*C (London bullion marketgold fixingprice) is measured in U.S. dollars per troy ounce and is taken from London
Bullion MarketAssociation, Gold Fixing Price 3:00 P.M. (London time) in London Bullion Market, based in U.S.
Dollars, retrieved from FRED, Federal Reserve Bank of St. Louis
https://research.stlouisfed.org/fred2/series/GOLDPMGBD228NLBM/, April 15, 2015.
*RETURN_ON_DIX (monthly return % on trade-weighted dollar index) is measured in monthly return percentage
and is taken from Board of Governors of the Federal Reserve System (US), Trade Weighted U.S. Dollar Index: Major
Currencies [DTWEXM], retrieved from FRED, Federal Reserve Bank of St. Louis
https://research.stlouisfed.org/fred2/series/DTWEXM/,April 16, 2015.
*RETURN_ON_S_P (monthly return % on the S&P 500 index) is measured in monthly return percentage for index
points and is taken from S&P 500 (^GSPC) (2015). Profile,business summary. Yahoo!Finance. Retrieved from
https://finance.yahoo.com/q?s=^GSPC
*TERM_PREMIUM is measured in percentage yield and is representativeof the spread between longterm
government bonds and T-bill rates and is taken from Organization for Economic Co-operation and
Development, Long-Term Government Bond Yields: 10-year: Main (Including Benchmark) for the United States©,
retrieved from FRED, Federal Reserve Bank of St. Louis
https://research.stlouisfed.org/fred2/series/IRLTLT01USM156N/, April 16, 2015.

14. 13
Figure E-1: London Bullion Market Gold Fixing Price
(January 1973 – Jan 2015)
*Data taken from London Bullion MarketAssociation,Gold Fixing Price 3:00 P.M. (London time) in London Bullion
Market, based in U.S. Dollars, retrieved from FRED, Federal Reserve Bank of St. Louis
https://research.stlouisfed.org/fred2/series/GOLDPMGBD228NLBM/, April 15, 2015.

15. 14
Figure E-2: Correlogram of Residuals
(January 1973 – September 2015)
*Residuals arefrom the regression model summarized in table D-3.

16. 15
References
Board of Governors of the Federal Reserve System (US), Trade Weighted U.S. Dollar Index:
Major Currencies, retrieved from FRED, Federal Reserve Bank of St. Louis
https://research.stlouisfed.org/fred2/series/DTWEXM/, April 16, 2015
*Charles C. Holt, “Forecasting Seasonals and Trends by Exponentially Weighted Moving
Averages,” International Journal of Forecasting, Vol. 20, No. 1, 2004, pp 5-10.
Hulbert, M. (2014, January 14). The incredible gold-interest rate correlation. Retrieved April 18,
2015, from http://www.marketwatch.com/story/the-incredible-gold-interest-rate-
correlation-2014-01-22.
LEVISOHN, B., & Silver-Greenberg, J. (2011, April 30). How to Profit from the Shrinking Dollar.
Wall Street Journal – Eastern Edition. P. B7
London Bullion Market Association, Gold Fixing Price 3:00 P.M. (London time) in London Bullion
Market, based in U.S. Dollars, retrieved from FRED, Federal Reserve Bank of St. Louis
https://research.stlouisfed.org/fred2/series/GOLDPMGBD228NLBM/, April 15, 2015.
Organization for Economic Co-operation and Development, Long-Term Government Bond
Yields: 10-year: Main (Including Benchmark) for the United States©, retrieved from
FRED, Federal Reserve Bank of St. Louis
https://research.stlouisfed.org/fred2/series/IRLTLT01USM156N/, April 16, 2015.
S&P 500 (^GSPC) (2015). Profile, business summary. Yahoo!Finance. Retrieved from
https://finance.yahoo.com/q?s=^GSPC.

17. 16