Gold's value as an effective portfolio diversifier

Gold is a highly effective portfolio diversifier due to its low to negative correlation with all major asset classes. Over the last 20 years, gold has shown no statistically significant correlation with equities. That applies not just to domestic US equities, but also to international equities, including those traded in London, Tokyo, Frankfurt, and so on.
Gold has also shown no statistically significant correlation with other mainstream asset classes, such as US Government bonds, Treasury Bills, and equity real estate investment trusts. The fundamental reason for this lack of correlation is that the factors driving the gold price are not the same as the factors that determine the returns on other assets. Obviously, there are some economic factors that influence the performance of all investments. But equally obviously, changes in gold supply and demand have no influence over the other asset classes.
As a rule, gold shows no statistically significant correlations with mainstream asset classes. However, there is evidence that when equities are under stress, in other words when shares are falling rapidly in value, an inverse correlation can develop between gold and equities. And this aspect of gold's behavior runs directly counter to the way other asset classes perform in stress situations.

Source: Responsible Gold