I took the quote below from the following site which might help:
http://www.invest.gold.org/sites/en/faqs/#16
"On average, across markets and across time, historical returns on gold tend to be unrelated to those on stocks, as represented by a number of stock market indices. This is of interest to investors seeking to diversify their portfolios. The correlation of returns on stocks and those on gold are reported in our Investment Statistics for a range of countries and are updated every quarter. In addition, our Research area contains a number of papers dealing with this subject. "