BullionVault's gold index read 53.0 in May, down 9.6 percent from April's high, but indicating that more buyers than sellers still remained in the market. A reading of 50.0 would signal a perfect balance of buyers and sellers, with investors neutral on gold, on average.
Adrian Ash, head of research at BullionVault, explained that bullion demand in April was driven by Asian investors, rather than those in the U.S. or Europe.
"Would-be buyers in the Far East are still facing shortages and high local premiums. But household demand for gold bullion in Europe and North America has eased back almost as fast as it appeared," said Ash in the report, which was published on Tuesday.
"Western households remained net sellers of gold overall. That extends the pattern from April, with some larger investors tactically reducing the size of their position, while the total number of gold owners continues to grow."
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Bullion, typically seen as a hedge against inflation, had been under pressure since Federal Reserve Chairman Ben Bernanke said the central bank could slow or halt its $85 billion bond-purchase scheme, if the U.S. economy continues to strengthen.
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"It is clear that a number of long-term holders are choosing to take a step back for now, reducing their investment in gold but keeping an eye on what is to come. If the perception of crisis recedes further, this may well continue," said Ash.
"Coupled with fresh buying by new investors, however, the deeper trend may be away from fewer heavily concentrated holdings, towards wider gold ownership as a core financial hedge."
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According to Reuters, holdings in New York's SPDR Gold Trust, the world's largest gold-backed exchange-traded-fund, remained unchanged on Monday, after a near-three week decline in holdings halted last Wednesday.
—By CNBC's Katy Barnato