Who are the biggest losers from gold's plunge? Not who you think

A worker at the Newmont Mining gold quarry mine west of Elko, Nevada
David Paul Morris | Bloomberg | Getty Images
A worker at the Newmont Mining gold quarry mine west of Elko, Nevada

When the price of gold sinks—as it has with its 9 percent drop over the last three months—it's not the mining shares that are hit the hardest, as one would think.

Rather, the companies that supply the industry with tires and technology have the biggest drop in share prices and revenues, historical data show, likely because—unlike the miners— they don't protect themselves from the fall in price in the form of hedges.

Mining suppliers had some of the lowest average returns when gold dropped more than 9 percent in price over 60 trading days, according to Kensho, a powerful quantitative analytics tool used by hedge funds. For the eight times in the last 10 years when gold fell that much, stock performance was measured 60 trading days, or three months, after that decline to account for the subsequent effect on their quarterly earnings.

Titan, a maker of mining vehicles, wheels and tires, posted an average loss of 11.35 percent. Blue-chip Caterpillar suffered an average negative return of 4.72 percent. GPS and industrial tech developer Trimble Navigation had an average loss of 4.30 percent, while mining equipment manufacturer Joy Global lost an average of 3.52 percent.

Some gold producers were among the losers as well. Newmont Mining had an average loss of 10.07 percent, according to the CNBC analysis done with Kensho.

Gold rallied sharply on Monday after a decline of more than 2 percent over the weekend on a Swiss vote rejecting a proposal to boost national reserves of the precious metal. However, gold has fallen 9 percent in the last three months and 17 percent from its 52-week closing high of $1,379 an ounce in March.

Since then, the metal has traded closer to $1,200 an ounce, which analysts have noted still puts gold in a bear market from its peak price of $1,900 an ounce in September 2011. Weaker commodity prices and a stronger U.S. dollar may also send gold lower, analysts said.

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The Kensho study looked at the performance of stocks on the S&P 1500 for the last 10 years, beginning with Dec. 1, 2004.

CNBC's Leslie Shaffer contributed to this report.

Disclosure: CNBC's parent NBCUniversal is a minority investor in Kensho.