Gold is still down from its recent peak last month, and gold mining stocks have dropped even more than the price of gold.

This is another chapter in the melodramatic relationship between the two. But for investors in the shares of gold miners, a sea of red is a lousy feeling.

Is it time to bail?

Owning gold makes sense for most investors. It is an effective hedge against falling stock prices, and it is great portfolio insurance.

Gold doesn't pay dividends, and it costs money to store it, but in a negative-interest-rate world, these objections to owning gold aren't valid. And there is a good possibility that gold prices could rise a lot, especially as the world's central banks do their best to debase paper currencies.

But no asset moves in a straight line. And gold prices are no exception, as they haven't done much over the past several weeks.

Gold mining shares are linked to gold prices. But making money owning a gold mine isn't as simple as just taking gold out of the ground.

Gold prices are out of the control of the mining companies. And the huge costs involved with mining operations don't change with the price of gold.

This means that if gold prices drop to the cost of production or below it a gold mining company can quickly find itself under water. But when gold prices climb, a gold mining company can quickly become very profitable because the costs stay the same but they can now sell their "product" at much higher prices.

This is known as operational leverage.

And gold mining share prices have reflected this leverage as gold has climbed from its recent lows of last December. Since then the price of gold is up 25%, but gold mining shares are up a lot more.

The VanEck Vectors Gold Miners Exchange-Traded Fund (GDX) - Get Report is the largest gold mining ETF. It holds giant mining companies such as Barrick Gold, Goldcorp and Newmont Mining.

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Since gold's mid-December 2015 lows, the VanEck Vectors Gold Miners ETF has gained 97%.

And the VanEck Vectors Junior Gold Miners ETF (GDXJ) - Get Report , which tracks the share prices of smaller gold mining companies such as Alamos Gold, B2gold and Hecla Mining, has gained 138%.

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Of course, this leverage works the other way, too. Since their most recent high on Aug. 2, gold prices have fallen about 4%.

But VanEck Vectors Gold Miners ETF has fallen 16%, and VanEck Vectors Junior Gold Miners ETF is down 12%.

Those are just the gold mining indexes. Some gold mining shares have fallen a lot more.

Gold mining shares are normally quite volatile.

In October 2008, VanEck Vectors Gold Miners ETF's share price dropped to a low of $15.62, and gold was at $741 an ounce. Then by August 2011, gold prices had climbed 155% to $1,888 an ounce.

But over the same time frame, VanEck Vectors Gold Miners ETF soared 293% to $61.35 a share.

But when gold prices dropped 44% between August 2011 and last December, VanEck Vectors Gold Miners ETF lost 78%, dropping to $13.23 a share.

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The junior miners paint the same picture. VanEck Vectors Junior Gold Miners ETF only started trading at the end of 2009, so it has a shorter track record.

But between August 2011 and last December, VanEck Vectors Junior Gold Miners ETF collapsed 86%. Its share price dropped from $130 to $18.65.

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Gold and gold mining shares have a fairly high correlation. This means that they move in the same general direction most of the time.

Two assets that are perfectly correlated have a correlation coefficient of 1. Assets that are perfectly negatively correlated, meaning they move in opposite directions, have a coefficient of negative 1.

The correlation between the VanEck Vectors Gold Miners ETF and the VanEck Vectors Junior Gold Miners ETF and gold prices is shown below. As seen below, it has been stable over various time periods.

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But gold miners' share prices are more volatile than gold prices.

When gold sneezes, gold miners catch a full-blown head cold. And when there are concerns about what the Federal Reserve is going to do, commodity-related shares can get hit especially hard.

But if gold prices stay strong, expect to see gold mining shares bounce back.

It could come down to mean reversion, with gold prices and gold mining share prices not diverging for long. This is reflected in the relatively high long-term correlation between the two.

Owning regular gold is still a good idea, though.

The easiest way to own gold is to buy an ETF such as the SPDR Gold Shares Trust ETF (GLD) - Get Report that owns physical gold bullion. And for those who can handle the volatility, they can look into buying the VanEck Vectors Gold Miners ETF and the VanEck Vectors Junior Gold Miners ETF.

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For more on why investors should own gold, including some other ways to buy it, download this free special report on gold by clicking here.

Kim Iskyan is the founder of Truewealth Publishing, an independent investment research company based in Singapore. Click here to sign up to receive the Truewealth Asian Investment Daily in your inbox every day, for free.

This article is commentary by an independent contributor. At the time of publication, the author held no positions in the stocks mentioned.