Summary: This paper discusses the dependence of gold futures prices on macro risk factors using a multiple linear regression model. Recently introduced uncertainty indexes such as geopolitical risk index and economic policy uncertainty index are included in this study. We also examine the investment nature of gold futures contract among other assets. The results provide insights on the influence of these interrelated macro economic variables on a financial derivative contract in an emerging economy and its unique position in portfolio allocation and are aimed to help practitioners and policy makers.