Inflation-Friendly Equity Indices: How to Protect against Rising Inflation in Equity Portfolios?

Daniel Aguet, Dimitris Korovilas
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Abstract

This article proposes a method to construct inflation-friendly equity strategies that offer protection against inflation surprises. Such strategies offer stronger and more consistent inflation exposures than commonly used off-the-shelf ingredients, such as sector or style factor portfolios. We rely on firm-level measures of inflation exposures that improve robustness when compared with standard estimation approaches. We show how to construct these inflation-friendly equity strategies and how they can be designed as a replacement of cap-weighted benchmarks in long-term strategic allocations or for tactical allocations. Furthermore, we illustrate the benefits of such strategies for investors, presenting two concrete investment cases.
通胀友好型股票指数:如何在股票投资组合中防范通胀上升?
本文提出了一种构建通货膨胀友好型股票策略的方法,以提供对通货膨胀意外的保护。与常用的现成成分(如行业或风格因素组合)相比,这种策略提供了更强大、更稳定的通胀敞口。与标准估计方法相比,我们依赖于提高稳健性的公司层面的通胀风险度量。我们展示了如何构建这些通胀友好型股票策略,以及如何将它们设计为长期战略配置或战术配置中市值加权基准的替代品。此外,我们通过两个具体的投资案例来说明这种策略对投资者的好处。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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