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The Journal of Portfolio Management

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A Multi-Asset Approach to Inflation Hedging for
a U.S. Investor

Salvatore Bruno and Ludwig Chincarini
The Journal of Portfolio Management Spring 2011, 37 (3) 102-115; DOI: https://doi.org/10.3905/jpm.2011.37.3.102
Salvatore Bruno
is the chief investment officer of IndexIQ in Rye Brook, NY.
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  • For correspondence: sbruno@indexiq.com
Ludwig Chincarini
is an assistant professor in the Department of Economics at Pomona College in Claremont, CA, and is on the academic council of IndexIQ.
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  • For correspondence: chincarini@hotmail.com
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Abstract

The objective of Bruno and Chincarini is to explore and identify the inflation embedded in a broad range of asset classes beyond simplyTIPS, oil, gold, and real estate. Their analysis is conducted from the perspective of a U.S. investor. The authors find that an investor who is looking for a positive real return of 4.5% while minimizing the downside with respect to inflation will have an allocation that consists primarily of short-term bonds, longer-term bonds, some gold, some oil, and some emerging market equities. The weight of gold and oil together is less than 10% of the portfolio. Bruno and Chincarini also find that TIPS are only slightly effective for protecting against inflation, conditional on an investor using a group of asset classes. The out-of-sample performance of the real return optimizations is quite promising, providing an emulative inflation-protection strategy for U.S. investors.

TOPICS: Portfolio construction, statistical methods, financial crises and financial market history

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The Journal of Portfolio Management: 37 (3)
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Spring 2011
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A Multi-Asset Approach to Inflation Hedging for
a U.S. Investor
Salvatore Bruno, Ludwig Chincarini
The Journal of Portfolio Management Apr 2011, 37 (3) 102-115; DOI: 10.3905/jpm.2011.37.3.102

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A Multi-Asset Approach to Inflation Hedging for
a U.S. Investor
Salvatore Bruno, Ludwig Chincarini
The Journal of Portfolio Management Apr 2011, 37 (3) 102-115; DOI: 10.3905/jpm.2011.37.3.102
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