TY - JOUR T1 - A Multi-Asset Approach to Inflation Hedging for<br/>a U.S. Investor JF - The Journal of Portfolio Management SP - 102 LP - 115 DO - 10.3905/jpm.2011.37.3.102 VL - 37 IS - 3 AU - Salvatore Bruno AU - Ludwig Chincarini Y1 - 2011/04/30 UR - https://pm-research.com/content/37/3/102.abstract N2 - 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 ER -