This paper reexamines the inflation-hedging properties of individual equities. When determining inflation betas for individual equities we use multivariate regressions, which utilize all available data and account for equity market factor and reporting lags in inflation indices. We show how such an approach can even be used to create inflation-sensitive strategies for customized inflation indices. The facet of customization is necessary since different kinds of inflation impact different investors. For example, in retirement an investor is more concerned about medical expenses. We illustrate strategies for the US headline CPI, Forbes Cost of Living Extremely Well Index (CLEWI), and the US Medical Care Price Index. When constructing inflation-sensitive portfolios, besides using equal weighting scheme, we show how alternative weighting schemes can be used alongside the choice of inflation sensitive equities to accentuate inflation sensitivity, by using maximum beta optimization or to manage equity risk exposure—low volatility and low equity beta as result of using minimum volatility optimization.
|School:||EDHEC Business School (France)|
|Source:||DAI-A 78/04(E), Dissertation Abstracts International|
|Keywords:||Active Fixed Income, Cross-Sectional Dispertion, Cross-Sectional Volatility, Inflation Betas, Inflation Sensitive Equities, Rising Rates|
Copyright in each Dissertation and Thesis is retained by the author. All Rights Reserved
The supplemental file or files you are about to download were provided to ProQuest by the author as part of a
dissertation or thesis. The supplemental files are provided "AS IS" without warranty. ProQuest is not responsible for the
content, format or impact on the supplemental file(s) on our system. in some cases, the file type may be unknown or
may be a .exe file. We recommend caution as you open such files.
Copyright of the original materials contained in the supplemental file is retained by the author and your access to the
supplemental files is subject to the ProQuest Terms and Conditions of use.
Depending on the size of the file(s) you are downloading, the system may take some time to download them. Please be