@article {Aguet76, author = {Daniel Aguet and Dimitris Korovilas}, title = {Inflation-Friendly Equity Indices: How to Protect against Rising Inflation in Equity Portfolios?}, volume = {13}, number = {3}, pages = {76--91}, year = {2022}, doi = {10.3905/jbis.2022.1.012}, publisher = {Institutional Investor Journals Umbrella}, 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.}, issn = {2771-6511}, URL = {https://jii.pm-research.com/content/13/3/76}, eprint = {https://jii.pm-research.com/content/13/3/76.full.pdf}, journal = {The Journal of Beta Investment Strategies} }