PT  - JOURNAL ARTICLE
AU  - Daniel Aguet
AU  - Dimitris Korovilas
TI  - Inflation-Friendly Equity Indices: How to Protect against Rising Inflation in Equity Portfolios?
AID  - 10.3905/jbis.2022.1.012
DP  - 2022 Aug 31
TA  - The Journal of Beta Investment Strategies
PG  - 76--91
VI  - 13
IP  - 3
4099  - https://pm-research.com/content/13/3/76.short
4100  - https://pm-research.com/content/13/3/76.full
AB  - 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.