 A historical examination of optimal real return portfolios for non-US investorsSalvatore Bruno and Ludwig Chincarini Review of Financial Economics, 2010, vol. 19, issue 4, 161-178 Abstract: The objective of this paper is to explore and identify inflation as it is embedded in a broad range of asset classes beyond simply TIPS, oil, gold and real estate. The analysis is conducted primarily from the perspective of investors in a range of countries that span the developed and emerging world including resource intense economies and those that have previously experienced hyperinflation. We find that an investor who is looking for a reasonable positive real return of 4.5% while minimizing the downside risk 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 and is not always relevant for all countries. We find that achieving stable real returns during hyperinflationary periods is virtually impossible without access to a vast array of short-term fixed income instruments. Despite this, the out-of-sample performance of the real return optimizations is quite promising, providing an emulative inflation protection strategy for international investors of all sorts. Keywords: Real; returns; Inflation; Hedging; Asset; allocation (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:revfin:v:19:y:2010:i:4:p:161-178 Access Statistics for this article Review of Financial Economics is currently edited by T. K. Mukherjee and G. Whitney More articles in Review of Financial Economics from Elsevier |
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