@article {Twomey33, author = {John Twomey and Jason Foran and Conor Brosnan}, title = {Assessing Managed Futures as an Inflation Hedgewithin a Multi-Asset Framework}, volume = {14}, number = {3}, pages = {33--43}, year = {2011}, doi = {10.3905/jwm.2011.14.3.033}, publisher = {Institutional Investor Journals Umbrella}, abstract = {This article examines the extent to which various asset classes, including managed futures, stocks, bonds, commodities, and gold, have hedged against inflation. The study uses data from the U.S. consumer pricing index from 1980 to 2011 as its measure of ex post inflation. We note the relative nominal and real performance of each of these asset classes and their relationship to inflation over several different time horizons. Using regression analysis, we find that managed futures provide a robust hedge against inflation, increasingly so over longer time frames. Equities and gold showed little relationship to inflation over any period while commodities display protection at shorter timeframes. Bonds were found to exhibit a significantly negative relationship with inflation over shorter time periods while a positive relationship was found over longer periods. In addition, we examine the relationship between the asset classes and the expected and unexpected components of inflation. Here we show that managed futures provided protection against expected inflation with commodities displaying a strong positive relationship to short-term, unexpected inflationary shocks. Bonds were shown to have a strong negative relationship to these same shocks. Overall, we find that managed futures display a strong protection profile with other asset classes failing to preserve wealth in certain inflationary environments over the entire 30-year sample period.TOPICS: Commodities, futures and forward contracts, portfolio construction, performance measurement}, issn = {1534-7524}, URL = {https://jwm.pm-research.com/content/14/3/33}, eprint = {https://jwm.pm-research.com/content/14/3/33.full.pdf}, journal = {The Journal of Wealth Management} }