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.
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