This second article offers a different look at high inflation periods, which we already analyzed in What’s the Best Factor for High Inflation Periods? – Part I. The second part looks at factor performance during two 10-year periods of high inflation. What’s our main takeaway? The best hedge for a high inflation period is the value or momentum factor. Other promising factors (energy sector, small-cap stocks, or long-run reversal) don’t perform as consistently as value and momentum.

Another period of long sustained high inflation is probably right around the corner, as the Russia-Ukraine Conflict keeps evolving, and its end is nowhere to be seen. In this article, we analyzed the Consumer Price Index from the Federal Reserve Bank of Minneapolis, which includes the rate of inflation in the USA since 1913. We found multiple years during which the inflation was abnormally high and analyzed the performance of the known equity long-short factors. The factors with the highest average performance are HML (value stocks), long-term reversal, momentum, and energy stocks. On the other hand, tech stocks, bond-like assets, and the SMB factor should be avoided during the high inflation periods.

Hello all,

What have we accomplished in the last month?

– A new Quantpedia Pro report – Fixed Income Phases Analysis
– A possibility to export data from Quantpedia Pro reports for further analysis
– A new faster integration with QuantConnect backtesting environment
– 10 new Quantpedia Premium strategies have been added to our database
– 12 new related research papers have been included in existing Premium strategies during the last month
– Additionally, we have produced 8 new backtests written in QuantConnect code
– And finally, 3+3 new blog posts that you may find interesting have been published on our Quantpedia blog in the previous month

Five new strategies have been added.

Five new related research papers have been included into existing strategy reviews and three short free blog posts have been published during last few weeks.
Plus, four trading strategies have been backtested in QuantConnect in the previous two weeks.