Trend-Following In Inflationary Environments

Man Group

Lawrence Kissko, Graham Robertson

Research

9 Pages

Man Group examines how different asset classes and strategies perform during inflationary regimes, using nearly a century of data across major markets. The paper challenges the traditional 60/40 portfolio, showing it only delivered positive real returns in 25% of inflation periods, while trend-following and commodities consistently held up.

Key Takeaways

Trend Following Dominance: Delivered ~25% annualized real returns and remained positive in all 8 historical inflation regimes.
Commodities Outperformance: Generated ~14% real returns with a 100% hit rate across inflation periods, with energy commodities reaching as high as 41%.
60/40 Portfolio Weakness: Produced positive real returns in just 25% of inflation episodes, highlighting structural vulnerability to rising prices.
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