{"id":18460,"date":"2022-04-13T16:49:26","date_gmt":"2022-04-13T14:49:26","guid":{"rendered":"https:\/\/quantpedia.com\/?p=18460"},"modified":"2025-06-04T13:56:10","modified_gmt":"2025-06-04T11:56:10","slug":"whats-the-best-factor-for-high-inflation-periods-part-ii","status":"publish","type":"post","link":"https:\/\/vvv.quantpedia.com\/es\/whats-the-best-factor-for-high-inflation-periods-part-ii\/","title":{"rendered":"What&#8217;s the Best Factor for High Inflation Periods? &#8211; Part II"},"content":{"rendered":"<p class=\"wp-block-paragraph\"><strong>This second article offers a different look at high inflation periods, which we already analyzed in <a href=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/whats-the-best-factor-for-high-inflation-periods-part-i\/\">What&#8217;s the Best Factor for High Inflation Periods? &#8211; Part I<\/a>. In this second part, we look at factor performance during 10-year periods of high inflation.<\/strong><\/p>\n\n\n<p><\/p><center>Video summary:<\/center><p><\/p>\n<figure class=\"wp-block-embed-youtube wp-block-embed is-type-video is-provider-youtube wp-embed-aspect-16-9 wp-has-aspect-ratio responsive-video wp-embed-aspect-4-3\">\n<div class=\"wp-block-embed__wrapper\">\n<iframe title=\"The Best Trading Strategy for High Inflation Periods - Quantpedia Explains (Trading Strategies)\" width=\"800\" height=\"450\" src=\"https:\/\/www.youtube.com\/embed\/Va7u0IhIcac?list=PLxHtPNfvTm82UAYawJjOsdgM1zQ7c2T76\" frameborder=\"0\" allow=\"accelerometer; autoplay; clipboard-write; encrypted-media; gyroscope; picture-in-picture; web-share\" referrerpolicy=\"strict-origin-when-cross-origin\" allowfullscreen><\/iframe>\n<\/div>\n<\/figure>\n\n\n<h3 class=\"wp-block-heading\"><strong>High Inflation Periods<\/strong><\/h3>\n\n\n\n<p class=\"wp-block-paragraph\">As we already outlined in the first part, inflation measures an increase in prices over time. Most typically, we measure inflation on a yearly basis. We say that inflation is high when the annual increase in prices of goods and services is unexpectedly increased. You might ask what triggers these periods. Most typically, geopolitical conflicts.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\"><a href=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/whats-the-best-factor-for-high-inflation-periods-part-i\/\">The first article<\/a> looked closely at one-year periods of high inflation. This time we analyze longer periods. Again, we analyzed the <a href=\"https:\/\/www.minneapolisfed.org\/about-us\/monetary-policy\/inflation-calculator\/consumer-price-index-1913-\">Consumer Price Index from the Federal Reserve Bank of Minneapolis<\/a>, which includes the rate of inflation since 1913. Firstly, we calculated the top quintile and looked at which years inflation was higher. Therefore, we consider years with inflation above 5.62% high-inflation years.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">Accordingly, we have selected two 10-year periods with high inflation: 1941 \u2013 1951 (Second World War), 1973 \u2013 1983 (1973 Oil Crisis).<\/p>\n\n\n\n<figure class=\"wp-block-image\"><img fetchpriority=\"high\" decoding=\"async\" class=\"aligncenter wp-image-18462 size-full\" src=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/wp-content\/uploads\/2022\/04\/HIP00-RateOfInflation-10Y.png\" alt=\"\" width=\"800\" height=\"600\" srcset=\"https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/04\/HIP00-RateOfInflation-10Y.png 800w, https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/04\/HIP00-RateOfInflation-10Y-300x225.png 300w\" sizes=\"(max-width: 800px) 100vw, 800px\" \/><\/figure>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>Period 1: <\/strong><strong>1941 &#8211; 1951<\/strong><\/h3>\n\n\n\n<p class=\"wp-block-paragraph\">The first 10-year period since world war I with abnormal inflation occurred around the second world war. The annual inflation rate started to grow significantly in 1941, and by 1942 it reached 10.9%. After that, the inflation rate oscillated from year to year. However, the average inflation rate during the ten years from 1941 to 1951 was 5.86%, which is higher than the 20th percentile.<\/p>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>Period 2: <\/strong><strong>1973 &#8211; 1983<\/strong><\/h3>\n\n\n\n<p class=\"wp-block-paragraph\">The second 10-year high inflation period was started by the 1973 oil crisis. The oil crisis was a direct consequence of the Arab-Israeli War. Arab members of OPEC (the Organization of Petroleum Exporting Countries) restricted the U.S. because of their relationship with Israel. The U.S. was re-supplying the Israeli military to gain leverage during the post-war peace negotiations. The inflation rate rose from 3.3% in 1972 to 6.2% in 1973 and 11.1% in 1974. It stayed abnormal until 1983 when it fell to 3.2%.<\/p>\n\n\n\n<h2 class=\"wp-block-heading\"><strong>High Inflation Periods Analysis<\/strong><\/h2>\n\n\n\n<p class=\"wp-block-paragraph\">The 10-year periods around the second world war and the 1973 oil crisis are the main subjects of this article. We analyze the Fama and French 3 Factors (Mkt, SMB, HML), Momentum, Short-Term Reversal Factor, Long-Term Reversal Factor, and 10 Industry Portfolios during the time of the events.<\/p>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>Market During High Inflation Periods<\/strong><\/h3>\n\n\n\n<p class=\"wp-block-paragraph\">Firstly, we analyze the market&#8217;s movement during the abovementioned ten-year periods. The following figure illustrates the equity curves of the market. Market\u2019s performance during the 10-year period around the second world war was 292.38%, and during the 10-year period around the oil crisis was 2.67%. <\/p>\n\n\n\n<p class=\"wp-block-paragraph\">What&#8217;s the takeaway? The first one is that we do not have enough data points in this event-based study. We are missing the WW1 period with high inflation. But what we can say from the two high inflation periods in the 20th century is that market performance can surprise in both directions. It can be abysmal, as in the 70s and 80s. Or it can be roaring as during the 40s. We really do not have enough data points to guess how it will look in the current situation.<\/p>\n\n\n\n<figure class=\"wp-block-image\"><img decoding=\"async\" class=\"aligncenter wp-image-18463 size-full\" src=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/wp-content\/uploads\/2022\/04\/HIP01-Market-1.png\" alt=\"\" width=\"800\" height=\"479\" srcset=\"https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/04\/HIP01-Market-1.png 800w, https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/04\/HIP01-Market-1-300x180.png 300w\" sizes=\"(max-width: 800px) 100vw, 800px\" \/><\/figure>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>Safe-Haven Assets During High Inflation Years<\/strong><\/h3>\n\n\n\n<p class=\"wp-block-paragraph\">Secondly, we look into how safe-haven assets would behave during the 10-year periods of high inflation. We use the <a href=\"https:\/\/mba.tuck.dartmouth.edu\/pages\/faculty\/ken.french\/Data_Library\/det_10_ind_port.html\">10 Industry Portfolios<\/a> to create a bond-like portfolio by going long utilities and shorting the average of the nine industries ex. utilities. The long-short portfolio should have a bond-like payoff. The 10-year performance during 1941 \u2013 1951 is -15.65% and during 1973 \u2013 1983 is -8.06%. <\/p>\n\n\n\n<p class=\"wp-block-paragraph\">The takeaway &#8211; bond-like assets underperform nearly always.<\/p>\n\n\n\n<figure class=\"wp-block-image\"><img decoding=\"async\" class=\"aligncenter wp-image-18464 size-full\" src=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/wp-content\/uploads\/2022\/04\/HIP02-Utilities-1.png\" alt=\"\" width=\"800\" height=\"479\" srcset=\"https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/04\/HIP02-Utilities-1.png 800w, https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/04\/HIP02-Utilities-1-300x180.png 300w\" sizes=\"(max-width: 800px) 100vw, 800px\" \/><\/figure>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>Energy Prices Proxy <\/strong><\/h3>\n\n\n\n<p class=\"wp-block-paragraph\">Additionally, we examined the energy prices proxy\/ crude oil proxy by calculating another long-short portfolio. Again, we analyze the <a href=\"https:\/\/mba.tuck.dartmouth.edu\/pages\/faculty\/ken.french\/Data_Library\/det_10_ind_port.html\">10 Industry Portfolios<\/a>, and we calculate a portfolio that goes long energy and shorts the average of the nine industries ex. energy. Portfolio\u2019s 10-year performance during the period around the second world war was 113.41%, and around the oil crisis was 37.52%.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">Those numbers look impressive but notice the path of both equity curves. The energy sector outperforms only during a subset of years, and it&#8217;s not such a great hedge. The trend-following filter would probably help, but the outperformance of energy stocks is still far from guaranteed during the whole high inflation period.<\/p>\n\n\n\n<figure class=\"wp-block-image\"><img loading=\"lazy\" decoding=\"async\" class=\"aligncenter wp-image-18465 size-full\" src=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/wp-content\/uploads\/2022\/04\/HIP03-Energy-1.png\" alt=\"\" width=\"800\" height=\"479\" srcset=\"https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/04\/HIP03-Energy-1.png 800w, https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/04\/HIP03-Energy-1-300x180.png 300w\" sizes=\"(max-width: 800px) 100vw, 800px\" \/><\/figure>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>Tech Portfolios During High Inflation Years<\/strong><\/h3>\n\n\n\n<p class=\"wp-block-paragraph\">Furthermore, we examined the tech prices proxy by calculating another long-short portfolio. Again, we analyze the <a href=\"https:\/\/mba.tuck.dartmouth.edu\/pages\/faculty\/ken.french\/Data_Library\/det_10_ind_port.html\">10 Industry Portfolios<\/a>, and we calculate a portfolio that goes long tech and shorts the average of the nine industries ex. tech. Overall, the tech industry portfolio was very volatile during both examined periods. Portfolio\u2019s 10-year performance during the period around the second world war was -8.30%, and around the oil crisis was -1.38%.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">We can confidently say that we can&#8217;t expect anything stellar from the tech sector&#8217;s performance in the high inflation periods. There is no year in which we would prefer to hold or outweigh tech stocks instead of holding just the diversified market index.<\/p>\n\n\n\n<figure class=\"wp-block-image\"><img loading=\"lazy\" decoding=\"async\" class=\"aligncenter wp-image-18466 size-full\" src=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/wp-content\/uploads\/2022\/04\/HIP04-Tech-1.png\" alt=\"\" width=\"800\" height=\"479\" srcset=\"https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/04\/HIP04-Tech-1.png 800w, https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/04\/HIP04-Tech-1-300x180.png 300w\" sizes=\"(max-width: 800px) 100vw, 800px\" \/><\/figure>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>Long Term Reversal Factor<\/strong><\/h3>\n\n\n\n<p class=\"wp-block-paragraph\">In this section, we explore the <a href=\"https:\/\/mba.tuck.dartmouth.edu\/pages\/faculty\/ken.french\/Data_Library\/det_lt_rev_factor_daily.html\">long-term reversal factor<\/a>. The performance of long-term reversal was positive during both examined periods. The 10-year performance of the long-term reversal factor during the period around the second world war was 75.25%, and around the oil crisis was 89.84%. <\/p>\n\n\n\n<p class=\"wp-block-paragraph\">The long-run reversal factor is a pleasant surprise. The outperformance is not consistent, but equity curves look better than equity curves of displaying alpha of energy stocks portfolio.<\/p>\n\n\n\n<figure class=\"wp-block-image\"><img loading=\"lazy\" decoding=\"async\" class=\"aligncenter wp-image-18467 size-full\" src=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/wp-content\/uploads\/2022\/04\/HIP05-LongTermReversal-1.png\" alt=\"\" width=\"800\" height=\"479\" srcset=\"https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/04\/HIP05-LongTermReversal-1.png 800w, https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/04\/HIP05-LongTermReversal-1-300x180.png 300w\" sizes=\"(max-width: 800px) 100vw, 800px\" \/><\/figure>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>Momentum Effect During High Inflation Periods<\/strong><\/h3>\n\n\n\n<p class=\"wp-block-paragraph\">The performance of the <a href=\"https:\/\/mba.tuck.dartmouth.edu\/pages\/faculty\/ken.french\/Data_Library\/det_mom_factor_daily.html\">momentum effect<\/a> is also positive during both analyzed periods. The 10-year performance during World War II is 48.57%, and 141.77% during the 1973 Oil Crisis.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">The momentum factor performance looks promising during high inflation periods.<\/p>\n\n\n\n<figure class=\"wp-block-image\"><img loading=\"lazy\" decoding=\"async\" class=\"aligncenter wp-image-18468 size-full\" src=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/wp-content\/uploads\/2022\/04\/HIP06-Momentum-1.png\" alt=\"\" width=\"800\" height=\"487\" srcset=\"https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/04\/HIP06-Momentum-1.png 800w, https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/04\/HIP06-Momentum-1-300x183.png 300w\" sizes=\"(max-width: 800px) 100vw, 800px\" \/><\/figure>\n\n\n\n<h3 class=\"wp-block-heading\"><strong>SMB and HML<\/strong><\/h3>\n\n\n\n<p class=\"wp-block-paragraph\">Small Minus Big (SMB) and High Minus Low (HML) are two of the <a href=\"https:\/\/mba.tuck.dartmouth.edu\/pages\/faculty\/ken.french\/Data_Library\/f-f_factors.html\">Fama and French 3 Factors<\/a>. SMB is defined as the average return on the three small portfolios minus the average return on the three big portfolios. Portfolio\u2019s 10-year performance during the second world war was 39.30%, and during the oil crisis was&nbsp; 84.43%.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">The outperformance of small-cap stocks vs. large-cap stocks during high inflation periods looks promising, but it&#8217;s not so consistent as the performance of momentum or the last factor in our list &#8211; Fama &amp; French HML or value factor.<\/p>\n\n\n\n<figure class=\"wp-block-image\"><img loading=\"lazy\" decoding=\"async\" class=\"aligncenter wp-image-18469 size-full\" src=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/wp-content\/uploads\/2022\/04\/HIP07-SMB-1.png\" alt=\"\" width=\"800\" height=\"479\" srcset=\"https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/04\/HIP07-SMB-1.png 800w, https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/04\/HIP07-SMB-1-300x180.png 300w\" sizes=\"(max-width: 800px) 100vw, 800px\" \/><\/figure>\n\n\n\n<p class=\"wp-block-paragraph\">The HML is defined as the average return on the two value portfolios minus the average return on the two growth portfolios. Portfolio\u2019s 10-year performance during the second world war was 189.59%, and during the oil crisis was&nbsp;150.80%.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\"><strong><strong>And here we have a definitive winner. The HML factor (value stocks) was a true hedge for high inflation periods in the 20th century.<\/strong><\/strong><\/p>\n\n\n\n<figure class=\"wp-block-image\"><img loading=\"lazy\" decoding=\"async\" class=\"aligncenter wp-image-18470 size-full\" src=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/wp-content\/uploads\/2022\/04\/HIP08-HML-1.png\" alt=\"\" width=\"800\" height=\"479\" srcset=\"https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/04\/HIP08-HML-1.png 800w, https:\/\/vvv.quantpedia.com\/wp-content\/uploads\/2022\/04\/HIP08-HML-1-300x180.png 300w\" sizes=\"(max-width: 800px) 100vw, 800px\" \/><\/figure>\n\n\n\n<p class=\"wp-block-paragraph\"><strong>Author:<br>Daniela Hanicova, Quant Analyst, Quantpedia<\/strong><\/p>\n\n\n\n<hr class=\"wp-block-separator has-alpha-channel-opacity\"\/>\n\n\n\n<p class=\"wp-block-paragraph\" id=\"block-854363cc-8450-4dc0-a06a-c737766e9431\"><strong>Are you looking for more strategies to read about? <a href=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/sign-up-for-our-newsletter\/\">Sign up for our newsletter<\/a> or visit our <a href=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/blog\/\">Blog<\/a> or <a href=\"http:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/Screener\">Screener<\/a><\/strong>.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\" id=\"block-65925002-6290-4d3b-b5cd-f3a277851ec8\"><strong>Do you want to learn more about Quantpedia Premium service? 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Check our list of&nbsp;<a href=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/links-tools\/?category=algo-trading-discounts\">Algo Trading Discounts<\/a><\/strong>.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\"><strong>Would you like free access to <a href=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/pricing\/\" title=\"\">our services<\/a>? Then, <a href=\"https:\/\/lightspeed.com\/lp\/quantpedia-lightspeed-financial-services-group-one-free-year-promotion\" title=\"\">open an account with Lightspeed<\/a> and enjoy one year of Quantpedia Premium at no cost.<\/strong><\/p>\n\n\n\n<hr class=\"wp-block-separator has-alpha-channel-opacity\"\/>\n\n\n\n<p class=\"wp-block-paragraph\" id=\"block-4c45d6c9-c8dd-4283-8743-bf573cfa4d45\"><strong>Or follow us on:<\/strong><\/p>\n\n\n\n<p class=\"wp-block-paragraph\" id=\"block-476e95ed-31a5-4c4d-b701-5203f9fb2e24\"><strong>Facebook <a href=\"https:\/\/www.facebook.com\/groups\/quantstrategies\">Group<\/a>, Facebook <a href=\"https:\/\/www.facebook.com\/quantpedia\/\">Page<\/a>, <a href=\"https:\/\/twitter.com\/quantpedia\">Twitter<\/a>, <a href=\"https:\/\/www.linkedin.com\/company\/quantpedia\">Linkedin<\/a>, <a href=\"https:\/\/quantpedia.medium.com\/\">Medium<\/a> or <a href=\"https:\/\/www.youtube.com\/channel\/UC_YubnldxzNjLkIkEoL-FXg\">Youtube<\/a><\/strong><\/p>","protected":false},"excerpt":{"rendered":"<p><strong>This second article offers a different look at high inflation periods, which we already analyzed in <a href=\"https:\/\/\\\/\\\/new-fmhwbzh6ghd9hede.swedencentral-01.azurewebsites.net\/whats-the-best-factor-for-high-inflation-periods-part-i\/\"><strong>What&#8217;s the Best Factor for High Inflation Periods? &#8211; Part I<\/strong><\/a>. The second part looks at factor performance during two 10-year periods of high inflation. What&#8217;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&#8217;t perform as consistently as value and momentum.<\/strong><\/p>","protected":false},"author":24306,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[1],"tags":[60,163,147,51,46,159,146,56,58],"class_list":["post-18460","post","type-post","status-publish","format-standard","hentry","category-uncategorized","tag-equity-long-short","tag-factor-allocation","tag-factor-investing","tag-market-timing","tag-momentum","tag-own-research","tag-smart-beta","tag-stock-picking","tag-value"],"_links":{"self":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/posts\/18460","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/users\/24306"}],"replies":[{"embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/comments?post=18460"}],"version-history":[{"count":0,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/posts\/18460\/revisions"}],"wp:attachment":[{"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/media?parent=18460"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/categories?post=18460"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/vvv.quantpedia.com\/es\/wp-json\/wp\/v2\/tags?post=18460"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}