ABSTRACT

Within the period 1965 to 2015 all domestic asset class returns (except cash) are found to exhibit negative correlations with the contemporaneous inflation rate. Cash has hedging qualities due to Reserve Bank inflation targeting policy action but has a low real yield. Furthermore, Engle-Granger cointegration tests show that none of the asset class prices displays a long-term equilibrium relationship with the CPI. Using local growth assets as “inflation hedges” in a “CPI plus” mandate is more of an attempt to outperform inflation than to actually hedge against it.

In contrast, it was found that “rand-hedge” asset classes could offer inflation protection. Offshore bond returns exhibited a significant positive contemporaneous relationship with inflation over a one- to three-year horizon and was the only asset class to do so. Looking at non-contemporaneous relationships, the prior 12-month rand returns on all foreign asset classes (and the local RESI) were found to be positively correlated with current inflation due to the return enhancement of rand weakening later feeding through into future imported inflation. Thus, rand hedges offer an “up-front” compensation for future inflation and, understood as such, can provide effective inflation protection for locally based investors.

摘要

在1965年至2015年期间，发现所有国内资产类别收益（现金除外）与同期通货膨胀率均呈负相关。现金由于储备银行针对政策行动的通胀而具有套期保值性质，但实际收益率较低。此外，Engle-Granger协整检验表明，没有任何资产类别价格与CPI表现出长期均衡关系。在“ CPI加”指令中将本地增长资产用作“通胀对冲”，实际上是试图超越通胀，而不是实际对冲。

相反，人们发现，“对冲”资产类别可以提供通胀保护。离岸债券收益在一年到三年的时间内与通货膨胀呈现显着的正相关关系，并且是这样做的唯一资产类别。从非同期关系来看，发现所有外国资产类别（和本地RESI）的先前12个月兰特回报率与当前通胀呈正相关，这是由于兰特的回报增强削弱了后来汇入未来的进口通胀。因此，兰特对冲为未来的通货膨胀提供“前期”补偿，因此可以为本地投资者提供有效的通货膨胀保护。