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Article

Investing in Times of Inflation Fears: Diversification Properties of Investments in Liquid Real Assets

Michael B. Grelck, Stefan Prigge, Lars Tegtmeier, Mihail Topalov and Igor Torpan
The Journal of Wealth Management Winter 2011, 14 (3) 44-57; DOI: https://doi.org/10.3905/jwm.2011.14.3.044
Michael B. Grelck
is a managing director at Dr. Grelck Consulting GmbH in Hamburg, Germany.
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  • For correspondence: grelck@drg-ub.com
Stefan Prigge
is a professor of corporate finance and corporate accounting at the HSBA Hamburg School of Business Administration in Hamburg, Germany.
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  • For correspondence: prigge@web.de
Lars Tegtmeier
is a managing director of TKL.Fonds Gesellschaft für Fondsconception und –analyse mbH and a lecturer of asset management at the FOM Hochschule für Oekonomie & Management in Hamburg, Germany.
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  • For correspondence: tegtmeier@tkl-fonds.de
Mihail Topalov
is a managing director of TKL.Fonds Gesellschaft für Fondsconception und –analyse mbH in Hamburg, Germany.
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  • For correspondence: topalov@tkl-fonds.de
Igor Torpan
is an economist at the Cimislia Town Hall, in Cimislia, Moldova.
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  • For correspondence: richytorpan@yahoo.de
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Abstract

The financial crisis and the rescue measures taken by governments and central banks increased investors’ interest in liquidity and in real assets supposed to offer a hedge against inflation. Against this background, we investigate empirically four real assets (real estate, commodities, infrastructure, and shipping) for which there are investment instruments available that trade in liquid markets. Our empirical study using data from 1999 to 2009 yields several results: First, in most cases, the addition of real assets improved portfolio performance in comparison with a base portfolio consisting only of standard stocks and bonds. Second, the time frame chosen for the analysis matters very much. This is bad news for investors, because there is no such thing as the single true time frame for this purpose. Third, despite significant conceptual differences, our four different performance measures led to the same conclusions. This result is interesting for investors beyond our specific setting, because the selection of a specific performance measure from the vast supply of such measures does not seem to matter much. Fourth, although we focused on a certain way to invest into the discussed real assets, investors have different alternatives for investing. These alternatives share specific characteristics and reflect certain advantages and disadvantages.

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The Journal of Wealth Management: 14 (3)
The Journal of Wealth Management
Vol. 14, Issue 3
Winter 2011
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Investing in Times of Inflation Fears: Diversification Properties of Investments in Liquid Real Assets
Michael B. Grelck, Stefan Prigge, Lars Tegtmeier, Mihail Topalov, Igor Torpan
The Journal of Wealth Management Oct 2011, 14 (3) 44-57; DOI: 10.3905/jwm.2011.14.3.044

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Investing in Times of Inflation Fears: Diversification Properties of Investments in Liquid Real Assets
Michael B. Grelck, Stefan Prigge, Lars Tegtmeier, Mihail Topalov, Igor Torpan
The Journal of Wealth Management Oct 2011, 14 (3) 44-57; DOI: 10.3905/jwm.2011.14.3.044
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  • Article
    • Abstract
    • PERFORMANCE MEASURES
    • DATABASE
    • HYPOTHESES
    • DESCRIPTIVE STATISTICS
    • ANALYSIS OF DIVERSIFICATION PROPERTIES
    • RESULTS
    • DISCUSSION
    • PRACTICAL CONSIDERATIONS
    • CONCLUSION
    • ENDNOTE
    • REFERENCES
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