Economy & PolicyExtended setexperimental liveNew

Inflation Beta Rotation

Updated dailyData needs: lowlong onlyshort onlylong short

2020

Boons, M., Duarte, F., de Roon, F., Szymanowska, M. (2020). Time-Varying Inflation Risk and Stock Returns. Journal of Financial Economics 136(2), 444-470.

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In plain terms

Boons, Duarte, de Roon & Szymanowska (2020): a stock's inflation beta (rolling covariance of returns with CPI growth) is priced and the sign of the inflation risk premium flips across regimes.

How it works

Boons, Duarte, de Roon & Szymanowska (2020): a stock's inflation beta (rolling covariance of returns with CPI growth) is priced and the sign of the inflation risk premium flips across regimes. Estimate rolling 36m inflation beta from daily_prices vs FRED CPIAUCSL MoM, condition long/short direction on the current accelerating/decelerating inflation state, tilt to high-inflation-beta names when CPI

Live results

33 times picked on its own · 58 times inside a blend (52 beat the stock) · updated 2026-07-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 58 such blended picks (52 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

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Data dependencies

Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
Fred macro (CPIAUCSL)
A data feed this strategy reads, refreshed on its normal schedule.

Expected edge

Tested over: Modern daily equity data

risk-premium premium; decay risk 2/5.

Example tickers where this is likely to fire

SPY AAPL NVDA TSLA

Illustrative only, the signal fires based on the live data, not a fixed list.

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