Evidence-based investing research
Login Join
Value Investing Strategy (Strategy Overview)
Allocations for November 2026 (Final)
Cash TLT LQD SPY
Momentum Investing Strategy (Strategy Overview)
Allocations for November 2026 (Final)
1st ETF 2nd ETF 3rd ETF

Recent Interactions of Asset Classes with Inflation (CPI)

Steve LeCompte | | Posted in: Bonds, Commodity Futures, Economic Indicators, Equity Premium, Gold, Real Estate

Guide Market Indicators Economic indicators

Key Insight

Quarterly change in NSA all-items CPI correlates negatively with ETF returns two to three quarters later for multiple asset classes, with long-term Treasuries and gold differing (10 ETFs; Dec 2007–mid-Aug 2026; lead-lag; descriptive; not a trading test).

How do returns of different asset classes recently interact with inflation as measured by monthly change in the not seasonally adjusted, all-items consumer price index (CPI) from the U.S. Bureau of Labor Statistics? To investigate, we look at lead-lag relationships between change in CPI and returns for each of the following 10 exchange-traded fund (ETF) asset class proxies:

  • Equities:
    • SPDR S&P 500 (SPY)
    • iShares Russell 2000 Index (IWM)
    • iShares MSCI EAFE Index (EFA)
    • iShares MSCI Emerging Markets Index (EEM)
  • Bonds:
    • iShares Barclays 20+ Year Treasury Bond (TLT)
    • iShares iBoxx $ Investment Grade Corporate Bond (LQD)
    • iShares JPMorgan Emerging Markets Bond Fund (EMB)
  • Real assets:
    • Vanguard REIT ETF (VNQ)
    • SPDR Gold Shares (GLD)
    • Invesco DB Commodity Index Tracking (DBC)

Using monthly total CPI values and monthly dividend-adjusted prices for the 10 specified ETFs during December 2007 (limited by EMB) through mid-August 2026, we find that:

Subscribe to Keep Reading

Get the research edge serious investors rely on.

  • 1,200+ research articles
  • Monthly strategy signals
  • 20+ years of backtested analysis
$17.99 /month

Cancel anytime

Subscribe Now

Or read this article free

Enter your email and we’ll send you a link. 3 premium articles a month, no password or card.

Market Indicators guide

More on economic indicators

All 309 articles in the Market Indicators guide

Further Reading

Bonds, Commodity Futures, Economic Indicators, Equity Premium, Gold, Real Estate Recent Interactions of Asset Classes with Inflation (PPI) Change in not seasonally adjusted all-commodities PPI is associated with weaker future returns for multiple ETF asset classes... Bonds, Commodity Futures, Economic Indicators, Equity Premium, Gold, Real Estate Growth-inflation Regimes and Asset Class Returns Claude-generated charts of annual SPY, TLT, VNQ, GLD and DBC returns across four growth-inflation regimes show no obvious... Currency Trading, Economic Indicators Asset Class ETF Interactions with the U.S. Dollar Most asset class ETFs (except TLT) show moderately negative same-month correlations with UUP returns, while lead-lag correlations are... Currency Trading, Economic Indicators, Gold BTC Interactions with GLD, CPI and EFFR Does bitcoin (BTC) return exhibit any exploitable leading or lagging roles with respect to gold (SPDR Gold Shares... Currency Trading, Economic Indicators Asset Class ETF Interactions with the Euro FXE monthly returns correlate positively with same-month returns of most SACEMS/SACEVS asset class ETFs, except TLT, but not... Economic Indicators Yield Curve as a Stock Market Indicator 10-year T-note minus 3-month T-bill spread timing (monthly; SPY to cash when spread is over 1 SD below...