A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2006; you can also visit the original URL.
The file type is application/pdf
.
Diversification Benefits of Treasury Inflation Protected Securities: An Empirical Puzzle
2006
Social Science Research Network
This paper takes a new look into the benefits of Treasury Inflation Protected Security (TIPS) to investors. We test whether TIPS enhances the risk return characteristics of investors' portfolio using data from April 1997 to August 2005. We show from conditional spanning test that adding TIPS to any diversified portfolio provide diversification benefit to investors. We also show that this result can be supported using UK inflation Linked Gilts from January 1981 to August 2005. This confirms the
doi:10.2139/ssrn.885062
fatcat:pfo2335mrjdg7doco54hucoibu