Let’s say you’re sorting securities based upon their “inflation beta.” What security / index / time-series are you using as your measure of inflation and why? e.g. TIPs vs Nominal; Copper; Food price index; 5y5y forward breakeven; a combination?
I’d probably use a combination of seasonally adjusted MoM CPI and weekly/monthly CPI forecast revisions. All the others (maybe except food price index) have big non-inflation components that will leak into the analysis. I’d also use GDP growth/GDP forecast revisions as control.
