Inflation Tracker November 12, 2021
Transcript of Inflation Tracker November 12, 2021
Inflation Tracker – November 12, 2021
Jack Janasiewicz, CFA®
Portfolio Manager and Portfolio Strategist
Portfolio Analysis & Consulting
Garrett Melson, CFA®
Portfolio Strategist
Natixis Investment Managers | SolutionsINFLATION TRACKER
Meatflation: Not As Extreme As It Seems
2
Source: Portfolio Analysis & Consulting. American Farm Bureau Federation.
American Farm Bureau Classic Thanksgiving Dinner Inflation (1987–2021)
-20.0%
-15.0%
-10.0%
-5.0%
0.0%
5.0%
10.0%
15.0%
20.0%
1987 1990 1993 1996 1999 2002 2005 2008 2011 2014 2017 2020
Perc
ent
Change
1Y % Change 2Y Annualized % Change
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At Least Adult Beverages Are Still Affordable
3
Source: Portfolio Analysis & Consulting. Bloomberg.
CPI: Alcoholic Beverages at Home (10/31/88–10/31/21)
-1.0%
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
9.0%
10.0%
1988 1990 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020
2Y
Annualiz
ed %
Change
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And It Won’t Cost Too Much to Work Off Those Extra Holiday Pounds
4
Source: Portfolio Analysis & Consulting. Bloomberg.
CPI: Club Dues & Fees for Participation Sports & Group Exercise (1/31/00–10/31/21)
-3.0%
-2.0%
-1.0%
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020
2Y
Annualiz
ed %
Change
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Actual vs Target
5
Source: Portfolio Analysis & Consulting. FactSet.
US Personal Consumption Expenditures vs Consumer Price Inflation (11/30/09–10/31/21)
0.00
0.50
1.00
1.50
2.00
2.50
3.00
3.50
4.00
4.50
5.00
2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020
in %
, Y
oY
Core CPI
Core PCE
Fed Target
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Looking Over The Gap
6
Source: Portfolio Analysis & Consulting. FactSet.
US Personal Consumption Expenditures: Another Way To Look At It (11/30/96–9/30/21)
-2.00
-1.00
0.00
1.00
2.00
3.00
4.00
5.00
1996 1998 2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020
in %
PCE (1Y % Change)
PCE (2Y Annualized % Change)
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The COVID Shortfall
7
Source: Portfolio Analysis & Consulting. FactSet.
12 Month Change in Personal Consumption Expenditures (1/31/20–9/30/21)
0.00
0.50
1.00
1.50
2.00
2.50
3.00
3.50
4.00
4.50
5.00
Jan-20 Apr-20 Jul-20 Oct-20 Jan-21 Apr-21 Jul-21
in %
PCE 12M Change
Cumulative Average Since Jan 2020
2% Target Average
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Inflation Monitor
Source: Portfolio Analysis & Consulting. FactSet. Median CPI is the Federal Reserve Bank of Cleveland’s Median Consumer Price Index that looks at the median price change of the CPI prices. Trimmed Mean CPI is the Federal Reserve Bank of Cleveland’s 16% Trimmed Mean Consumer Price Index which excludes 8% of the CPI components with the highest and lowest one month price changes. The Trimmed Mean PCE inflation rate produced by the Federal Reserve Bank of Dallas is an alternative measure of core inflation in the price index for personal consumption expenditures (PCE). The individual price changes are sorted in ascending order from “fell the most” to “rose the most,” and a certain fraction of the most extreme observations at both ends of the spectrum are thrown out or trimmed. The inflation rate is then calculated as a weighted average of the remaining components. Sticky Price CPI is the Federal Reserve Bank of Atlanta’s Sticky-Price Consumer Price Index which sorts the components of the CPI into either flexible sticky (slow to change) categories based on the frequency of their price adjustments. Core CPI is the Bureau of Labor Statistics Core Consumer Price Index which measures the CPI excluding energy and food prices. Core PCE is the Bureau of Economic Analysis Personal Consumption Expenditures Index which excludes energy and food prices.
Trends in Inflation (11/30/09–10/30/21)
8
0.00
0.50
1.00
1.50
2.00
2.50
3.00
3.50
4.00
4.50
5.00
2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020
in %
Core CPI
Cleveland Fed Median CPI
Cleveland Fed Trimmed-Mean CPI
Atlanta Fed Sticky CPI
Dallas Trimmed-Mean PCE
Core PCE
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Inflation Surprises
9
Source: Portfolio Analysis & Consulting. FactSet.
Citi’s Inflation Surprise Index (11/30/06–10/31/21)
-80.00
-60.00
-40.00
-20.00
0.00
20.00
40.00
60.00
80.00
100.00
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020
Index L
evel
US Inflation Surprise Index
Euro Zone Inflation Surprise Index
Japan Inflation Surprise Index
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Sticky vs Flexible Inflation
10
Source: Portfolio Analysis & Consulting. FactSet. Sticky-price goods are defined as price changes for a particular CPI component that occur less often, on average, than every 4.3 months. Goods that change prices more frequently than this are labeled “flexible-price” goods. About 70 percent of the headline CPI is composed of sticky-price goods and 30 percent of flexible-price goods. About half of the flexible-price CPI comprises food and energy goods, the remainder being largely autos, apparel, and lodging away from home. The sticky-price CPI includes many service-based categories, including medical services, education, and personal care services, as well as most of the housing categories which, by construction, change only infrequently.
Cleveland Fed’s Sticky vs Flexible Inflation (12/31/00–10/31/21)
-5.00
-2.50
0.00
2.50
5.00
7.50
10.00
12.50
15.00
17.50
20.00
2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020
% Y
oY
Core Sticky CPI (%, YoY)
Core Flexible CPI (%, YoY)
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Procyclical vs Acyclical Inflation
11
Source: Portfolio Analysis & Consulting. Bloomberg. Procyclical inflation exhibits a relationship with overall economic conditions where prices moves in tandem with the economic cycle. Those categories where inflation has been Acyclical are those where prices are driven by category-specific developments that are independent of the state of the overall economy. Categories exhibiting a procyclical relationship make up 42% of the PCE and include housing, recreational services, food services, and some nondurable goods. The acyclical categories, which make up the remaining 58%, include health-care services, financial services, clothing, transportation, and some other smaller categories.
San Francisco Fed’s Procyclical vs Acyclical Inflation (1/31/05–9/30/21)
-0.50
0.00
0.50
1.00
1.50
2.00
2.50
3.00
2005 2007 2009 2011 2013 2015 2017 2019 2021
% Y
oY
Procyclical Inflation
Acyclical Inflation
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Services Inflation
12
Source: Portfolio Analysis & Consulting. Bloomberg.
Core Consumer Price Inflation vs Core Consumer Price Inflation: Services less Energy Services (12/31/00–10/31/21)
0.00
0.50
1.00
1.50
2.00
2.50
3.00
3.50
4.00
4.50
5.00
2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020
% Y
oY
Core CPI
CPI: Services Less Energy Services
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Goods vs Services
13
Source: Portfolio Analysis & Consulting. Bloomberg.
Contribution to Headline Consumer Price Inflation: Services vs Durable Goods (10/31/12–10/31/21)
-0.50%
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
2012 2013 2014 2015 2016 2017 2018 2019 2020
Contr
ibution t
o C
PI
Durable Goods Services less Commodities
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Underlying Inflation Pressures
14
Source: Portfolio Analysis & Consulting. FactSet.
New York Fed’s Underlying Inflation Gauge vs Median Consumer Price Inflation (12/31/95–10/31/21)
0.00
0.50
1.00
1.50
2.00
2.50
3.00
3.50
4.00
-1.50
-0.50
0.50
1.50
2.50
3.50
4.50
1995 1997 1999 2001 2003 2005 2007 2009 2011 2013 2015 2017 2019
Cle
vela
nd F
ed M
edia
n C
PI
YoY
%
Underlyin
g I
nflation G
auge Y
oY
%
Underlying Inflation Gauge (Adv 15M, LHS)
Cleveland Fed Median CPI (RHS)
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Inflation Momentum
15
Source: Portfolio Analysis & Consulting. FactSet.
Core Consumer Prices Momentum vs Core Personal Consumption Expenditures (9/30/11–10/31/21)
-2.00
-1.00
0.00
1.00
2.00
3.00
4.00
5.00
6.00
7.00
8.00
2011 2013 2015 2017 2019 2021
in %
Core PCE Momentum
6M Change Annualized (%)
1 Year Change (%)
3M Change Annualized (%)
Fed Target (%)
-4.00
-2.00
0.00
2.00
4.00
6.00
8.00
10.00
12.00
2011 2013 2015 2017 2019 2021
in %
Core CPI Momentum
6M Change Annualized (%)
1 Year Change (%)
3M Change Annualized (%)
Fed Target (%)
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Inflation Surge Behind Us?
16
Source: Portfolio Analysis & Consulting. Bloomberg.
Core Consumer Price Inflation: Month on Month Change (12/31/17–10/31/21)
-0.60
-0.40
-0.20
0.00
0.20
0.40
0.60
0.80
1.00
Dec-17 Apr-18 Aug-18 Dec-18 Apr-19 Aug-19 Dec-19 Apr-20 Aug-20 Dec-20 Apr-21 Aug-21
in %
Core CPI MoM %
2018-2019 Average
5 Month Surge
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COVID Sensitive Inputs
17
Source: Portfolio Analysis & Consulting. Bloomberg. COVID-sensitive components include those categories where either prices or quantities moved in a statistically significant manner at the onset of the pandemic, between February and April 2020. COVID-insensitive components include all other core PCE categories.
COVID Sensitive and Insensitive Contributions to Inflation (1/31/16–9/30/21)
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
2016 2017 2018 2019 2020 2021
% Y
oY
COVID-Insensitive COVID-Sensitive
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COVID Sensitive Inputs
18
Source: Portfolio Analysis & Consulting. Bloomberg. Demand-sensitive categories are those categories where quantity and price changed in the same direction between February and April 2020, both at a statistically significant level. Supply-sensitive categories are those in which quantity and price changed in opposite directions, both at a statistically significant level. The ambiguous category includes those sensitive goods or services that experienced a statistically significant change in either quantity or price, but not a statistically significant change in both quantity and price.
COVID Sensitive and Insensitive Contributions to Inflation (1/31/16–9/30/21)
-1.0
-0.5
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
2016 2017 2018 2019 2020 2021
% Y
oY
COVID-Insensitive
COVID-Sensitive: Demand
COVID-Sensitive: Ambiguous
COVID-Sensitive: Supply
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Health Care Surge A Headwind
19
Source: Portfolio Analysis & Consulting. Bloomberg.
Health Care Inflation (1/31/03–9/30/21)
0.00%
0.10%
0.20%
0.30%
0.40%
0.50%
0.60%
0.70%
0.80%
10.0%
12.0%
14.0%
16.0%
18.0%
20.0%
22.0%
24.0%
26.0%
2003 2005 2007 2009 2011 2013 2015 2017 2019 2021
Contr
ibution t
o %
YoY
Weig
ht
Health Care Weight (LHS)
Health Care Contribution to PCE Deflator (RHS)
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Bottlenecking Pressures
20
Source: Portfolio Analysis & Consulting. Bloomberg. Z score takes the average of the resulting surveys from the Dallas Fed Manufacturing Survey, Kansas City Fed Manufacturing Survey, Richmond Fed Manufacturing Survey, Empire State Manufacturing Survey and Philadelphia Fed Manufacturing Survey.
Z Score of Prices Paid and Delivery Times From Regional Fed Surveys (6/30/04–10/31/21)
-4
-3
-2
-1
0
1
2
3
4
5
2004 2006 2008 2010 2012 2014 2016 2018 2020
Com
posite Z
-Score
Prices Paid
Delivery times
Too High
Too Long
Too Low
Too Short
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Bottlenecking/Pent Up Demand Pressures
21
Source: Portfolio Analysis & Consulting. Bloomberg. Pent Up Demand: Alcoholic Beverages Away From Home, Lodging Away From Home, Car and Truck Rental, Motor Vehicle Insurance, Airfare, Admissions, Food Away From Home
Bottlenecking Related: Used Cars and Trucks
Contribution to Headline Consumer Prices: Month on Month Changes (12/31/16–10/31/21)
-80
-60
-40
-20
0
20
40
60
80
100
120
2016 2017 2018 2019 2020
in B
Ps
Bottlenecking-Related Inflation
Pent-Up Demand-Related Inflation
Non-Bottleneck/Pent-Up Demand-Related Inflation
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Bottlenecking/Pent Up Demand Pressures
22
Source: Portfolio Analysis & Consulting. Bloomberg. Pent Up Demand: Alcoholic Beverages Away From Home, Lodging Away From Home, Car and Truck Rental, Motor Vehicle Insurance, Airfare, Admissions, Food Away From Home
Bottlenecking Related: Used Cars and Trucks
Contribution to Core Consumer Prices: Month on Month Changes (12/31/16–10/31/21)
-60
-40
-20
0
20
40
60
80
100
2016 2017 2018 2019 2020
in B
Ps
Bottlenecking-Related Inflation
Pent-Up Demand-Related Inflation
Non-Bottleneck/Pent-Up Demand-Related Inflation
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Bottlenecking Related Issues Softening?
23
Source: Portfolio Analysis & Consulting. Bloomberg. WCI is the World Container Index assessed by Drewry.
Shipping Costs, Inventory to Sales Levels and Chip Prices
0
5,000
10,000
15,000
20,000
25,000
Jan-21 Mar-21 May-21 Jul-21 Sep-21
$ p
er
40 F
oot B
ox
Freightos Baltic Index: Container Freight Rate(1/3/21 – 10/31/21)
China/Asia to East Coast of US
China/Asia to West Coast of US
1.4
1.5
1.6
1.7
1.8
1.9
2.0
2.1
2.2
2006 2008 2010 2012 2014 2016 2018 2020
Merchant Wholesalers: Durable Goods – Inventory to Sales Ratio(11/30/06 – 9/30/21)
1.60
1.70
1.80
1.90
2.00
2.10
2.20
2.50
3.00
3.50
4.00
4.50
5.00
Dec-19 Mar-20 Jun-20 Sep-20 Dec-20 Mar-21 Jun-21 Sep-21
US
D
US
D
Chip Prices(12/31/19 – 11/11/21)
inSpetrum Tech Inc DRAM Spot PriceDDR4 8Gb 1Gx8 2133/2400 Mhtz (LHS)
inSpetrum Tech Inc NAND Flash Spot PriceTLC Flash 128Gb (RHS)
0
2,000
4,000
6,000
8,000
10,000
12,000
14,000
Jan-21 Mar-21 May-21 Jul-21 Sep-21
$ p
er
40 F
oot B
ox
WCI Shanghai to LA: Container Freight Benchmark Rate(12/31/20 – 10/28/21)
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Inventory Restocking By Sector
24
Source: Portfolio Analysis & Consulting. Bloomberg. Pre-Pandemic is 12/31/17-12/31/19.
Inventory to Sales Ratio By Sector (9/30/21)
-0.50
-0.40
-0.30
-0.20
-0.10
0.00
0.10
0.20
in %
Poin
ts
Current Reading vs Pre-Pandemic Level
-0.10
0.00
0.10
0.20
0.30
3M
o C
hg
3Mo Change
Inventories
Increasing
Inventories
Decreasing
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Shipping Rates
25
Source: Portfolio Analysis & Consulting. Bloomberg.
Shipping Rates for Major East-West Routes (10/18/16–10/29/21)
0
2000
4000
6000
8000
10000
12000
70
90
110
130
150
170
190
210
230
Oct-16 Apr-17 Oct-17 Apr-18 Oct-18 Apr-19 Oct-19 Apr-20 Oct-20 Apr-21 Oct-21
US
$/4
0ft
Box
Index,
Rebased a
t 2008 =
100
Air Freight Rate (LHS)
Container Rate (RHS)
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Oceangoing Dry Bulk Shipping Rates
26
Source: Portfolio Analysis & Consulting. Bloomberg.
Baltic Shipping Indices (1/2/20-11/11/21)
-2000
0
2000
4000
6000
8000
10000
12000
Jan-20 Apr-20 Jul-20 Oct-20 Jan-21 Apr-21 Jul-21 Oct-21
Poin
ts
Baltic Dry Index
Baltic Capesize Index
Baltic Dirty Tanker Index
Baltic Handysize Index
Baltic Panamax Index
Baltic Surpramax Index
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Air Cargo Freight Rates
27
Source: Portfolio Analysis & Consulting. Bloomberg.
Air Cargo Rates (12/31/19-11/8/21)
0
2
4
6
8
10
12
14
Jan-20 Apr-20 Jul-20 Oct-20 Jan-21 Apr-21 Jul-21 Oct-21
US
$/k
g
Shanghai to North America
Hong Kong to North America
Shanghai to Europe
Hong Kong to Europe
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Evolution of Freight Rates During Pandemic
28
Source: Portfolio Analysis & Consulting. Bloomberg. WCI is the World Container Index assessed by Drewry.
WCI Freight Rates By Route Throughout Pandemic (3/20/20-11/11/21)
0
2,000
4,000
6,000
8,000
10,000
12,000
14,000
16,000
18,000
Shanghai to NY Shanghai to Rotterdam Shanghai to Genoa Shanghai to LA Rotterdam to NY Rotterdam to Shanghai LA to Shanghai NY to Rotterdam
US
$/4
0ft
Box
Range of Rates from 3/20/20 to 6/17/21
Range of Rates from 6/17/21 to Current
Max Rate
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Trucking Still Seeing Supply Chain Issues?
29
Source: Portfolio Analysis & Consulting. Bloomberg. Truckstop.com.
Truckstop.com Dry-Van Rates (1/3/20–10/29/21)
1.0
1.5
2.0
2.5
3.0
3.5
Jan-20 Apr-20 Jul-20 Oct-20 Jan-21 Apr-21 Jul-21 Oct-21
Rate
per
Mile
($)
Northeast Southeast Midwest
South Central Mountain Central West Coast
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Bottlenecking Pressures
30
Source: Portfolio Analysis & Consulting. Bloomberg.
Select Consumer Price Inflation Line Items: Month on Month Change (11/30/19–10/31/21)
-20.0%
-15.0%
-10.0%
-5.0%
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
30.0%
Nov-19 Feb-20 May-20 Aug-20 Nov-20 Feb-21 May-21 Aug-21
MoM
%
Airfare
Domestic Services
Used Cars & Trucks
Lodging Away From Home
Car & Truck Rental
Admissions
New Car & Truck
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Drivers of Inflation Basket
31
Source: Portfolio Analysis & Consulting. Bloomberg.
Contribution to Consumer Price Inflation and Their Relative Importance (10/31/21)
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
14.0%
16.0%
18.0%
20.0%
0 10 20 30 40 50 60 70 80 90 100
% C
hange Y
oY
Relative Importance Of Components (in %)
Other
Apparel
Recreation
Education & Communication
Medical Care
Transportation
Food & Beverage
Housing
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Housing Market Pressures
32
Source: Portfolio Analysis & Consulting. Bloomberg.
Rent of Primary Residence and Owner’s Equivalent Rent (3/31/12–9/30/21)
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
2012 2013 2014 2015 2016 2017 2018 2019 2020 2021
% M
oM
Annualiz
ed
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Housing Market Pressures
33
Source: Portfolio Analysis & Consulting. Bloomberg.
Consumer Price Inflation From Rent of Shelter and Owners’ Equivalent Rent vs Trend (1/31/19–9/30/21)
94
96
98
100
102
104
106
Jan-19 May-19 Sep-19 Jan-20 May-20 Sep-20 Jan-21 May-21 Sep-21
Indexed t
o 1
00 o
n F
eb 2
020
Actual Pre-Pandemic Trend (Mar 2018 - Feb 2020)
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Housing Market Pressures
34
Source: Portfolio Analysis & Consulting. Bloomberg.
Contribution of Housing to Monthly Core Consumer Price Inflation (1/31/19–10/31/21)
0.00%
0.02%
0.04%
0.06%
0.08%
0.10%
0.12%
0.14%
0.16%
0.18%
0.20%
Jan-19 Apr-19 Jul-19 Oct-19 Jan-20 Apr-20 Jul-20 Oct-20 Jan-21 Apr-21 Jul-21 Oct-21
% M
oM
Contr
ibution
Rent of Primary Residence
Owners' Equivalent Rent
2019 Average
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Housing Market Pressures
35
Source: Portfolio Analysis & Consulting. Bloomberg.
Home Price Increases vs Shelter Inflation (12/31/91–10/31/21)
-1.0
0.0
1.0
2.0
3.0
4.0
5.0
-15.0
-10.0
-5.0
0.0
5.0
10.0
15.0
20.0
25.0
1991 1994 1997 2000 2003 2006 2009 2012 2015 2018
Shelter
CP
I Y
oY
%
S&
P C
ore
Logic
Case S
hill
er
U
S N
ational H
om
e P
rice I
ndex Y
oY
%
US Home Prices % YoY (LHS)
Shelter CPI % YoY (lagged 15mo RHS)
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Wage Pressures
36
Source: Portfolio Analysis & Consulting. FactSet.
Atlanta Fed’s Median Wage Growth (1/31/97–10/31/21)
0.00
1.00
2.00
3.00
4.00
5.00
6.00
1997 1999 2001 2003 2005 2007 2009 2011 2013 2015 2017 2019 2021
% Y
oY
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Wage Pressures
37
Source: Portfolio Analysis & Consulting. Bloomberg.
Atlanta Fed’s Wage Growth By Skill Level (4/30/01–10/31/21)
0.00
1.00
2.00
3.00
4.00
5.00
6.00
7.00
2001 2003 2005 2007 2009 2011 2013 2015 2017 2019 2021
% Y
oY
High Skill
Mid Skill
Low Skill
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Wage Pressures
38
Source: Portfolio Analysis & Consulting. Bloomberg.
Atlanta Fed’s Wage Growth By Percentile (12/31/91–10/31/21)
1.00
2.00
3.00
4.00
5.00
6.00
7.00
1997 1999 2001 2003 2005 2007 2009 2011 2013 2015 2017 2019
in %
, 12M
MA
Recession Periods
Bottom Quartile Wage Growth
Overall Wage Growth
2nd Quartile
3rd Quartile
Top Quartile
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Wage Pressures
39
Source: Portfolio Analysis & Consulting. Bloomberg.
Atlanta Fed’s Wage Growth: Hourly vs Non Hourly Worker (12/31/97–10/31/21)
1.00
2.00
3.00
4.00
5.00
6.00
7.00
1997 1999 2001 2003 2005 2007 2009 2011 2013 2015 2017 2019
in %
, 12M
MA
Recession Periods
Hourly Worker
Non Hourly Worker
Overall
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Wage Pressures
40
Source: Portfolio Analysis & Consulting. Bloomberg.
Atlanta Fed’s Wage Growth By Age Cohort (4/30/01–10/31/21)
0.00
2.00
4.00
6.00
8.00
10.00
12.00
1997 1999 2001 2003 2005 2007 2009 2011 2013 2015 2017 2019
% Y
oY
16-24 Years of Age
25-54 Years of Age
55+ Years of Age
Overall
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Market Based Inflation Expectations
41
Source: Portfolio Analysis & Consulting. Bloomberg.
US Inflation Breakeven Curve (As of 11/8/21)
1.50
1.70
1.90
2.10
2.30
2.50
2.70
2.90
3.10
3.30
3.50
in %
9/21/2021
11/8/2021
0.00
0.25
0.50
0.75
1.00
1.25
1Y 2Y 3Y 4Y 5Y 6Y 7Y 8Y 9Y 10Y 20Y 30Y
Change in %
Natixis Investment Managers | SolutionsINFLATION TRACKER
Evolution of Market Based Inflation Expectations
42
Source: Portfolio Analysis & Consulting. Bloomberg.
US Inflation Breakevens (10/31/19–11/11/21)
0.00
0.50
1.00
1.50
2.00
2.50
3.00
3.50
Nov-19 Feb-20 May-20 Aug-20 Nov-20 Feb-21 May-21 Aug-21 Nov-21
In %
10 Year Breakeven
5 Year Breakeven
Natixis Investment Managers | SolutionsINFLATION TRACKER
Inflation Expectations
43
Source: Portfolio Analysis & Consulting. FactSet.
Food and Energy Prices vs University of Michigan Survey Inflation Expectations (2/29/12–10/31/21)
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
-8.0%
-6.0%
-4.0%
-2.0%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
14.0%
2012 2013 2014 2015 2016 2017 2018 2019 2020 2021
% Y
oY
% Y
oY
Food & Energy YoY (LHS)
UMich 1Y (RHS)
UMich 5-10Y (RHS)
Natixis Investment Managers | SolutionsINFLATION TRACKER
Inflation Expectations
44
Source: Portfolio Analysis & Consulting. FactSet.
University of Michigan Survey Median 5-Year Inflation Expectations (10/31/06–10/31/21)
2.10
2.30
2.50
2.70
2.90
3.10
3.30
3.50
2006 2008 2010 2012 2014 2016 2018 2020
in %
Natixis Investment Managers | SolutionsINFLATION TRACKER
Inflation Expectations
45
Source: Portfolio Analysis & Consulting. FactSet.
Survey of Professional Forecasters 10 Year CPI Inflation Rate Forecast (12/31/06–10/31/21)
2.00
2.10
2.20
2.30
2.40
2.50
2.60
2.70
2006 2008 2010 2012 2014 2016 2018 2020
in %
Natixis Investment Managers | SolutionsINFLATION TRACKER
Market Based Inflation Expectations
46
Source: Portfolio Analysis & Consulting. US Federal Reserve.
US 10 Year Inflation Breakeven Decomposition (12/31/19–10/31/21)
-1.00
-0.50
0.00
0.50
1.00
1.50
2.00
2.50
3.00
Jan-20 Mar-20 May-20 Jul-20 Sep-20 Nov-20 Jan-21 Mar-21 May-21 Jul-21 Sep-21
Breakeven Inflation Rate Expected Inflation
Inflation Risk Premium TIPS Liquidity Premium
Natixis Investment Managers | SolutionsINFLATION TRACKER
Market Based Growth Expectations
47
Source: Portfolio Analysis & Consulting. Bloomberg.
US 10 Year Nominal Treasury Yield Decomposition (1/16/19–11/11/21)
-2.0
-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
2.0
2.5
3.0
Jan-19 Apr-19 Jul-19 Oct-19 Jan-20 Apr-20 Jul-20 Oct-20 Jan-21 Apr-21 Jul-21 Oct-21
in %
Growth Expectations Real Rates
Term Premium Breakevens
Natixis Investment Managers | SolutionsINFLATION TRACKER
Implied Fed Funds Rate
48
Source: Portfolio Analysis & Consulting. Bloomberg.
Change in Eurodollar Futures (11/2/20-11/11/21)
0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
Nov-20 Dec-20 Jan-21 Feb-21 Mar-21 Apr-21 May-21 Jun-21 Jul-21 Aug-21 Sep-21 Oct-21 Nov-21
in %
June FOMC
Sept FOMC
Dec '23 less Dec '22
Dec '24 less Dec '23
Dec '25 less Dec '24
Dec '22 less Dec '21
3 Hikes
1 Hike
2 Hikes
Natixis Investment Managers | SolutionsINFLATION TRACKER
Disclosure
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Disclosure
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Disclosure
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