Man Institute’s paper, Trend-Following_ in Inflationary Environments, looks at major asset classes in addition to an all-asset portfolio in the context of a trend-following approach.

The outcomes of this trend-following tactic are exhibited. The trend-following approach generates positive real returns across all four asset classes as well as the "all-asset trend" version in each of the individual inflationary regimes, which is perhaps not surprising given the pronounced market movements during inflationary times. These findings seem logical given the idea that commodities and bonds both have a very clear exposure to inflation (benefiting and suffering from rising inflation, respectively). 

(Click on image to enlarge)

More By This Author:

The Built-In Return Advantage Of Avoiding Loss
The One Asset Class That Holds Up With Inflation
How Long Will It Take For Inflation To Revert To 3%?