No number is more important for investors right now than inflation. The belief that it will continue to rise underpins the recent rally in financial stocks and the slump in government bonds. It is key to commodities, currencies and more.

Yet investors are in a quandary: Theories used to forecast it just don’t seem to work.

“I don’t think we know what inflation is. It takes so many different forms,” said David Lafferty, chief strategist at Natixis Global Asset Management, which manages about $900 billion. Inflation is this year’s “wild card,” Mr. Lafferty said.

For decades, the assumption has been that central banks have the ultimate handle on inflation. When inflation goes up, they raise interest rates to quell it; when it goes down, they lower the rates.

Investors care a lot, because bond yields broadly track interest rates. They need to predict inflation levels as well as how central banks would react.