Premialab. Risk premia factors and systematic strategies

September 16, 2021 • Posted in Risk Premia & Multi-Asset

Use Case: Inflation protection with commodity strategies – and some trend Use Case: Inflation protection with commodity strategies – and some trend

In this use case, we will construct an inflation basket of commodities that mimics the CPI basket, compare the commodity basket to a Breakeven-TIPS benchmark, and improve upon the commodity CPI basket by using actively managed commodity momentum strategies.