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.
Summary
- The spectre of future inflation is prompting investors to seek inflation protection strategies.
- We decompose a CPI index to identify tradable proxies and test the efficacy of a passive commodities portfolio.
- Additionally, we assess actively managed commodity strategies to improve the risk adjusted performance of the tradable CPI commodity proxy portfolio