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.


  • 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

Want to read more?

Read the Full Article

Thank you for your interest. Please submit your information to receive this premium article.

Related Insights

Premialab Pension Fund Case Study

Seize the Momentum: Pension Funds Embrace Quant Investments

Discover the power of Premialab

Interested in learning more? Reach out to us to speak with one of our expert consultants.

Request a Demo