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.

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

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