PRISM:
Proxy Inflation Selection Model

Investment Thesis

Excess absolute returns can be extracted from the de- and inflationary process using surrogates that show conditional correlation with CPI. By systematically trading a portfolio of futures as proxies, the inflation risk premia offer a unique source of alpha generation with better fitting and more liquid underlying assets than break-evens. This is not an inflation hedge, but rather a systematic manner of exploiting upward and downward movements in inflationary developments. 

Investment Thesis

Excess absolute returns can be extracted from the de- and inflationary process using surrogates that show conditional correlation with CPI. By systematically trading a portfolio of futures as proxies, the inflation risk premia offer a unique source of alpha generation with better fitting and more liquid underlying assets than break-evens. This is not an inflation hedge, but rather a systematic manner of exploiting upward and downward movements in inflationary developments. 

Instruments

Commodity, FX and bond futures traded with a slow moving, channel break-out momentum model.

Instruments

Commodity, FX and bond futures traded with a slow moving, channel break-out momentum model.

Implementation

2011 – 2016

Implementation

2011 – 2016

AUM

€65 million

AUM

€65 million

Structuring Partner

Deutsche Bank AG, London. 

Structuring Partner

Deutsche Bank AG, London.

Delivery Platforms

Structured notes, index-linked total return swaps. 

Delivery Platforms

Structured notes, index-linked total return swaps.

Fortinbras is proud to be an equal opportunity workplace.  We are registered in the Austrian companies registry (Firmenbuch) under the number FN 281026z with managing director (handelsrechtlich) being Christopher John Kennedy.  Our VAT ID is ATU72796218.

This website is not an offer to, or solicitation of, any potential clients or investors for the provision by Fortinbras of asset management, advisory or any other related services. No material listed on this website is or should be construed as investment advice, nor is anything on this website an offer to sell, or a solicitation of an offer to buy, any security or other instrument.

Strategies

  • STIRM
  • TFM
  • PRISM
  • Pipeline Development

Founders

  • Christopher Kennedy
  • Jochen Renz

Contact

  • +43 6645300018
  • office@fortinbras-am.com

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© 2019 Fortinbras Asset Management GmbH

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