Proxy Inflation Selection Model
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.
Commodity, FX and bond futures traded with a slow moving, channel break-out momentum model.
2011 – 2016
Structured notes, index-linked total return swaps.
Deutsche Bank AG, London.
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