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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Fortinbras Asset Management GmbH is a tied-agent according to § 2 Abs. 10 KWG of the German Banking Act and falls under the regulation and authorization of BaFin, the Federal Financial Supervisory Authority in Germany. License number 80177742 in BaFin’s public register. Responsible investment firm is MEX Asset Management GmbH; managing director is Christopher Kennedy.



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