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HEDGING INFLATION RISK: A NOWCAST APPROACH UNDER RISK TARGET CONSTRAINTS

May 3, 2023

Our multi-asset allocation strategy based on inflation nowcasts and RavenPack
sentiment analytics outperforms the S&P 500 and stabilizes volatility. With real
Sharpe ratios of up to 1.25 and a risk control approach, it delivers a
compelling inflation hedge for investors.



RavenPack’s latest white paper proposes a multi-asset allocation strategy for
hedging against inflation, which maximizes the portfolio's mean-variance
criterion by investing in equities, commodities, and bonds based on inflation
nowcasts. Backtested against the US equity market, a 10-year US government bond,
and six conventional commodity indexes, the proposed strategy outperformed the
S&P 500® in terms of return, volatility, Sharpe ratio, and maximum drawdown.


KEY RESULTS:

 * The proposed strategy can outperform the S&P 500 in terms of return,
   volatility, Sharpe ratio, and maximum drawdown.
 * Our approach delivers impressive real and gross Sharpe ratios of 1.04 and
   1.25 (gross), and 0.97 and 1.22 (gross) for headline and core CPI nowcasts,
   respectively, while catering to risk-neutral investor preferences.
 * The risk target approach allows for effective stabilization of portfolio
   volatility around a desired target level.
 * Our risk control approach yields remarkable results:

   When targeting volatility levels is 2% 5% 8% We achieve Low Realized
   Volatility Levels 1.9% 4.6% 7.6% High Sharpe Ratios 2.40% 1.68% 1.46%
   Annualized Turnover 132% 300% 468%

DOWNLOAD OUR ONE-PAGE EXECUTIVE BRIEF TO LEARN HOW OUR NEW STUDY CAN SECURE YOUR
PORTFOLIO AGAINST INFLATION TODAY.

Download

LET DATA DRIVE YOUR DECISIONS

RavenPack is the leading provider of insights and technology for data-driven
companies, including the most successful hedge funds, banks, and asset managers
in the world.

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