Article
Systematic Strategies and Inflation: What Works?
March 7, 2022
In this paper, Yung-Shin Kung, Head and CIO of CSAM Quantitative Investments Strategies, and Chin Te Liu, Head of Research & Technology for CSAM QIS, examine the sensitivity of various systematic strategies to a range of inflationary expectations. Depending upon the particularities of their underlying economics, these trading strategies may see changes in inflation expectations as a potential headwind or a tailwind.
The CSAM QIS team seeks to understand and account for the ways in which shifts in economic and market regimes impact both our expectations for systematic strategy performance and the ways in which various the strategies relate to one another.
