Inflationary cloud has silver lining for some quant strategies
Research finds certain factors may perform better than previously realised when prices rise
Risk-on quant strategies may perform better than expected in inflationary environments, new research has shown.
The research – published last month by Antti Suhonen, a professor at Aalto University School of Business and senior adviser with consultancy MJ Hudson, and Kari Vatanen, chief investment officer at Veritas Pension Insurance Company in Finland – suggests inflation expectations, more than real yields, drive the strategies’ sensitivity to changes in bond prices.
With inflation proving
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