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10.06.2022
Hedging inflation
US CPI day. Until recently, the consensus was the May CPI report would support the idea we’d hit peak inflation. However, the relentless rally in crude oil has rekindled inflation fears.

“Nowhere to hide” showcased Qi’s best-in-class optimiser & its ability to produce out-of-sample baskets that didn’t rely on backfitting - it uses only the information available at the time, yet still produced great tracking.

That basket was a 50:50 long/short & client feedback queried whether we could produce such good results with a long only. The basket below is 100% long & total period correlation with inflation expectations (as measured by 5y USD inflation swaps) is 83%.
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Quant Insight’s Macro Analytics
on Goldman Sachs Marquee
Goldman Sachs is embedding Qi’s data-science-driven
macro factor risk data into Marquee to offer risk
management capabilities that help provide clarity to your
investment analysis as you navigate your portfolio exposures,
asset by asset, through dynamic market conditions.
Goldman Sachs is embedding Qi’s data-science-driven macro factor risk data into Marquee to offer risk management capabilities that help provide clarity to your investment analysis as you navigate your portfolio exposures, asset by asset, through dynamic market conditions.