Inflation and Investment Management

Inflation is an economic phenomenon which was little more than historical anecdotes or abstract risk scenarios until recently. Unexpected and large recent increases of inflation brought back inflation on the radar of investment analysts and decision makers abruptly. This 2-day intensive program gives an introduction and overview of the economic analysis of inflation and its implications on investment analytics and portfolio management.

• Heads of Risk and Investments
• Portfolio Managers
• Investment Analysts, Both Quantitative and Qualitative
• Financial Economists
• Data Scientists

• Gain familiarity with inflation as an economic phenomenon
• Learn how to quantify and interpret inflation tendencies
• Analyse the impact of inflation on risk and return of investment opportunities
• Gain understanding of the various implications of inflation on investment portfolio and risk management

Basic understanding of economics and financial markets, and instruments.

Inflation Basics: Definition, Measurement, Analytics

• Introduction: What Is Inflation?
• Necessary Ingredients: Prices and Money
• Inflation Measurement: from CPI deflators to Core Inflation, Headline Inflation
• Back-, Now- and Forecasting Inflation: Challenges and Best Practice
• Inflation Expectations: Adaptive, Rational & Implied (Yield Curve/Derivatives)
• Inflation in the Larger Macroeconomic & Social Context: Overview

Workshop: Extracting Trend Inflation from CPI Time Series Data

Inflation In Retrospect

• Spanish Gold
• German Hyperinflation
• Great Depression
• Inflation 1970/80
• Inflation 2022
• Lessons Learnt & Lessons Not Learnt

Economics Theories of Inflation

• A Bit of History of Economic Thought
• Quantity Theory of Inflation
• Phillips Curve
• Keynesian Theories of Inflation: Old and New
• New Monetary Economics
• Fiscal Theories of Inflation
• Inflation in Open Economies, International Parities
• Real Effects of Inflation
• Distributional Aspects: Impact of Inflation on Wealth and Income

Workshop: Plenum debate: state of inflation in North America, Europa & Asia, expected trends

Monetary Policy

• Central Banks, International Monetary Frameworks
• Policy Goals and Conflicts
• Financial Stability, Systemic Risk Considerations
• Discretionary Policy
• Rules-Based Inflation Theory
• Taylor Rule
• Quantitative Easing Policies

Workshop: Distinguishing Restrictive and Expansive Monetary Policy Measures

Inflation and Asset Classes Risk & Return

• Traditional Asset Types: Stocks, Bonds, Corporate Debt
• Real Assets: Gold, Real Estate, Commodities
• Inflation as an Underlying, Inflation-Linked Instruments
• Cryptocurrencies?

Workshop: Deriving Meaningful Inflation Scenarios from Historical CPI Data Figures and Implications for the Risk & Return of Equity and Bonds

Investment Management under Inflation

• Inflation in a Scenario Framework
• Real versus Nominal Magnitudes
• Steepness of Efficient Frontiers
• Inflation in the Context of Liabilities
• Approaches to Inflation Hedging

Workshop: Asset Allocation Implications of Nominal and Real efficient frontiers