Inflation Sensitive Assets Instruments and Strategies

Author: Stefania Perrucci; Brice Benaben
Publisher: Risk Books
ISBN: 9781906348625
Published In: July 2012
Format: Paperback
Jurisdiction: International ? Disclaimer:
Countri(es) stated herein are used as reference only

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Both commodities and inflation-linked products have gained interest in recent years as alternatives and complements to traditional asset classes. The growth in investors’ participation in these markets is a global phenomenon, clearly evident in the increasing volume and types of instruments traded in both the spot and derivatives markets.

In Inflation Sensitive Assets: Instruments and Strategies Stefania Perrucci and Brice Benaben bring together different points of view and practical insights from active market participants including investment banks, asset management, pension funds and central banks.

Designed for practitioners, the book includes important academic contributions, and will be of interest to portfolio managers, risk managers, plan sponsors and researchers alike.

“This book provides an essential resource for investors, consultants and service providers keen to preserve wealth”
Mihir Worah,
Managing Director, Head of Real Return Portfolio Management, PIMCO

The real impacts of inflation and its most extreme form – hyperinflation – are known only too well: they erode value, unbalance economies and destroy wealth.

In the wake of the financial crisis a huge monetary overhang threatens the major developed economies.

The iron laws of economics have no respect for modern semantic niceties of “quantitative”, “credit” or “monetary” easing: these policies all portend of inflation that must work its way out of the system.

As a result markets have focused attention on assets that protect the investor from loss of purchasing power.

Inflation-sensitive assets – including commodities, equities, infrastructure and real estate investments, and inflation-linked securities – have in fact become a new asset class.

Many institutional investors controlling trillions of dollars’ worth of assets are allocating an increasing weight to the sector as an alternative and complement to other traditional assets.

In Inflation-Sensitive Assets: Instruments and Strategies, Stefania Perrucci and Brice Benaben blend insights and experiences from market participants including investment bankers, asset and pension fund managers and central bankers to guide the reader through this emerging sector.
This book, for the first time, addresses the commodities and inflation markets together, providing a holistic treatment from an inflation perspective.

Inflation-Sensitive Assets: Instruments and Strategies provides the reader with a deep understanding of the drivers of inflation, the assets which can be used to hedge it and how investors can formulate strategies when managing assets and liabilities in an inflation-sensitive environment.

Designed for practitioners, the book includes important academic contributions, and will be of interest to portfolio managers, risk managers, plan sponsors and researchers alike.

Part 1 - Introduction: Markets and Instruments

1 Inflation Sensitive Assets
Stefania Perrucci

2   Investable Commodity Indexes and Inflation: A Brief History
Bob Greer

3   The Commodity Market: Implications for Policy and Investments
Kamal Naqvi and Ric Deverell

4   Real Estate Investments and Inflation
Brad Case and Susan Wachter

5   Infrastructure Assets and Inflation
Gerald Stack

6   Equity Strategies and Inflation
Steven Bregman

7   The Inflation-Linked Market
Gang Hu, Stefania Perrucci

8   Inflation Derivatives and Options
Brice Benaben, Stefania Perrucci and Franck Triolaire

Part 2 - Research and Macro Perspective

9    The Role of Models in Modern Monetary Policy
David Vavra

10    Market Inflation Expectations and the Term Structure of Interest Rates
Jing-Zhi Huang and Olesya Grishchenko

11    Monetary Policy, Inflation and Commodity Prices
Frank Browne and David Cronin

12    Inflation and Asset Prices
John (Jack) Tatom

13    Inflation and Equity Returns
Jeff Oxman

14    Dynamic Inflation Hedging: What Works and When?
Alexander Attie and Shaun Roache

Part 3 - Practical Insights from Market Participants

15    Practical Models for Inflation Forecasting
Nic Johnson

16    Insurance Companies Management of Inflation Risk
Ken Griffin and Edward Yao

17   Pension Funds Management of Inflation Risk and Liabilities
Markus Aakko

18   Ultra High Net Worth Investors and The Real Asset Value Chain
Ian Barnard

19 Actively Managed Real Return Strategies
Stefania Perrucci

20 Opportunities in Inflation: Emerging Markets
Brice Benaben and Stefania Perrucci

Stefania A. Perrucci, Ph.D.

Stefania is the Founder and CEO of New Sky Capital, an independent investment and advisory firm with offices in Philadelphia and London. She has 15 years of investment experience, spanning both traditional and alternative asset classes. Before founding New Sky, she was a portfolio manager at Morgan Stanley, where she consistently ranked among the top-quartile performers. Her flagship fund was the recipient of a Lipper Funds Award in 2008 (based on top 3yr trailing performance). Before joining Morgan Stanley, she was a Risk Management Specialist at the IFC, part of the World Bank Group.

Over the years, Stefania has established herself as a recognized thought-leader and independent-minded investor. In 2006, she was one of the few buy-side voices advocating a long insurance position (short ABX) to protect against the effects of an imminent collapse in house prices. She is the author of several proprietary models, with one patent awarded, and another pending. Stefania has published cutting-edge research on several market topics, and speaks regularly at industry conferences around the globe. She is the editor and author of "Inflation Sensitive Assets" (RiskBooks, 2012, with Brice Benaben), and of “Mortgage and Real Estate Finance” (RiskBooks, 2008).

Stefania received a Ph.D. in Theoretical Physics from the University of Virginia, and a Laurea summa cum laude from the University of Modena, Italy. She has held academic positions at universities, both in the United States and Europe, where she was the recipient of more than a dozen awards, in recognition of outstanding academic and teaching achievement.

Brice Benaben

Brice is a Managing Director and Head of Inflation Research at New Sky Capital. He has 15 years of investment experience. Previously, he has held positions as Managing Director and Global Head of Property Derivatives and Inflation Trading at Deutsche Bank, Deputy Head of Inflation at Citibank, Head of Inflation Structuring at ABN AMRO, Head of Fixed Income and Portfolio Strategy at Credit Agricole Indosuez, and Portfolio Manger/Trader at the IFC (World Bank Group).

Brice is editor and author of "Inflation Sensitive Assets" (RiskBooks, 2012, with Stefania Perrucci), editor and author of "Inflation-Linked Products" (RiskBooks 2005), co-editor and author of "Inflation Risks and Products" (RiskBooks 2008), and has co-authored the chapter “Real Estate Indexes and Property Derivative Markets” in "Mortgage and Real Estate Finance" (RiskBooks 2008). He is a graduate of the University of Oxford, where he studied applied mathematics.

“This book provides an essential resource for investors, consultants and service providers keen to preserve wealth”

Mihir Worah,
Managing Director, Head of Real Return Portfolio Management, PIMCO