Trading high beta assets using Turnleaf’s daily US nowcast
In this paper, we create systematic trading rules using Turnleaf Analytics daily forecast for US CPI YoY NSA for high beta assets. Our high beta strategy traded with signals from Turnleaf Analytics daily US CPI YoY NSA forecasts has risk adjusted returns of 1.12 in a historical sample since 2018. By contrast long only high beta has risk adjusted returns of 0.84 during this same period and trend has risk adjusted returns of 0.55. Furthermore, the drawdowns of our dynamic inflation based trading strategy are smaller than both trend and long only.