Trading EMFX with Turnleaf Analytics inflation forecasts
In this paper, we look at the relationship between Turnleaf Analytics inflation forecasts and EMFX. We find that typically falls in medium term expectations are beneficial for EMFX. Using this idea, we create an inflation basket to generate systematic trading signals for EMFX. Our EMFX inflation basket has risk adjusted returns of 0.89 and annualised return of 7.6% using a historical sample since 2018. It outperforms generic EMFX carry and trend strategies over the same period.