Turnleaf Analytics Papers

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...

Using ML techniques to create trading rules for ETFs In this piece, we examine the question, “Can a combination of Inflation (CPI), and 2 proxies for GDP be used to inform future allocation decisions?”. The proxies are ISM PMI and ISM NMI, which correspond to ISM...

Trading DM IRS with Turnleaf Analytics inflation forecasts In this paper, we examine the relationship between inflation forecasts and interest rate swaps in developed markets. We create trading rules based upon inflation forecasts both in terms of where inflation will...

Turnleaf Analytics economic forecasts to trade commodities It seems intuitive that there is a relationship between commodities, inflation and growth. However, the key question is whether such a link can be monetised. In this paper, we explore how Turnleaf Analytics...

Trading macro assets over US CPI releases In recent years, the US CPI release has impacted a wide array of macro assets. In this paper, we discuss how we can trade a portfolio of macro assets around US CPI. We create short term trading rules over the days of US CPI...

Using Turnleaf Analytics inflation forecasts to trade FX In this paper, we show how using the differential in Turnleaf Analytics inflation forecasts compared to consensus can be used to trade FX systematically. The idea is that the differential in inflation forecasts...

Trading bond futures with Turnleaf Analytics inflation forecasts In this note, we discuss how Turnleaf Analytics inflation forecasts can be used to trade liquid bond futures using a systematic trading rule. The rationale is that inflation expectations impact monetary...