Building an Inflation-Proof Portfolio | Systematic Investor | Ep.384

Summary

Niels Kaastrup-Larsen and Yoav Git discuss inflation risk, bond fragility, and portfolio construction in a world of supply shocks and declining trust. Yoav argues traditional bonds are vulnerable in inflationary regimes because they lose carry and become more equity-correlated, while commodity trend can serve as a defensive building block. They also cover Japan's bond rout, US debt pressures, gold as a fiat-trust hedge, and why fixed-income and FX trend strategies may benefit from specialization. The conversation emphasizes robust all-weather allocation over forecasting macro outcomes.

• Inflation is back as a portfolio risk due to supply shocks, deglobalization, tariffs, and fiscal debt.
• Yoav proposes a 50/50 bonds and commodity trend portfolio for roughly CPI+4 across inflation regimes.
• Bonds are fragile in rising inflation: negative real returns and higher correlation with equities.
• Japan's JGB sell-off and narrowing US-Japan yield gap pressure US Treasuries and erode carry trades.
• Gold is supported by loss of trust in fiat currencies and geopolitical fragmentation.
• Fixed-income and EM FX trends benefit from carry, autocorrelation, and interest-rate gradients.
• Equity trend following has been less effective due to negative autocorrelation.
• The discussion favors robust, rules-based diversification over forecasting inflation.