Alternative Thinking

Exploring Rates Sensitivity

Topics - Asset Allocation Tactical Portfolio Construction

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Exploring Rates Sensitivity

Given Fed tightening, many investors are interested in the risks related to monetary policy, rising yields and inflation. In this issue of Alternative Thinking, we interpret ‘rates’ broadly — encompassing short term interest rates, real bond yields and expected inflation — and explore the historical rate sensitivities of a range of asset classes and strategies.

An Appendix presents additional results, including rates sensitivities of multi-asset styles, and contains methodological details for interested readers.