Inflation Forecasts
Understanding how to use the page
Watch Mark Greenwood, Deputy Chief Investment Officer, explain how to use the investment forecast tool
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Atlantic House runs a systematic fixed income strategy called Dynamic Duration, which uses inflation swaps.
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The strategy helps investors understand how it may perform under different inflation scenarios.
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The inflation swap market provides data stretching from the next inflation print to beyond 2050, allowing the team to plot a central inflation path.
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They also model uncertainty around this path using fan charts, similar to those used by the Bank of England. These charts are built from inflation swap data and show percentile ranges (e.g., 90th percentile) for future inflation expectations.
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Both headline and core inflation are shown, with core inflation bands tighter since they exclude food and energy volatility.
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Market inputs include inflation swaps, energy futures, and interest rate futures/swaps.
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Core inflation is derived by removing food and energy effects from headline inflation.
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Investors can request the Dynamic Duration report, which links inflation forecasts to strategy signals and positions, showing how future performance might unfold.