The Rodex Purchasing Power Index 2.0 distinguishes 3 different phases of price changes: 1) High Inflation [CPI change >5%], 2) Deflation [<0%], 3) Sweet Spot [0-5%].
Depending on the phase, the 3 asset classes bonds, equities and commodities perform differently:
Depending on the inflationary environment, the Rodex Purchasing Power Index 2.0 holds long or short positions in futures on bonds, equities, and commodities. For example, in an inflationary environment, the Rodex Purchasing Power Index 2.0 would be positioned short in bonds, short in equities, and long in commodities. The Rodex Purchasing Power Index 2.0 offers leveraged exposure to changes in inflation / deflation: A small allocation can help to protect a larger part of a client’s portfolio. The index is based on a quantitative risk allocation model.
The predecessor of the Rodex Purchasing Power Index 2.0 won the Swiss Derivative Award 2012 in the category “Best Product on Alternative Underlyings”.
The most recent factsheet is here.