What’s the Bloomberg 10-yr Inflation Breakeven index?
Interesting strategy but ultimately seems too complicated to implement for me since I don’t feel like constantly shorting nominal treasury bonds of matching durations.
It also sounds a bit too good to be true. If it were essentially an improved inflation hedge for your bond allocation using long TIPS and short nominal treasuries, why hasn’t anyone made an ETF for it that could be easily benchmarked (and backtested)? And how would these perform in a deflationary recession?