A Mathematical Deconstruction of Systematic Investment Strategies in a High-Inflation, High-Interest Rate Environment
The prevailing macroeconomic environment presents a paradox that challenges conventional investment wisdom. According to the latest data from Statistics Korea, the Consumer Price Index (CPI) for April 2024 stands at 2.9% year-on-year, a figure that, while seemingly moderated, masks the persistent pressure from core inflation, which excludes food and energy. More critically, the benchmark interest rate set by the Bank of Korea remains at 3.50%, a level not seen since the early 2010s. This creates a dual pressure: the real value of cash erodes at nearly 3% annually, while the cost of leverage—the lifeblood of many aggressive strategies—has skyrocketed. The Bank of Korea's Financial Stability Report consistently highlights the growing household debt service burden, a direct consequence of this rate environment. In this landscape, the allure of systematic, emotionless trading systems, often colloquially and inaccurately grouped under terms like "Martingale,...