INTERMEDIATEσ 2.5× · μ +2.0% p.a.

Inflation Shock

Navigate a simulated inflation shock with 2.5× volatility. Build a Moroccan equity and cash allocation that withstands input-cost pressure.

Scenario Parameters & Objective

Macro / Market Overlay: Inflation rises sharply across industrial and consumer sectors. Volatility multiplies by 2.5× while nominal drift shifts +2.0% annualised.

Objective: Keep maximum drawdown below 10% while preserving purchasing power across 14 simulated trading days.

Window Duration: 14 simulated trading days · Starting Endowment: 100,000 MAD

Key Mechanics Studied in This Scenario

Input-cost vs pricing-power dynamics across Bourse de Casablanca sectors
Real vs nominal portfolio return under inflation
Position sizing when volatility doubles
Using cash reserves to dampen portfolio drawdown

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