cash-flow duration rate shock (Accepted-time PIT)
In plain terms
Research-only accepted-time fundamental policy. It is not production-approved or an established return effect.
How it works
internal_hypothesis: not Weber 2018's implied cash-flow duration; the frozen proxy (-zBM, -zPayout, +zRevGrowth) forms labels only when the vintage-admissible DGS10 126-day change exceeds +25bp (ALFRED substrate; fails closed without it)
Data dependencies
- Xbrl fundamental snapshots pit
A data feed this strategy reads, refreshed on its normal schedule.
- Xsec accounting factor signals
A data feed this strategy reads, refreshed on its normal schedule.
- Xsec fundamental formation manifests
A data feed this strategy reads, refreshed on its normal schedule.
- Stock borrow pit
A data feed this strategy reads, refreshed on its normal schedule.
- Alfred series vintages
A data feed this strategy reads, refreshed on its normal schedule.
Expected edge
No inherited alpha claim; evaluate this causal policy post-cost against identical-episode controls.
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