Macro / Sentiment#414tier 2experimental liveNew

`consumer sentiment sector rotation`

cadence: Monthlydata: lowlong onlyshort onlylong short

2006

Lemmon-Portniaguina 2006 RFS / Akhtar-Faff-Oliver-Subrahmanyam 2012 J Banking & Finance.

What it checks

When U.Mich. consumer sentiment is rising strongly, retail-leaning names get bid; when falling, defensives win. We overlay that regime signal on each ticker.

Mechanism

UMCSENT (Univ. of Michigan consumer sentiment) is a sufficient statistic for retail risk appetite. Sentiment z-score above +1 forecasts small-cap and consumer-discretionary outperformance over 1-3 months; below -1 forecasts defensives bid. 12m rolling z + own-name trend gates the per-ticker overlay.

No production champion data for this family yet. Stats appear once the discovery pipeline promotes at least one strategy with this family tag, or once a multi-family blend that includes it earns a champion slot.

Signal rule

UMCSENT 12m rolling z; LONG when z > +1 AND 60d uptrend, SHORT when z < -1 AND 60d downtrend. Holds 21/63/126d.

Data dependencies

daily_prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
fred_macro
Worker data table, see services/worker schema.

Expected edge

Paper alpha: ~1-1.5% quarterly on small-cap leg
Paper window: 1956-2002 (Lemmon-Portniaguina)

Quarterly alpha 1-1.5% on small-cap leg per Lemmon-Portniaguina 2006.

Related families

credit spread shockMacro

Gilchrist-Zakrajsek 2012 AER show the excess-bond-premium component of credit spreads predicts equity returns at 1-3mo horizons with R² up to 12%. We use raw BAA-10Y (Moody's BAA corp minus 10Y Treasury) from FRED as the cheap proxy. Widening shock = risk-off pressure (short high-beta names with downtrend); sharp compression = risk-on regime (long beta names with uptrend).

macro regimeMacro

Beyond regime_overlay (#10) which uses VIX + SPY trend, this family keys off the macro regime detected from FRED data: term-spread inversion (10Y−2Y < 0), credit-spread widening or compression (BAA−10Y z), and Fed funds cycle direction. Single-name version: gate the simple long-trend signal (SMA50 > SMA200) on the FRED macro regime — full long only in risk-on, half-size in neutral, flat in risk-off, short in inversion.

vol of vol signalMacro

21-day realized vol of VIX; when high → defensive bias on momentum families.

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consumer sentiment sector rotation