Macro#407tier 2experimental liveNew

`dollar factor betas`

cadence: Dailydata: mediumlong onlyshort only

2018

Verdelhan, A. (2018). "The Share of Systematic Variation in Bilateral Exchange Rates." Journal of Finance 73(1), 375-418.

Read the paper →

What it checks

Companies with high empirical sensitivity to the dollar suffer when the dollar strengthens (FX translation drag). Domestic-revenue-heavy companies benefit. Compute each ticker's 60-day dollar beta and trade the extremes against USD direction.

Mechanism

High-USD-beta stocks underperform when USD strengthens (multinationals with FX translation exposure on dollar-strengthening regimes). Low-beta names (domestic-revenue concentration) outperform. 60d rolling regression of ticker returns on DTWEXBGS broad-trade-weighted index returns.

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

60d USD-beta z>=+1.5 AND USD strengthening (60d) fires SHORT 42d; z<=-1.5 + USD strengthening fires LONG 42d.

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: +/-3-5% over 42d
Paper window: T+1 to T+42d

Verdelhan 2018; ~3-5% over 42d on extreme empirical beta vs USD-direction regime.

Related families

multinational usd translationMacro

USD strengthening compresses earnings for FX-exposed firms via translation; proxy via rolling 60d own-return beta to DTWEXBGS.

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.

Explore `dollar factor betas` on alphactor.ai

See which tickers this family is currently firing on, with live signals and rankings.

Open universe with this filter →Browse all 406 families

dollar factor betas