Dollar Factor Betas Alfred Pit
In plain terms
Research-only causal macro adaptation using exact ALFRED vintages. It is not a paper replication, production signal, or established alpha effect.
How it works
adaptation: Verdelhan 2018 JF documents systematic FX variation; the 60d equity-beta sort with trend gates is an internal rule
Data dependencies
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
- Alfred series vintages
A data feed this strategy reads, refreshed on its normal schedule.
Expected edge
No inherited alpha claim; evaluate this causal adaptation post-cost against legacy and controls.
Related families
When the dollar weakens, multinationals (Apple, P&G, Coke) get a tailwind. When it strengthens, domestics win.
Uses Fed-funds, term spread, and credit spread (FRED data) to flag risk-off vs risk-on regimes and scale exposure accordingly.
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