Real-World & Alternative DataExtended setInvalidNew

Drought Pdsi Agribusiness

Updated weeklyData needs: mediumlong onlyshort onlylong short

paper

2019

Source

Hong, H., Li, F., Xu, J. (2019). "Climate risks and market efficiency." Journal of Econometrics, 208, 265-281.

Read the paper →

In plain terms

Long-running farm-belt drought → long water utilities + seed; short food processors.

How it works

Sustained D2+ drought in farm-belt → water utilities long; pure-yield ag short.

No live results for this strategy yet. Charts appear once it has earned a top spot on at least one stock, either on its own or as part of a blend of several strategies.

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Data dependencies

Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
Usdm drought
A data feed this strategy reads, refreshed on its normal schedule.

Expected edge

Reported return: 50-100 bps/mo
Tested over: T+0 to T+90d

50-100 bps/month drift.

Example tickers where this is likely to fire

AWK WTRG CTVA ADM BG

Illustrative only, the signal fires based on the live data, not a fixed list.

Related families

Enso OniReal-World & Alternative Data

Strong El Niño/La Niña shocks soft commodities → ag stocks rally 3-6 months.

Hdd Surprise NatgasReal-World & Alternative Data

NWS forecasts cold spike → long nat-gas E&P for 1-2 weeks.

Wasde Yield SurpriseReal-World & Alternative Data

USDA WASDE yield surprises: an upside surprise (bumper crop, cheaper grain) helps processor margins (ADM/BG/INGR/DAR) and hurts equipment demand (DE/AGCO); a downside surprise is the reverse.

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