Weather#385tier 2experimental liveNew

`drought severity ag input short`

cadence: Weeklydata: lowshort only

2019

Hong, H., Li, F.W., Xu, J. (2019). "Climate Risks and Market Efficiency." Journal of Econometrics, 208(1), 265-281. Combined with Roberts-Schlenker (2013) AER.

Read the paper →

What it checks

When the US Drought Monitor shows severe drought (D2+D3+D4) expanding across the corn/wheat belt to the worst 10% of the past 3 years, food companies that buy a lot of corn and wheat (General Mills, Kellogg, Campbell, Kraft Heinz) face cost pressure. Short the basket for 1-3 months.

Mechanism

USDM weekly drought severity (sum of D2/D3/D4 % coverage across farm-belt states IA/IL/IN/OH/KS/NE/MN/MO/ND/SD/TX/OK/MI) expanding into the top decile of trailing-3y history signals tight ag-input supply. Food processors with heavy corn/wheat/oat input exposure (GIS, K, CPB, KHC, CAG, MKC, HRL) face input-cost pressure that flows through to margins ahead of the next earnings print.

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

Farm-belt-cohort sum(D2+D3+D4 %) top 90th/95th pctl of trailing 156-week own-history (T+1 after 7d publish lag) -> SHORT food-processor for 30/60 trading days.

Data dependencies

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

Expected edge

Paper alpha: -2 to -4% over 30-60d
Paper window: T+8d to T+60d

-2 to -4% over 30-60d on food-processor names during top-decile farm-belt drought.

Example tickers where this is likely to fire

GIS K CPB KHC CAG MKC HRL

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

Related families

drought pdsi agribusinessWeather

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

el nino softs longWeather

Strong El Niño events (ONI > +1.5) drive supply-side shocks in soft commodities — coffee (Brazil drought), sugar (Indian monsoon disruption), soy (South American drought). Consumer-staples firms heavily exposed to coffee and soy as input costs (Starbucks, ADM, BG) historically LIFT over 90-180 days as price escalation flows through to revenue/mix.

wasde yield surpriseAlt-Data

Yield surprise vs survey → 1-3d futures move + equity drift.

Explore `drought severity ag input short` on alphactor.ai

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

Open universe with this filter →Browse all 380 families

drought severity ag input short