Weather#371tier 2experimental liveNew

`enso pc insurance short`

cadence: Monthlydata: lowshort only

2017

Cashin, P., Mohaddes, K., Raissi, M. (2017). "Fair weather or foul? The macroeconomic effects of El Niño." Journal of International Economics, 106, 37-54. Combined with Born-Viscusi (1994) JRI.

Read the paper →

What it checks

When El Niño or La Niña intensify (|ONI| >= 1.5), US severe weather (tornadoes, hurricanes, typhoons) tends to be more active. Property & casualty insurers (AIG, Travelers, Allstate, Progressive) face higher catastrophe losses. Short the basket for 3-6 months.

Mechanism

Strong ENSO oscillation (|ONI| >= 1.5) — either El Niño or La Niña — historically correlates with elevated US severe-weather loss patterns: tornadoes (Niña), Atlantic hurricane season amplitude, Pacific typhoons. The US P&C insurer basket (AIG, ALL, TRV, PGR, CB) takes on elevated cat-loss probability over the subsequent 90-180 days, depressing equity prices.

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

|ONI| >= 1.0 / 1.5 (strong ENSO oscillation) with 14d publication lag (T+1) -> SHORT P&C insurer ticker for 90/180 trading days.

Data dependencies

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

Expected edge

Paper alpha: -2 to -5% over 90-180d
Paper window: T+14d to T+180d

-2 to -5% over 90-180d on P&C basket during strong ENSO regimes.

Example tickers where this is likely to fire

AIG ALL TRV PGR CB RE

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

Related families

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.

hurricane landfall coastal shortWeather

Pre-landfall window T-3 to T+5 shorts coastal-HQ REITs/refiners/ports; longs P&C reinsurers (RNR/RGA/AXS/ACGL).

noaa landfall insurance shortWeather

HURDAT2 hurricane-strength fix inside FL/TX/LA coastal cone (lat/lon bounding box) within trailing 5d → SHORT property insurer basket.